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Cross-sectional returns with volatility regimes from a diverse portfolio of emerging and developed equity indices

Sakowski, Paweł; Ślepaczuk, Robert; Wywiał, Mateusz - In: E-Finanse : finansowy kwartalnik internetowy 12 (2016) 2, pp. 23-35

fifth risk factor based on realized volatility of index returns. Moreover, instead of using data for stocks of a particular … market (which is a common approach in the literature), we check performance of these models for weekly data of 81 world … investable equity indices in the period of 2000-2015. Such an approach is proposed to estimate an equity risk premium for a …

Persistent link: https://www.econbiz.de/10011539896

Economic policy uncertainty, market returns and expected return predictability

Adjei, Frederick; Adjei, Mavis - In: Journal of financial economic policy 9 (2017) 3, pp. 242-259

Persistent link: https://www.econbiz.de/10011799942

Common risk factors in cryptocurrency

Liu, Yukun; Tsyvinski, Aleh; Wu, Xi - In: The journal of finance : the journal of the American … 77 (2022) 2, pp. 1133-1177

Persistent link: https://www.econbiz.de/10013190484

The impact of global financial market uncertainty on the risk-return relation in the stock markets of G7 countries

Loudon, Geoffrey F. - In: Studies in economics and finance 34 (2017) 1, pp. 2-23

Persistent link: https://www.econbiz.de/10011740671

The political risk factor in emerging, frontier, and developed stock markets

Dimic, Nebojsa; Orlov, Vitaly; Piljak, Vanja - In: Finance research letters 15 (2015), pp. 239-245

Persistent link: https://www.econbiz.de/10011553237

The impact of tradeoff between risk and return on mean reversion in sovereign CDS markets

Mili, Mehdi - In: Research in international business and finance 48 (2019), pp. 187-200

Persistent link: https://www.econbiz.de/10012135869

Global political risk and international stock returns

Gala, Vito D.; Pagliardi, Giovanni; Zenios, Stauros Andrea - In: Journal of empirical finance 72 (2023), pp. 78-102

Persistent link: https://www.econbiz.de/10014476810

What explains the benefits of international portfolio diversification?

Attig, Najah; Guedhami, Omrane; Nazaire, Gregory; Sy, Oumar - In: Journal of international financial markets, … 83 (2023), pp. 1-15

Persistent link: https://www.econbiz.de/10014306380

A comparison of new factor models

Hou, Kewei; Xue, Chen; Zhang, Lu - 2015

Using hundreds of significant anomalies as testing portfolios, this paper compares the performance of major empirical asset pricing models. The q-factor model and a closely related five-factor model are the two best performing models among a long array of models. The q-factor model outperforms...

Persistent link: https://www.econbiz.de/10011279578

Currency strategies and sovereign ratings

Karnaukh, Nina - 2016 - Fourth draft, 28 June 2016

sovereign ratings. I document that the profitability of the momentum strategy is large and significant among higher credit risk … currencies, but is nonexistent among lower credit risk currencies. The profitability of currency momentum disappears when … currencies rated BBB- or worse (16% of currency months) are excluded from the sample. The country credit risk conditions do not …

Persistent link: https://www.econbiz.de/10011687066