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The role of an aligned investor sentiment index in predicting bond risk premia of the U.S

Çepni, Oğuzhan; Güney, Ethem; Gupta, Rangan; Wohar, … - In: Journal of financial markets 51 (2020), pp. 1-13

Persistent link: https://www.econbiz.de/10013536291

Equity premium forecasts tend to perform worse against a buy-and-hold benchmark

Löffler, Gunter - In: Critical finance review 11 (2022) 1, pp. 66-77

Persistent link: https://www.econbiz.de/10013455591

Dissecting market epectations in the cross-section of book-to-market ratios

Souza, Thiago de Oliveira - In: Critical finance review 11 (2022) 2, pp. 361-373

Persistent link: https://www.econbiz.de/10013457291

Factor value

Zhang, Shaojun - 2023

Persistent link: https://www.econbiz.de/10014474913

Expected returns and risk in the stock market

Brennan, Michael J.; Taylor, Alex P. - In: Journal of empirical finance 72 (2023), pp. 276-300

Persistent link: https://www.econbiz.de/10014476857

A credit-based theory of the currency risk premium

Della Corte, Pasquale; Jeanneret, Alexandre; Patelli, … - In: Journal of financial economics 149 (2023) 3, pp. 473-496

Persistent link: https://www.econbiz.de/10014420543

Historical geopolitical risk and the behaviour of stock returns in advanced economies

Salisu, Afees A.; Lasisi, Lukman; Tchankam, Jean Paul - In: The European journal of finance 28 (2022) 9, pp. 889-906

Predictability in Conditionally Heteroskedastic Stock Returns." Journal of Financial Econometrics 13 (2): 342-375), to analyse over a … returns of advanced economies and further extend our analysis to out-of-sample predictability. Our findings reveal that GPR is …

Persistent link: https://www.econbiz.de/10013373348

Conditionally-hedged currency carry trades

Choi, Jin-ho; Suh, Sangwon - In: Journal of international financial markets, … 79 (2022), pp. 1-19

Persistent link: https://www.econbiz.de/10013358798

Understanding factor value

Zhang, Shaojun - 2024

Persistent link: https://www.econbiz.de/10014529149

Option-implied term structures

Vogt, Erik - Federal Reserve Bank of New York - 2014

nonparametric. New confidence intervals quantify the term structure estimation error. The framework is applied to estimating the … predictability. …

Persistent link: https://www.econbiz.de/10011103532