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ECONIS (ZBW)
198
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198
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1
Enhanced global asset pricing factors
Zimmermann, Lukas
- In:
Journal of financial and quantitative analysis : JFQA
58
(
2023
)
6
,
pp. 2692-2731
Persistent link: https://www.econbiz.de/10014365211
Saved in:
2
Dynamics of bond and stock returns
Kozak, Serhiy
- In:
Journal of monetary economics
126
(
2022
),
pp. 188-209
Persistent link: https://www.econbiz.de/10013364928
Saved in:
3
Are long-horizon expectations (de-)stabilizing? : theory and experiments
Evans, George W.
;
Hommes, Cars H.
;
McGough, Bruce
; …
- In:
Journal of monetary economics
132
(
2022
),
pp. 44-63
Persistent link: https://www.econbiz.de/10013489665
Saved in:
4
Aggregate expected investment growth and stock market returns
Li, Jun
;
Wang, Huijun
;
Yu, Jianfeng
- In:
Journal of monetary economics
117
(
2021
),
pp. 618-638
Persistent link: https://www.econbiz.de/10012603192
Saved in:
5
Do survey expectations of stock returns reflect risk adjustments?
Adam, Klaus
;
Matveev, Dmitry
;
Nagel, Stefan
- In:
Journal of monetary economics
117
(
2021
),
pp. 723-740
Persistent link: https://www.econbiz.de/10012603211
Saved in:
6
Expectations and aggregate risk
Bretscher, Lorenzo
;
Malkhozov, Aytek
;
Tamoni, Andrea
- In:
Journal of monetary economics
123
(
2021
),
pp. 91-108
Persistent link: https://www.econbiz.de/10013273698
Saved in:
7
Option-based estimation of the price of coskewness and cokurtosis risk
Christoffersen, Peter F.
;
Fournier, Mathieu
;
Jacobs, Kris
; …
- In:
Journal of financial and quantitative analysis : JFQA
56
(
2021
)
1
,
pp. 65-91
Persistent link: https://www.econbiz.de/10012437371
Saved in:
8
The importance of timing attitudes in consumption-based asset pricing models
Andreasen, Martin Møller
;
Jørgensen, Kasper
- In:
Journal of monetary economics
111
(
2020
),
pp. 95-117
Persistent link: https://www.econbiz.de/10012494234
Saved in:
9
The role of learning for asset prices and business cycles
Winkler, Fabian
- In:
Journal of monetary economics
114
(
2020
),
pp. 42-58
Persistent link: https://www.econbiz.de/10012494857
Saved in:
10
Is the IT revolution over? : an asset pricing view
Ward, Colin
- In:
Journal of monetary economics
114
(
2020
),
pp. 283-316
Persistent link: https://www.econbiz.de/10012494959
Saved in:
11
The risks of old capital age : asset pricing implications of technology adoption
Lin, Xiaoji
;
Palazzo, Berardino
;
Yang, Fan
- In:
Journal of monetary economics
115
(
2020
),
pp. 145-161
Persistent link: https://www.econbiz.de/10012373048
Saved in:
12
Using stocks or portfolios in tests of factor models
Ang, Andrew
;
Liu, Jun
;
Schwarz, Krista
- In:
Journal of financial and quantitative analysis : JFQA
55
(
2020
)
3
,
pp. 709-750
Persistent link: https://www.econbiz.de/10012195614
Saved in:
13
Capital asset pricing with a stochastic horizon
Brennan, Michael J.
;
Zhang, Yuzhao
- In:
Journal of financial and quantitative analysis : JFQA
55
(
2020
)
3
,
pp. 783-827
Persistent link: https://www.econbiz.de/10012195620
Saved in:
14
Disagreement beta
Gao, George P.
;
Lu, Xiaomeng
;
Song, Zhaogang
;
Yan, Hongjun
- In:
Journal of monetary economics
107
(
2019
),
pp. 96-113
Persistent link: https://www.econbiz.de/10012266997
Saved in:
15
Oil consumption, economic growth, and oil futures : the impact of long-run oil supply uncertainty on asset prices
Ready, Robert C.
