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Examining the sources of excess return predictability : stochastic volatility or market inefficiency?

Lansing, Kevin J.; LeRoy, Stephen F.; Ma, Jun - In: Journal of economic behavior & organization : JEBO 197 (2022), pp. 50-72

Persistent link: https://www.econbiz.de/10013383142

The VIX's term structure of individual active stocks

Qadan, Mahmoud; David, Or; Snunu, Iyad; Shuval, Kerem - In: Finance research letters 61 (2024), pp. 1-9

Persistent link: https://www.econbiz.de/10014491016

Conditional mean reversion of financial ratios and the predictability of returns

Boucher, Christophe; Jasinski, A.; Tokpavi, S. - In: Journal of international money and finance 137 (2023), pp. 1-20

Persistent link: https://www.econbiz.de/10014478119

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

Credit spreads, business conditions, and expected corporate bond returns

Lin, Hai; Tao, Xinyuan; Wang, Junbo; Wu, Chunchi - In: Journal of risk and financial management : JRFM 13 (2020) 2/20, pp. 1-34

Using an aggregate credit spread index, we find that it has substantial predictive power for corporate bond returns over short and long horizons. The return predictability is economically and statistically significant and robust to various controls. The credit spread index and its components...

Persistent link: https://www.econbiz.de/10012173990

Currency portfolios and global foreign exchange ambiguity

Asano, Takao; Cai, Xiaojing; Sakemoto, Ryuta - In: Finance research letters 65 (2024), pp. 1-7

Persistent link: https://www.econbiz.de/10014563739

US dollar carry trades in the era of "cheap money"

Shehadeh, Ali; Erdős, Péter; Li, Youwei; Moore, Michael J. - In: Finance a úvěr 66 (2016) 5, pp. 374-404

Persistent link: https://www.econbiz.de/10011582471

Macro news effects on exchange rates : difference between carry trade target and safe-haven currencies

Wang, Wenhao; Lin, Zhitao; Hu, Bing - In: Finance research letters 53 (2023), pp. 1-7

Persistent link: https://www.econbiz.de/10014472521

Carry and trend following returns in the foreign exchange market

Clare, Andrew D.; Seaton, James; Smith, Peter N.; … - 2015

Persistent link: https://www.econbiz.de/10010531060

Implied volatility term structure and exchange rate predictability

Ornelas, José Renato Haas; Mauad, Roberto Baltieri - In: International journal of forecasting 35 (2019) 4, pp. 1800-1813

Persistent link: https://www.econbiz.de/10012305531