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Idiosyncratic tail risk and expected stock returns : evidence from the Chinese stock markets
Long, Huaigang; Jiang, Yuexiang; Zhu, Yanjian - In: Finance research letters 24 (2018), pp. 129-136
Persistent link: https://www.econbiz.de/10011982519
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Time-varying risk spillovers in Chinese stock market : new evidence from high-frequency data
Zhou, Dong-hai; Liu, Xiao-xing; Tang, Chun; Yang, Guang-yi - In: The North American journal of economics and finance : a … 64 (2023), pp. 1-15
Persistent link: https://www.econbiz.de/10014246902
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Monetary policy uncertainty and jumps in advanced equity markets
Bouri, Elie; Gillas, Konstantinos Gkillas; Gupta, Rangan; … - In: Journal of risk 23 (2020/2021) 1, pp. 101-112
Persistent link: https://www.econbiz.de/10012500112
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A study on risk return relationship of Indian equity markets
Thappa, Sankar - In: Advances in Management Research : Emerging Challenges …, (pp. 237-242). 2022
Persistent link: https://www.econbiz.de/10014434886
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News and expected returns in East Asian equity markets : the RV-GARCHM model
Martin, Vance; Tang, Chrismin; Yao, Wenying - In: Journal of Asian economics 57 (2018), pp. 36-52
Persistent link: https://www.econbiz.de/10012102777
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Is risk higher during non-trading periods? : the risk trade-off for intraday versus overnight market returns
Riedel, Christoph; Wagner, Niklas F. - In: Journal of international financial markets, … 39 (2015), pp. 53-64
Persistent link: https://www.econbiz.de/10011475596
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Tail risk dynamics in stock returns : links to the macroeconomy and global markets connectedness
Massacci, Daniele - In: Management science : journal of the Institute for … 63 (2017) 9, pp. 3072-3089
Persistent link: https://www.econbiz.de/10011749024
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On equity risk prediction and tail spillovers
Pouliasis, Panos; Kyriakou, Ioannis; Papapostolou, Nikos - In: International journal of finance & economics : IJFE 22 (2017) 4, pp. 379-393
Persistent link: https://www.econbiz.de/10011960379
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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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Risk and Return in the Chinese Stock Market : Does Equity Return Dispersion Proxy Risk?
Chen, Chun-Da - 2015
systematically priced in the cross-section of stock returns in China. We find that return dispersion carries a positive price of risk … even after controlling for market, size, book-to-market, and idiosyncratic volatility effects. We observe that stocks with … effect is robust to alternative portfolio sorts based on the well-established risk factors as well as industry portfolios. We …
Persistent link: https://www.econbiz.de/10013023627