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Systematic risk and the cross section of hedge fund returns

Bali, Turan G.; Brown, Stephen J.; Caglayan, Mustafa O. - In: Journal of financial economics 106 (2012) 1, pp. 114-131

Persistent link: https://www.econbiz.de/10009666668

A new approach to measuring riskiness in the equity market : implications for the risk premium

Bali, Turan G.; Cakici, Nusret; Chabi-Yo, Fousseni - In: Journal of banking & finance 57 (2015), pp. 101-117

Persistent link: https://www.econbiz.de/10011543805

Common risk factors in the cross-section of corporate bond returns

Bai, Jennie; Bali, Turan G.; Wen, Quan - In: Journal of financial economics 131 (2019) 3, pp. 619-642

Persistent link: https://www.econbiz.de/10012133022

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

Bond market evidence of time variation in exposures to global risk factors and the role of US monetary policy

Nitschka, Thomas - In: Journal of international money and finance 83 (2018), pp. 44-54

Persistent link: https://www.econbiz.de/10012000302

Comment on: nonparametric tail risk, stock returns, and the macroeconomy

Bali, Turan G. - In: Journal of financial econometrics : official journal of … 15 (2017) 3, pp. 413-417

Persistent link: https://www.econbiz.de/10011987520

Rejoinder on: nonparametric tail risk, stock returns, and the macroeconomy

Almeida, Caio; Ardison, Kym; Garcia, René; Vicente, Jose - In: Journal of financial econometrics : official journal of … 15 (2017) 3, pp. 418-426

Persistent link: https://www.econbiz.de/10011987534

Risk premia on Swiss government bonds and sectoral stock indexes during international crises

Nitschka, Thomas - In: Aussenwirtschaft : schweizerische Zeitschrift für … 67 (2016) 2, pp. 51-67

Persistent link: https://www.econbiz.de/10011603230

Risk, uncertainty, and expected returns

Bali, Turan G.; Zhou, Hao - In: Journal of financial and quantitative analysis : JFQA 51 (2016) 3, pp. 707-735

Persistent link: https://www.econbiz.de/10011610100

Currency excess returns and global downside market risk

Atanasov, Victoria; Nitschka, Thomas - In: Journal of international money and finance 47 (2014), pp. 268-285

Persistent link: https://www.econbiz.de/10010464017