- In:
Journal of monetary economics
94
(
2018
),
pp. 1-26
Persistent link: https://www.econbiz.de/10012108766
Saved in:
16
Good volatility, bad volatility, and option pricing
Feunou, Bruno
;
Okou, Cédric
- In:
Journal of financial and quantitative analysis : JFQA
54
(
2019
)
2
,
pp. 695-727
Persistent link: https://www.econbiz.de/10012138931
Saved in:
17
A single-factor consumption-based asset pricing model
Delikouras, Stefanos
;
Kostakis, Alexandros
- In:
Journal of financial and quantitative analysis : JFQA
54
(
2019
)
2
,
pp. 789-827
Persistent link: https://www.econbiz.de/10012138945
Saved in:
18
Best of the best : a comparison of factor models
Ahmed, Shamim
;
Bu, Ziwen
;
Tsvetanov, Daniel
- In:
Journal of financial and quantitative analysis : JFQA
54
(
2019
)
4
,
pp. 1713-1758
Persistent link: https://www.econbiz.de/10012139944
Saved in:
19
Pricing intertemporal risk when investment opportunities are unobservable
Cederburg, Scott
- In:
Journal of financial and quantitative analysis : JFQA
54
(
2019
)
4
,
pp. 1759-1789
Persistent link: https://www.econbiz.de/10012139946
Saved in:
20
Two trees with heterogeneous beliefs : spillover effect of disagreement
Han, Bing
;
Lu, Lei
;
Zhou, Yi
- In:
Journal of financial and quantitative analysis : JFQA
54
(
2019
)
4
,
pp. 1791-1819
Persistent link: https://www.econbiz.de/10012139954
Saved in:
21
New evidence on conditional factor models
Cooper, Ilan
;
Maio, Paulo
- In:
Journal of financial and quantitative analysis : JFQA
54
(
2019
)
5
,
pp. 1975-2016
Persistent link: https://www.econbiz.de/10012140056
Saved in:
22
Estimation of multivariate asset models with jumps
Ballotta, Laura
;
Fusai, Gianluca
;
Loregian, Angela
; …
- In:
Journal of financial and quantitative analysis : JFQA
54
(
2019
)
5
,
pp. 2053-2083
Persistent link: https://www.econbiz.de/10012140059
Saved in:
23
New entropy restrictions and the quest for better-specified asset-pricing models
Bakshi, Gurdip S.
;
Chabi-Yo, Fousseni
- In:
Journal of financial and quantitative analysis : JFQA
54
(
2019
)
6
,
pp. 2517-2541
Persistent link: https://www.econbiz.de/10012165919
Saved in:
24
Coskewness risk decomposition, covariation risk, and intertemporal asset pricing
Kalev, Petko S.
;
Saxena, Konark
;
Zolotoy, Leon
- In:
Journal of financial and quantitative analysis : JFQA
54
(
2019
)
1
,
pp. 335-368
Persistent link: https://www.econbiz.de/10012128917
Saved in:
25
When factors do not span their basis portfolios
Grinblatt, Mark
;
Saxena, Konark
- In:
Journal of financial and quantitative analysis : JFQA
53
(
2018
)
6
,
pp. 2335-2354
Persistent link: https://www.econbiz.de/10012128025
Saved in:
26
Beta active hedge fund management
Duanmu, Jun
;
Malachov, Aleksej
;
McCumber, William
- In:
Journal of financial and quantitative analysis : JFQA
53
(
2018
)
6
,
pp. 2525-2558
Persistent link: https://www.econbiz.de/10012128051
Saved in:
27
Anomalies and market (dis)integration
Choi, Jaewon
;
Kim, Yongjune
- In:
Journal of monetary economics
100
(
2018
),
pp. 16-34
Persistent link: https://www.econbiz.de/10012109060
Saved in:
28
Beta matrix and common factors in stock returns
Ahn, Seung Chan
;
Horenstein, Alex R.
;
Wang, Na
- In:
Journal of financial and quantitative analysis : JFQA
53
(
2018
)
3
,
pp. 1417-1440
Persistent link: https://www.econbiz.de/10011930424
Saved in:
29
Asymmetry in stock comovements : an entropy approach
Jiang, Lei
;
Wu, Ke
;
Zhou, Guofu
- In:
Journal of financial and quantitative analysis : JFQA
53
(
2018
)
4
,
pp. 1479-1507
Persistent link: https://www.econbiz.de/10011930502
Saved in:
30
Social screens and systematic investor boycott risk
Luo, H. Arthur
;
Balvers, Ronald J.
- In:
Journal of financial and quantitative analysis : JFQA
52
(
2017
)
1
,
pp. 365-399
Persistent link: https://www.econbiz.de/10011667742
Saved in:
31
Time-varying beta and the value premium
Guo, Hui
;
Wu, Chaojiang
;
Yu, Yan
- In:
Journal of financial and quantitative analysis : JFQA
52
(
2017
)
4
,
pp. 1551-1576
Persistent link: https://www.econbiz.de/10011928397
Saved in:
32
Mutual fund performance evaluation and best clienteles
Chrétien, Stéphane
;
Kammoun, Manel
- In:
Journal of financial and quantitative analysis : JFQA
52
(
2017
)
4
,
pp. 1577-1604
Persistent link: https://www.econbiz.de/10011928398
Saved in:
33
A lottery-demand-based explanation of the beta anomaly
Bali, Turan G.
;
Brown, Stephen J.
