Similar Search Results - EconBiz

Portfolio Return Prediction and Risk Price Heterogeneity

Taylor, Nicholas - 2023

A model of portfolio return dynamics is considered in which the price of risk is permitted to be heterogeneous. In doing this, a novel method is proposed that delivers improved out-of-sample forecasts of portfolio returns. The main innovation is the use of a set of predictors that account for...

Persistent link: https://www.econbiz.de/10014350699

Idiosyncratic risk and cross-section of stock returns in emerging European markets

Czapkiewicz, Anna; Wójtowicz, Tomasz; Zaremba, Adam - In: Economic modelling 124 (2023), pp. 1-14

Persistent link: https://www.econbiz.de/10014463293

ESG, time horizons, risks and stock returns

Minh Thi Hong Dinh - In: Research in international business and finance 65 (2023), pp. 1-10

Persistent link: https://www.econbiz.de/10014436065

Have shifts in investor tastes led the market portfolio to capture ESG preferences?

Rojo-Suárez, Javier; Alonso-Conde, Ana B. - In: International review of financial analysis 91 (2024), pp. 1-13

Persistent link: https://www.econbiz.de/10014446995

Real estate climate index and aggregate stock returns : evidence from China

Jiang, Yuexiang; Fu, Tao; Long, Huaigang; Zaremba, Adam; … - In: Pacific-Basin finance journal 75 (2022), pp. 1-26

Persistent link: https://www.econbiz.de/10013552561

Understanding factor value

Zhang, Shaojun - 2024

Persistent link: https://www.econbiz.de/10014529149

Is macroeconomic tail risk contagious to stock idiosyncratic risk?

Yao, Shouyu; Liu, Zezhong; Wang, Chunfeng; Palma, Alessia; … - In: Finance research letters 63 (2024), pp. 1-5

Persistent link: https://www.econbiz.de/10014531317

Asset pricing vs asset expected returning in factor-portfolio models

Favero, Carlo A.; Melone, ALessandro - 2020

Persistent link: https://www.econbiz.de/10012210481

Skewness and co-skewness in bond returns : job market paper

Chiang, I-hsuan Ethan - 2007

Persistent link: https://www.econbiz.de/10003684142

Aggregate jump and volatility risk in the cross-section of stock returns

Cremers, Martijn; Halling, Michael; Weinbaum, David - In: The journal of finance : the journal of the American … 70 (2015) 2, pp. 577-614

Persistent link: https://www.econbiz.de/10010517171

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