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Price dividend ratio and long-run stock returns : a score driven state space model
Delle Monache, Davide; Petrella, Ivan; Venditti, Fabrizio - 2020
Persistent link: https://www.econbiz.de/10012299985
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Idiosyncratic tail risk and expected stock returns : evidence from the Chinese stock markets
Long, Huaigang; Jiang, Yuexiang; Zhu, Yanjian - In: Finance research letters 24 (2018), pp. 129-136
Persistent link: https://www.econbiz.de/10011982519
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Extreme daily returns and the cross-section of expected returns : evidence from Brazil
Berggrun, Luis; Cardona, Emilio; Lizarzaburu, Edmundo - In: Journal of business research : JBR 102 (2019), pp. 201-211
Persistent link: https://www.econbiz.de/10012103964
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Stock return expectations in the credit market
Byström, Hans N. E. - In: International review of financial analysis 56 (2018), pp. 85-92
Persistent link: https://www.econbiz.de/10012006222
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Impact of TED spread, bond spread, and implied volatility on stock market returns, oil prices, home prices and exchange rates
Dania, Akash; Malhotra, Davinder Kumar - In: International journal of bonds and derivatives 2 (2016) 4, pp. 329-343
Persistent link: https://www.econbiz.de/10011807737
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Relative pricing and risk premia in equity volatility markets
Van Tassel, Peter - 2018
This paper provides empirical evidence that volatility markets are integrated through the time-varying term structure … of variance risk premia. These risk premia predict the returns from selling volatility for different horizons, maturities …
Persistent link: https://www.econbiz.de/10011904683
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The impact of market-wide volatility on time-varying risk : evidence from Qatar stock exchange
Al Refai, Hisham M.; Hassan, Gazi M. - In: Journal of emerging market finance 17 (2018), pp. 239-258
Persistent link: https://www.econbiz.de/10011925531
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It's not that important : the negligible effect of oil market uncertainty
Yin, Libo; Feng, Jiabao; Liu, Li; Wang, Yudong - In: International review of economics & finance : IREF 60 (2019), pp. 62-84
Persistent link: https://www.econbiz.de/10012203810
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A jump and smile ride : jump and variance risk premia in option pricing
Alitab, Dario; Bormetti, Giacomo; Corsi, Fulvio; … - In: Journal of financial econometrics 18 (2020) 1, pp. 121-157
Persistent link: https://www.econbiz.de/10012180409
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The VIX, the variance premium, and expected returns
Osterrieder, Daniela; Ventosa-Santaulària, Daniel; … - In: Journal of financial econometrics 17 (2019) 4, pp. 517-558
Persistent link: https://www.econbiz.de/10012149836