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Time-varying risk premiums in the framework of wine investment
Le Fur, Eric; Ameur, Hachmi Ben; Faye, Benoît - In: Journal of wine economics 11 (2016) 3, pp. 355-378
Persistent link: https://www.econbiz.de/10011607842
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Are we overestimating REIT idiosyncratic risk? : analysis of pricing effects and persistence
Abugri, Benjamin Adam; Dutta, Sandip - In: International review of economics & finance : IREF 29 (2014), pp. 249-259
Persistent link: https://www.econbiz.de/10010431425
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Understanding momentum and reversal
Kelly, Bryan T.; Moskowitz, Tobias J.; Pruitt, Seth - In: Journal of financial economics 140 (2021) 3, pp. 726-743
Persistent link: https://www.econbiz.de/10013259592
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Asymptotics of Cholesky GARCH models and time-varying conditional betas
Darolles, Serge; Francq, Christian; Laurent, Sébastien - In: Journal of econometrics 204 (2018) 2, pp. 223-247
Persistent link: https://www.econbiz.de/10011974730
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An empirical analysis of segmented pricing of bond systematic risk
Benzschawel, Terry; Fu, Liang; Murphy, Austin - In: Credit and capital markets : Kredit und Kapital 47 (2014) 3, pp. 439-464
Persistent link: https://www.econbiz.de/10010433255
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Sense and sentiment : a behavioural approach to risk premium modelling
García Petit, Juan José; Rúa Vieites, Antonio; … - In: Spanish journal of finance & accounting : the official … 49 (2020) 3, pp. 292-321
Persistent link: https://www.econbiz.de/10012255975
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The changing nature of market risk
Franzoni, Francesco - 2008
In the first three decades of CRSP data, value stocks have higher betas than growth stocks. Later on, the ranking is … are the causes of the reversal in the ranking of betas? The paper argues that the negative link between beta and BM is due …
Persistent link: https://www.econbiz.de/10003966097
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Are global systematic risk and country-specific idiosyncratic risk priced in the integrated world markets
Hueng, C. James - In: International review of economics & finance : IREF 33 (2014), pp. 28-38
Persistent link: https://www.econbiz.de/10010531290
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Long- and short-run components of factor betas : implications for stock pricing
Asgharian, Hossein; Christiansen, Charlotte; Hou, Ai Jun; … - In: Journal of international financial markets, … 74 (2021), pp. 1-14
Persistent link: https://www.econbiz.de/10012803274
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Beta and size equity premia following a high-VIX threshold
Bansal, Naresh K.; Connolly, Robert A.; Stivers, … - In: The journal of futures markets 42 (2022) 8, pp. 1491-1517
Persistent link: https://www.econbiz.de/10013287992