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Risk and return in the Chinese stock market : does equity return dispersion proxy risk?
Chen, Chun-Da; Demirer, Rıza; Jategaonkar, Shrikant P. - In: Pacific-Basin finance journal 33 (2015), pp. 23-37
Persistent link: https://www.econbiz.de/10011474042
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Beta Matrix and Common Factors in Stock Returns
Ahn, Seung C. - 2020
We consider the estimation methods for the rank of a beta matrix corresponding to a multifactor model and study which method would be appropriate for data with a large number of assets. Our simulation results indicate that a restricted version of Cragg and Donald's (1997) Bayesian Information...
Persistent link: https://www.econbiz.de/10012857585
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Limit-to-arbitrage factors and IVOL returns puzzle : empirical evidence from Taiwan before and during COVID-19
Khoa Dang Duong; Qui Nhat Nguyen; Truong Vinh Le; Diep … - In: Annals of financial economics 16 (2021) 1, pp. 1-18
Persistent link: https://www.econbiz.de/10012650875
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Aggregate distress risk and equity returns
Guo, Hui; Jiang, Xiaowen - In: Journal of banking & finance 133 (2021), pp. 1-14
Persistent link: https://www.econbiz.de/10013257367
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Macro-finance decoupling : robust evaluations of macro asset pricing models
Cheng, Xu; Dou, Winston Wei; Liao, Zhipeng - In: Econometrica : journal of the Econometric Society, an … 90 (2022) 2, pp. 685-713
Persistent link: https://www.econbiz.de/10013190093
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Price nonsynchronicity, idiosyncratic risk, and expected stock returns in China
Long, Huaigang; Zaremba, Adam; Jiang, Yuexiang - In: Economic research 33 (2020) 1,1, pp. 160-181
Persistent link: https://www.econbiz.de/10013173486
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Option-implied equity risk and the cross section of stock returns
Chen, Te-Feng; Chung, San-Lin; Tsai, Wei-Che - In: Financial analysts' journal : FAJ 72 (2016) 6, pp. 42-55
Persistent link: https://www.econbiz.de/10011574798
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Cross-sectional return dispersion and the equity premium
Maio, Paulo - In: Journal of financial markets 29 (2016), pp. 87-109
Persistent link: https://www.econbiz.de/10011722249
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Term structures of asset prices and returns
Backus, David; Boyarchenko, Nina; Chernov, Mikhail - In: Journal of financial economics 129 (2018) 1, pp. 1-23
Persistent link: https://www.econbiz.de/10011981208
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Economic activity and momentum profits : further evidence
Maio, Paulo; Philip, Dennis - In: Journal of banking & finance 88 (2018), pp. 466-482
Persistent link: https://www.econbiz.de/10011962964