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The predictability of skewness risk premium on stock returns : evidence from Chinese market

Ni, Zhongxin; Wang, Linyu - In: International review of economics & finance : IREF 87 (2023), pp. 576-594

Persistent link: https://www.econbiz.de/10014472485

Climate risk exposure and the cross-section of Chinese stock returns

Zhang, Yaojie; He, Mengxi; Liao, Cunfei; Wang, Yudong - In: Finance research letters 55 (2023) 2, pp. 1-7

Persistent link: https://www.econbiz.de/10014473512

Cross-sectional uncertainty and expected stock returns

Yu, Deshui; Huang, Difang - In: Journal of empirical finance 72 (2023), pp. 321-340

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Economic uncertainty : mispricing and ambiguity premium

Cai, Charlie X.; Fu, Xi; Kerestecioglu, Semih - In: European financial management : the journal of the … 29 (2023) 5, pp. 1702-1751

Persistent link: https://www.econbiz.de/10014430235

Macro-financial applications of vector autoregressions

Krogh, Mathias Sjøgreen - 2023 - This version: November 1, 2023

Persistent link: https://www.econbiz.de/10014431202

Term structure of interest rates with short-run and long-run risks

Grishchenko, Olesya V.; Song, Zhaogang; Zhou, Hao - In: The Journal of finance and data science : JFDS 8 (2022), pp. 255-295

We find that interest rate variance risk premium (IRVRP) - the difference between implied and realized variances of … horizons up to six months. IRVRP is not subsumed by other predictors such as forward rate spread or equity variance risk … long-run risk, economic uncertainty, and inflation non-neutrality. In the model IRVRP is related to short-run risk only …

Persistent link: https://www.econbiz.de/10014433708

Safety first, loss probability, and the cross section of expected stock returns

Cao, Ji; Rieger, Marc Oliver; Zhao, Lei - In: Journal of economic behavior & organization : JEBO 211 (2023), pp. 345-369

Persistent link: https://www.econbiz.de/10014447506

Is idiosyncratic tail risk priced in the cross-section of bond returns? : evidence from Chinese bond markets

Huang, Wei-Qiang; Zhang, Jing; Liu, Peipei - In: Applied economics letters 30 (2023) 10, pp. 1318-1326

Persistent link: https://www.econbiz.de/10014304235

Persistence of jump-induced tail risk and limits to arbitrage

Chow, K. Victor; John, Kose; Li, Jingrui; Sopranzetti, … - In: Quantitative finance 23 (2023) 4, pp. 705-719

Persistent link: https://www.econbiz.de/10014304321

Global tail risk and oil return predictability

Qian, Lihua; Zeng, Qing; Lu, Xinjie; Ma, Feng - In: Finance research letters 47 (2022) 2, pp. 1-6

Persistent link: https://www.econbiz.de/10013553904