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Does time varying risk premia exist in the international bond market? : an empirical evidence from Australian and French bond market

Aftab, Hira; Beg, Rabiul Alam - In: Inventi impact: microfinance & banking (2021) 2, pp. 70-82

Persistent link: https://www.econbiz.de/10012816012

Does time varying risk premia exist in the international bond market? : an empirical evidence from Australian and French bond market

Aftab, Hira; Beg, Rabiul Alam - In: International Journal of Financial Studies : open … 9 (2021) 1/3, pp. 1-13

The presence of risk premium is an issue that weakens the rational expectation hypothesis. This paper investigates changing behavior of time varying risk premium for holding 10 year maturity bond using a bivariate VARMA-DBEKK-AGARCH-M model. The model allows for asymmetric risk premia, causality...

Persistent link: https://www.econbiz.de/10012422545

A global-optimal portfolio theory beyond the R-σ model

Liua, Yifan; Liang, Shi-Dong - In: Frontiers of economics in China : selected publications … 15 (2020) 1, pp. 124-139

Persistent link: https://www.econbiz.de/10012227506

Time-varying risk premium in large cross-sectional equity data sets

Gagliardini, Patrick; Ossola, Elisa; Scaillet, Olivier - In: Econometrica : journal of the Econometric Society, an … 84 (2016) 3, pp. 985-1046

Persistent link: https://www.econbiz.de/10011579614

Revisiting the risk-return relation in the Chinese stock market : decomposition of risk premium and volatility feedback effect

Liu, Hao; Shen, Shihan; Wang, Tianyi; Huang, Zhuo - In: China economic journal : the official journal of the … 9 (2016) 2, pp. 140-153

Persistent link: https://www.econbiz.de/10011585334

The risk and return conundrum explained : international evidence

Savva, Christos S.; Theodossiou, Panayiotis - In: Journal of financial econometrics : official journal of … 16 (2018) 3, pp. 486-521

Persistent link: https://www.econbiz.de/10011987799

Illiquidity and factor returns : exploring the intersection between illiquidity/small cap and popular factors

Hsu, Jason C.; Viswanathan, Vivek - In: Journal of investment management : JOIM 16 (2018) 4, pp. 4-16

Persistent link: https://www.econbiz.de/10011961002

Explanatory power of pre-issue financial strength for long-term market performance : evidence from initial equity offerings on an emerging market

Czapiewski, Leszek; Lizińska, Joanna - In: International Journal of Financial Studies : open … 7 (2019) 1/16, pp. 1-16

This study tests possible sources of long-term risk-adjusted returns on initial public offerings (IPO) in Poland under the calendar-time portfolio (CTP) approach. The moment of going public still remains a puzzle in many areas. Poland’s status as an emerging market has been indisputable for...

Persistent link: https://www.econbiz.de/10012038537

Establishing ESG as risk premia

Pollard, Julia; Sherwood, Matthew W.; Klobus, Ryan Grad - In: Journal of investment management : JOIM 16 (2018) 1, pp. 32-43

Persistent link: https://www.econbiz.de/10011915407

Essays in international finance : risk, jumps and diversification

M'Saddek, Oussama - 2018

Persistent link: https://www.econbiz.de/10012204650