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Contingent claim-based expected stock returns
Chen, Zhiyao; Strebulaev, Ilya A. - 2013
Persistent link: https://www.econbiz.de/10010238530
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Does stock liquidity explain the premium for stock price momentum?
Novák, Jiri - In: Finance a úvěr 64 (2014) 1, pp. 79-95
Persistent link: https://www.econbiz.de/10010245254
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Fama French factors and US stock return predictability
Panopulu, Aikaterinē; Plastira, Sotiria - In: The journal of asset management 15 (2014) 2, pp. 110-128
Persistent link: https://www.econbiz.de/10010384800
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Leverage asset pricing
Adrian, Tobias; Mönch, Emanuel; Shin, Hyun Song - 2013
We investigate intermediary asset pricing theories empirically and find strong support for models that have intermediary leverage as the relevant state variable. A parsimonious model that uses detrended dealer leverage as a price-of-risk variable, and innovations to dealer leverage as a pricing...
Persistent link: https://www.econbiz.de/10009787499
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Portfolio selection in a data-rich environment
Bouaddi, Mohammed; Taamouti, Abderrahim - In: Journal of economic dynamics & control 37 (2013) 12, pp. 2943-2962
Persistent link: https://www.econbiz.de/10010348093
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Are Indian stock returns predictable?
Narayan, Paresh Kumar; Bannigidadmath, Deepa - In: Journal of banking & finance 58 (2015), pp. 506-531
Persistent link: https://www.econbiz.de/10011544053
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The political risk factor in emerging, frontier, and developed stock markets
Dimic, Nebojsa; Orlov, Vitaly; Piljak, Vanja - In: Finance research letters 15 (2015), pp. 239-245
Persistent link: https://www.econbiz.de/10011553237
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Foreign portfolio capital flows and stock returns : a study of Brazilian listed firms
Loncan, Tiago Rodrigues; Caldeira, João F. - In: Estudos econômicos : publicação trimestral do … 45 (2015) 4, pp. 859-895
Persistent link: https://www.econbiz.de/10011458121
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Funding liquidity, market liquidity and the cross-section of stock returns
Fontaine, Jean-Sébastien; Garcia, René; Gungor, Sermin - 2016
Persistent link: https://www.econbiz.de/10011458739
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Asymmetric reactions of China's stock market to short-term interest rates
Fang, Fang; Dong, Weijia; Lv, Xin - In: International journal of economics and finance 8 (2016) 5, pp. 260-270
Persistent link: https://www.econbiz.de/10011487610