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Predictive regressions with time-varying coefficients
Dangl, Thomas; Halling, Michael - In: Journal of financial economics 106 (2012) 1, pp. 157-181
Persistent link: https://www.econbiz.de/10009666666
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Systematic risk and the cross section of hedge fund returns
Bali, Turan G.; Brown, Stephen J.; Caglayan, Mustafa O. - In: Journal of financial economics 106 (2012) 1, pp. 114-131
Persistent link: https://www.econbiz.de/10009666668
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Measuring investor sentiment with mutual fund flows
Ben-Rephael, Azi; Kandel, Shmuel; Wohl, Avi - In: Journal of financial economics 104 (2012) 2, pp. 363-382
Persistent link: https://www.econbiz.de/10009621133
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The cross section of expected returns with MIDAS betas
González, Mariano; Nave Pineda, Juan M.; Rubio, Gonzalo - In: Journal of financial and quantitative analysis : JFQA 47 (2012) 1, pp. 115-135
Persistent link: https://www.econbiz.de/10009623141
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Ex ante skewness and expected stock returns
Conrad, Jennifer S.; Dittmar, Robert F.; Ghysels, Eric - In: The journal of finance : the journal of the American … 68 (2013) 1, pp. 85-124
Persistent link: https://www.econbiz.de/10009719760
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Does realized skewness predict the cross-section of equity returns?
Amaya, Diego; Christoffersen, Peter F.; Jacobs, Kris; … - 2013
Persistent link: https://www.econbiz.de/10010226861
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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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The supraview of return predictive signals
Green, Jeremiah; Hand, John R.; Zhang, X. Frank - In: Review of accounting studies 18 (2013) 3, pp. 692-730
Persistent link: https://www.econbiz.de/10010200099
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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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Has oil price predicted stock returns for over a century?
Narayan, Paresh Kumar; Gupta, Rangan - In: Energy economics 48 (2015), pp. 18-23
Persistent link: https://www.econbiz.de/10011533690