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Is volatility clustering of asset returns asymmetric?

Ning, Cathy Q.; Xu, Dinghai; Wirjanto, Tony S. - In: Journal of banking & finance 52 (2015), pp. 62-76

Persistent link: https://www.econbiz.de/10011377303

Tail risk and expected stock returns around the world

Long, Huaigang; Zhu, Yanjian; Chen, Lifang; Jiang, Yuexiang - In: Pacific-Basin finance journal 56 (2019), pp. 162-178

Persistent link: https://www.econbiz.de/10012169574

International tail risk and world fear

Nguyen, Duc Binh Benno; Prokopczuk, Marcel; Wese Simen, … - 2017

is highly integrated. Introducing a new World Fear index, we find that local and global aggregate market returns are … mainly driven by global tail risk rather than local tail risk. World fear is also priced in the crosssection of stock returns …. Buying stocks with high sensitivities to World Fear while selling stocks with low sensitivities generates excess returns of …

Persistent link: https://www.econbiz.de/10011751251

Predictors of excess return in a green energy equity portfolio : market risk, market return, value-at-risk and or expected shortfall?

Abraham, Rebecca; El-Chaarani, Hani; Tao, Zhi - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-31

The rapid growth of electric vehicles, solar roofs, and wind power suggests that the potential growth in green equity investments is an emerging trend. Accordingly, this study measured the predictors of excess equity returns in a portfolio of global green energy producers, from 2010 to 2019....

Persistent link: https://www.econbiz.de/10012872607