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Impacts of lagged returns on the risk-return relationship of Chinese aggregate stock market : evidence from different data frequencies

Liu, Jingzhen - In: Research in international business and finance 48 (2019), pp. 243-257

Persistent link: https://www.econbiz.de/10012135907

Implied volatility and the cross section of stock returns in the UK

Poshakwale, Sunil S.; Chandorkar, Pankaj; Agarwal, Vineet - In: Research in international business and finance 48 (2019), pp. 271-286

Persistent link: https://www.econbiz.de/10012135913

What Goliaths and Davids among Swiss firms tell us about expected returns on Swiss asset markets

Haab, David R.; Nitschka, Thomas - In: Swiss journal of economics and statistics 155 (2019) 16, pp. 1-17

Motivated by recent US evidence, we evaluate the predictive power of changes in the weight of large firms in the aggregate stock market ("Goliath vs David" (GVD)) for Swiss stock market returns and bond market returns. Previous research suggests that the asset return dynamics in the US and...

Persistent link: https://www.econbiz.de/10012137996

International tail risk and world fear

Hollstein, Fabian; Nguyen, Duc Binh Benno; Prokopczuk, … - In: Journal of international money and finance 93 (2019), pp. 244-259

Persistent link: https://www.econbiz.de/10012138644

Pricing corporate financial distress : empirical evidence from the French stock market

Mselmi, Nada; Hamza, Taher; Lahiani, Amine; Shahbaz, … - In: Journal of international money and finance 96 (2019), pp. 13-27

Persistent link: https://www.econbiz.de/10012139596

Are standard asset pricing factors long-range dependent?

Auer, Benjamin R. - In: Journal of economics and finance 42 (2018) 1, pp. 66-88

Persistent link: https://www.econbiz.de/10011978140

Stock price reaction to profit warnings : the role of time-varying betas

Yin, Shuxing; Mazouz, Khelifa; Benamraoui, Abdelfahid; … - In: Review of quantitative finance and accounting 50 (2018) 1, pp. 67-93

Persistent link: https://www.econbiz.de/10011979095

Term structures of asset prices and returns

Backus, David; Boyarchenko, Nina; Chernov, Mikhail - In: Journal of financial economics 129 (2018) 1, pp. 1-23

Persistent link: https://www.econbiz.de/10011981208

Three-factor model of asset pricing : empirical evidence from the Indian stock market

Anwar, Mobin; Kumar, Sanjay - In: The IUP journal of applied finance : IJAF 24 (2018) 3, pp. 16-34

Persistent link: https://www.econbiz.de/10011983170

Investor sentiment and the mean-variance relationship : European evidence

Wang, Wenzhao - In: Research in international business and finance 46 (2018), pp. 227-239

Persistent link: https://www.econbiz.de/10011983623