;
Murray, Scott
;
Tang, Yi
- In:
Journal of financial and quantitative analysis : JFQA
52
(
2017
)
6
,
pp. 2369-2397
Persistent link: https://www.econbiz.de/10011929337
Saved in:
34
Best practice for cost-of-capital estimates
Levi, Yaron
;
Welch, Ivo
- In:
Journal of financial and quantitative analysis : JFQA
52
(
2017
)
2
,
pp. 427-464
Persistent link: https://www.econbiz.de/10011742050
Saved in:
35
Short-term interest rates and stock market anomalies
Maio, Paulo
;
Santa-Clara, Pedro
- In:
Journal of financial and quantitative analysis : JFQA
52
(
2017
)
3
,
pp. 927-961
Persistent link: https://www.econbiz.de/10011743860
Saved in:
36
Investor sentiment and economic forces
Shen, Junyan
;
Yu, Jianfeng
;
Zhao, Shen
- In:
Journal of monetary economics
86
(
2017
),
pp. 1-21
Persistent link: https://www.econbiz.de/10011799122
Saved in:
37
Time-varying idiosyncratic risk and aggregate consumption dynamics
McKay, Alisdair
- In:
Journal of monetary economics
88
(
2017
),
pp. 1-14
Persistent link: https://www.econbiz.de/10011799145
Saved in:
38
The cross-section and time series of stock and bond returns
Koijen, Ralph S. J.
;
Lustig, Hanno
;
Nieuwerburgh, Stijn van
- In:
Journal of monetary economics
88
(
2017
),
pp. 50-69
Persistent link: https://www.econbiz.de/10011799154
Saved in:
39
Asset price volatility, price markups, and macroeconomic fluctuations
Iraola, Miguel A.
;
Santos Santos, Manuel
- In:
Journal of monetary economics
90
(
2017
),
pp. 84-98
Persistent link: https://www.econbiz.de/10011799232
Saved in:
40
Creative destruction and asset prices
Grammig, Joachim
;
Jank, Stephan
- In:
Journal of financial and quantitative analysis : JFQA
51
(
2016
)
6
,
pp. 1739-1768
Persistent link: https://www.econbiz.de/10011654670
Saved in:
41
Estimating beta
Hollstein, Fabian
;
Prokopczuk, Marcel
- In:
Journal of financial and quantitative analysis : JFQA
51
(
2016
)
4
,
pp. 1437-1466
Persistent link: https://www.econbiz.de/10011610446
Saved in:
42
Risks for the long run : estimation with time aggregation
Bansal, Ravi
;
Kiku, Dana
;
Yaron, Amir
- In:
Journal of monetary economics
82
(
2016
),
pp. 52-69
Persistent link: https://www.econbiz.de/10011709475
Saved in:
43
The impact of investability on asset valuation
Errunza, Vihang R.
;
Ta, Hai
- In:
Journal of financial and quantitative analysis : JFQA
50
(
2015
)
5
,
pp. 1135-1163
Persistent link: https://www.econbiz.de/10011431154
Saved in:
44
Liquidity, assets and business cycles
Shi, Shouyong
- In:
Journal of monetary economics
70
(
2015
),
pp. 116-132
Persistent link: https://www.econbiz.de/10011381313
Saved in:
45
Evaluating international consumption risk sharing gains : an asset return view
Lewis, Karen K.
;
Liu, Edith X.
- In:
Journal of monetary economics
71
(
2015
),
pp. 84-98
Persistent link: https://www.econbiz.de/10011381612
Saved in:
46
Foreign currency returns and systematic risks
Atanasov, Victoria
;
Nitschka, Thomas
- In:
Journal of financial and quantitative analysis : JFQA
50
(
2015
)
1/2
,
pp. 231-250
Persistent link: https://www.econbiz.de/10011348000
Saved in:
47
Comment on "Growth uncertainty, generalized disappointment aversion and production-based asset pricing"
Lochstoer, Lars A.
- In:
Journal of monetary economics
69
(
2015
),
pp. 90-96
Persistent link: https://www.econbiz.de/10011326681
Saved in:
48
Growth uncertainty, generalized disappointment aversion and production-based asset pricing
Liu, Hening
;
Miao, Jianjun
- In:
Journal of monetary economics
69
(
2015
),
pp. 70-89
Persistent link: https://www.econbiz.de/10011326683
Saved in:
49
Risk and ambiguity in models of business cycles
Backus, David
;
Ferriere, Axelle
;
Zin, Stanley E.
- In:
Journal of monetary economics
69
(
2015
),
pp. 42-63
Persistent link: https://www.econbiz.de/10011326690
Saved in:
50
Asset pricing with heterogeneous preferences, beliefs, and portfolio constraints
Chabakauri, Georgy
- In:
Journal of monetary economics
75
(
2015
),
pp. 21-34
Persistent link: https://www.econbiz.de/10011569353
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