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International crash risk premium

Chen, Steven Shu-Hsiu - In: Journal of international financial markets, … 94 (2024), pp. 1-26

Persistent link: https://www.econbiz.de/10015063171

Idiosyncratic tail risk and expected stock returns : evidence from the Chinese stock markets

Long, Huaigang; Jiang, Yuexiang; Zhu, Yanjian - In: Finance research letters 24 (2018), pp. 129-136

Persistent link: https://www.econbiz.de/10011982519

Tail risk dynamics in stock returns : links to the macroeconomy and global markets connectedness

Massacci, Daniele - In: Management science : journal of the Institute for … 63 (2017) 9, pp. 3072-3089

Persistent link: https://www.econbiz.de/10011749024

Geopolitical risk exposure and stock returns : evidence from China

Zhang, Yaojie; Zhang, Yuxuan; Ren, Xinrui; Jin, Meichen - In: Finance research letters 64 (2024), pp. 1-9

Persistent link: https://www.econbiz.de/10014531770

The high volume return premium : cross-country evidence

Kaniel, Ron; Ozoguz, Arzu; Starks, Laura T. - In: Journal of financial economics 103 (2012) 2, pp. 255-279

Persistent link: https://www.econbiz.de/10009501397

World Market Risk, Country-Specific Risk and Expected Returns in International Stock Markets

Bali, Turan G. - 2012

This paper determines whether the world market risk, country-specific total risk, and country-specific idiosyncratic …, stacked time-series, and pooled panel regressions indicate that the world market risk is not, but country-specific total and …

Persistent link: https://www.econbiz.de/10013116715

Trade competitiveness and the aggregate returns in global stock markets

Chiah, Mardy; Long, Huaigang; Zaremba, Adam; Umar, Zaghum - In: Journal of economic dynamics & control 148 (2023), pp. 1-18

Persistent link: https://www.econbiz.de/10014240044

Dynamic relation between volatility risk premia of stock and oil returns

Nakamura, Nobuhiro; Ōhashi, Kazuhiko - 2018

Persistent link: https://www.econbiz.de/10012133500

Stock market return predictability revisited : evidence from a new index constructing the oil market

Chen, Wang; Chevallier, Julien; Wang, Jiqian; Zhong, Juandan - In: Finance research letters 49 (2022), pp. 1-4

Persistent link: https://www.econbiz.de/10013478846

Downside risk and defaultable bond returns

Liang, Xinting; Yang, Baochen; Su, Yunpeng; An, Yunbi - In: Journal of management science and engineering 6 (2021) 1, pp. 99-110

This paper analyzes the influence of downside risk on defaultable bond returns. By introducing a defaultable bond … bond excess returns using a portfolio-level analysis and Fama-MacBeth regressions. We find that downside risk is a strong … and robust predictor for future bond returns. In addition, due to the higher proportion of abnormal transactions in the …

Persistent link: https://www.econbiz.de/10013206142