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Predicting market returns using aggregate implied cost of capital

Li, Yan; Ng, David Tat-chee; Swaminathan, Bhaskaran - In: Journal of financial economics 110 (2013) 2, pp. 419-436

Persistent link: https://www.econbiz.de/10010208662

Asset-pricing implications of dividend volatility

Li, Yan; Yang, Liyan - In: Management science : journal of the Institute for … 59 (2013) 9, pp. 2036-2055

Persistent link: https://www.econbiz.de/10010194838

The volatility of daily tug-of-war intensity and stock market returns

Bai, Fan; Zhang, Yaqi; Chen, Zhonglu; Li, Yan - In: Finance research letters 55 (2023) 1, pp. 1-6

Persistent link: https://www.econbiz.de/10014473224

The forecast ability of a belief-based momentum indicator in full-day, daytime, and nighttime volatilities of Chinese oil futures

Li, Yan; Luu Duc Toan Huynh; Xu, Yongan; Liang, Hao - In: Energy economics 127 (2023) 2, pp. 1-17

Persistent link: https://www.econbiz.de/10014490332

Global equity market volatilities forecasting : a comparison of leverage effects, jumps, and overnight information

Liang, Chao; Li, Yan; Ma, Feng; Wei, Yu - In: International review of financial analysis 75 (2021), pp. 1-16

Persistent link: https://www.econbiz.de/10012804153

Which sentiment index is more informative to forecast stock market volatility? : evidence from China

Liang, Chao; Tang, Linchun; Li, Yan; Wei, Yu - In: International review of financial analysis 71 (2020), pp. 1-11

Persistent link: https://www.econbiz.de/10012437093

Market momentum amplifies market volatility risk : evidence from China's equity market

Liang, Chao; Luu Duc Toan Huynh; Li, Yan - In: Journal of international financial markets, … 88 (2023), pp. 1-17

Persistent link: https://www.econbiz.de/10014483186

Forecasting US stock market returns by the aggressive stock-selection opportunity

Li, Yan; Liang, Chao; Toan Luu Duc Huynh - In: Finance research letters 50 (2022), pp. 1-9

Persistent link: https://www.econbiz.de/10014245366

Long-term adjusted volatility : powerful capability in forecasting stock market returns

Qiu, Rui; Liu, Jing; Li, Yan - In: International review of financial analysis 86 (2023), pp. 1-12

Persistent link: https://www.econbiz.de/10014248427

Predicting Time-Varying Value Premium Using the Implied Cost of Capital

Li, Yan - 2014

We estimate an implied value premium (IVP) using the implied cost of capital methodology. The implied value premium is the difference between the implied costs of capital of value stocks and growth stocks and is a direct estimate of the difference in expected returns between value stocks and...

Persistent link: https://www.econbiz.de/10013065166