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Tail risk, beta anomaly, and demand for lottery : what explains cross-sectional variations in equity returns?

Ali, Asgar; Badhani, K. N. - In: Empirical economics : a quarterly journal of the … 65 (2023) 2, pp. 775-804

Persistent link: https://www.econbiz.de/10014329083

Time-varying risk aversion and international stock returns

Guidolin, Massimo; Hansen, Erwin; Cabrera, Gabriel - 2023 - This version: August 2023

Persistent link: https://www.econbiz.de/10014470638

Countercyclical and time-varying reward to risk and the equity premium

Antell, Jan; Vaihekoski, Mika - In: Research in international business and finance 66 (2023), pp. 1-17

Persistent link: https://www.econbiz.de/10014460255

Analyzed relationship between risks and expected returns

Doan Van Dinh - In: Journal of economic and administrative sciences 39 (2023) 4, pp. 749-759

Persistent link: https://www.econbiz.de/10014500911

Conditional skewness in asset pricing : 25 years of out-of-sample evidence

Harvey, Campbell R.; Siddique, Akhtar R. - In: Critical finance review 12 (2023) 1/4, pp. 355-366

Persistent link: https://www.econbiz.de/10014370380

Application of volatility-managed portfolios in the context of a volatility index

Subramanian, Abhishek; Kayal, Parthajit - 2023

Persistent link: https://www.econbiz.de/10014375126

Asset pricing anomalies : liquidity risk hedgers or liquidity risk spreaders?

Virk, Nader Shahzad; Butt, Hilal Anwar - In: International review of financial analysis 81 (2022), pp. 1-18

Persistent link: https://www.econbiz.de/10013410674

Unspanned Risk and Risk-Return Tradeoff

Zhang, Huacheng; Zhou, Guofu - 2023

We show that the conditional risk estimation in the ICAPM model (Merton, 1973) should contain the unspanned uncertainty … significant risk-return tradeoff in both aggregated market and stock cross-section, in both short and long run, and both in and …-investment portfolio buying stocks in the top unspanned risk decile and selling stocks in the bottom decile can generate a Fama …

Persistent link: https://www.econbiz.de/10014257627

Have risk premia vanished?

Smith, Simon C.; Timmermann, Allan - 2021

Persistent link: https://www.econbiz.de/10012508216

Correlation risk, strings and asset prices

Mele, Antonio; Distaso, Walter; Vilkov, Grigory - 2019

Persistent link: https://www.econbiz.de/10012181112