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Global variance term premia and intermediary risk appetite
Van Tassel, Peter; Vogt, Erik - 2016
Sellers of variance swaps earn time-varying risk premia for their exposure to realized variance, the level of variance swap rates, and the slope of the variance swap curve. To measure risk premia, we estimate a dynamic term structure model that decomposes variance swap rates into expected...
Persistent link: https://www.econbiz.de/10011523781
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Value premium and implied equity duration in the Japanese stock market
Fukuta, Yuichi; Yamane, Akiko - In: Journal of international financial markets, … 39 (2015), pp. 102-121
Persistent link: https://www.econbiz.de/10011475648
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Anomalies, risk adjustment and seasonality : Australian evidence
Zhong, Angel; Limkriangkrai, Manapon; Gray, Philip K. - In: International review of financial analysis 35 (2014), pp. 207-218
Persistent link: https://www.econbiz.de/10010530242
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Investor attention, information acquisition, and value premium : a mispricing perspective
Ahmad, Fawad; Oriani, Raffaele - In: International review of financial analysis 79 (2022), pp. 1-21
Persistent link: https://www.econbiz.de/10013349824
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Saving-based asset pricing and leisure
Dreyer, Johannes Kabderian; Schneider, Johannes; Smith, … - In: Annals of economics and finance 21 (2020) 2, pp. 507-526
Persistent link: https://www.econbiz.de/10012647888
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Essays on financial economics
Warusawitharana, Missaka - 2006
Persistent link: https://www.econbiz.de/10003908769
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Efficiency of capital markets : a new perspective on the value premium and day-of-the-week effect
Procasky, William J.; Raja, Zubair Ali; Oyotode, Renée - In: International journal of portfolio analysis and … 2 (2018) 2, pp. 114-140
Persistent link: https://www.econbiz.de/10012253640
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Idiosyncratic volatility and the cross-section of anomaly returns : is risk your ally?
Zaremba, Adam; Maydybura, Alina - In: Applied economics 51 (2019) 49, pp. 5388-5397
Persistent link: https://www.econbiz.de/10012197236
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Value return predictability across asset classes and commonalities in risk premia
Yara, Fahiz Baba; Boons, Martijn; Tamoni, Andrea - In: Review of finance : journal of the European Finance … 25 (2021) 2, pp. 449-484
Persistent link: https://www.econbiz.de/10012546171
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Asset pricing and impact investing with pro-environmental preferences
Zerbib, Olivier David - 2020
Persistent link: https://www.econbiz.de/10012312117