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Tail risk premia and return predictability

Bollerslev, Tim; Todorov, Viktor; Xu, Lai - In: Journal of financial economics 118 (2015) 1, pp. 113-134

Persistent link: https://www.econbiz.de/10011480379

Does realized skewness predict the cross-section of equity returns?

Amaya, Diego; Christoffersen, Peter F.; Jacobs, Kris; … - In: Journal of financial economics 118 (2015) 1, pp. 135-167

Persistent link: https://www.econbiz.de/10011480389

Predictors of excess return in a green energy equity portfolio : market risk, market return, value-at-risk and or expected shortfall?

Abraham, Rebecca; El-Chaarani, Hani; Tao, Zhi - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-31

The rapid growth of electric vehicles, solar roofs, and wind power suggests that the potential growth in green equity investments is an emerging trend. Accordingly, this study measured the predictors of excess equity returns in a portfolio of global green energy producers, from 2010 to 2019....

Persistent link: https://www.econbiz.de/10012872607

Higher realized moments and stock return predictability

Rehman, Seema; Sharif, Saqib; Ullah, Wali - In: Romanian journal of economic forecasting 24 (2021) 1, pp. 48-70

Persistent link: https://www.econbiz.de/10012587115

Option-implied moments and the cross-section of stock returns

Alexiou, Lykourgos; Rompolis, Leonidas S. - In: The journal of futures markets 42 (2022) 4, pp. 668-691

Persistent link: https://www.econbiz.de/10013187580

Factor momentum, option-implied volatility scaling, and investor sentiment

Grobys, Klaus; Kolari, James W.; Rutanen, Jere - In: The journal of asset management : a major new, … 23 (2022) 2, pp. 138-155

Persistent link: https://www.econbiz.de/10013171033

Intraday return predictability in China's crude oil futures market : new evidence from a unique trading mechanism

Wen, Danyan; Wang, Yudong; Zhang, Yaojie - In: Economic modelling 96 (2021), pp. 209-219

Persistent link: https://www.econbiz.de/10012745351

Intraday momentum and return predictability : evidence from the crude oil market

Wen, Zhuzhu; Gong, Xu; Ma, Diandian; Xu, Yahua - In: Economic modelling 95 (2021), pp. 374-384

Persistent link: https://www.econbiz.de/10012696009

Does the volatility of volatility risk forecast future stock returns?

Bu, Ruijun; Fu, Xi; Jawadi, Fredj - In: Journal of international financial markets, … 61 (2019), pp. 16-36

Persistent link: https://www.econbiz.de/10012128269

Explaining bond return predictability in an estimated New Keynesian model

Andreasen, Martin Møller - 2019

Persistent link: https://www.econbiz.de/10012063989