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Dynamic relation between volatility risk premia of stock and oil returns

Nakamura, Nobuhiro; Ōhashi, Kazuhiko - 2018

Persistent link: https://www.econbiz.de/10012133500

Beware of the crash risk : tail beta and the cross-section of stock returns in China

Long, Huaigang; Zaremba, Adam; Jiang, Yuexiang - In: Applied economics 51 (2019) 44, pp. 4870-4881

Persistent link: https://www.econbiz.de/10012197122

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

Stocks for the long run? : sometimes yes, sometimes no

McQuarrie, Edward F. - In: Financial analysts journal : FAJ 80 (2024) 1, pp. 12-28

Persistent link: https://www.econbiz.de/10014576148

Geopolitical risk exposure and stock returns : evidence from China

Zhang, Yaojie; Zhang, Yuxuan; Ren, Xinrui; Jin, Meichen - In: Finance research letters 64 (2024), pp. 1-9

Persistent link: https://www.econbiz.de/10014531770

Average tail risk and aggregate stock returns

Dai, Yingtong; Harris, Richard D. F. - In: Journal of international financial markets, … 82 (2023), pp. 1-15

Persistent link: https://www.econbiz.de/10014245903

Stock market return predictability revisited : evidence from a new index constructing the oil market

Chen, Wang; Chevallier, Julien; Wang, Jiqian; Zhong, Juandan - In: Finance research letters 49 (2022), pp. 1-4

Persistent link: https://www.econbiz.de/10013478846

Market volatility, market skewness, and the cross-section of expected returns in Chinese equity markets

Liu, Qing; Wang, Shouyang; Sui, Cong - In: Applied economics 55 (2023) 49, pp. 5816-5832

Persistent link: https://www.econbiz.de/10014335824

The Term Structure of Equity Returns and Duration Premium

Yang, Shuxin; Tamaki, Kenichiro - 2023

This study investigates the relationship between equity duration, stock liquidity, and market conditions, revealing that short-duration portfolios consistently deliver higher average returns compared to their long-duration counterparts, regardless of firm size, book-to-market ratios, and...

Persistent link: https://www.econbiz.de/10014349766

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

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