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Forecasting stock returns under economic constraints

Pettenuzzo, Davide; Timmermann, Allan; Valkanov, Rossen I. - In: Journal of financial economics 114 (2014) 3, pp. 517-553

Persistent link: https://www.econbiz.de/10010532691

Predicting foreign investors' carry trade activity in the Israeli FX market using a time-varying currency risk premium approach

Mantzura, Ariel; Shraiber, Bentsi - In: International review of economics & finance : IREF 59 (2019), pp. 438-457

Persistent link: https://www.econbiz.de/10012203257

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

Tail risk and expected stock returns around the world

Long, Huaigang; Zhu, Yanjian; Chen, Lifang; Jiang, Yuexiang - In: Pacific-Basin finance journal 56 (2019), pp. 162-178

Persistent link: https://www.econbiz.de/10012169574

Déjà vol oil? : predicting S&P 500 equity premium using crude oil price volatility : evidence from old and recent time-series data

Nonejad, Nima - In: International review of financial analysis 58 (2018), pp. 260-270

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International tail risk and world fear

Nguyen, Duc Binh Benno; Prokopczuk, Marcel; Wese Simen, … - 2017

is highly integrated. Introducing a new World Fear index, we find that local and global aggregate market returns are … mainly driven by global tail risk rather than local tail risk. World fear is also priced in the crosssection of stock returns …. Buying stocks with high sensitivities to World Fear while selling stocks with low sensitivities generates excess returns of …

Persistent link: https://www.econbiz.de/10011751251