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Are Fama-French and momentum factors really priced?

Tai, Chu-sheng - In: Journal of multinational financial management 13 (2003) 4/5, pp. 359-384

Persistent link: https://www.econbiz.de/10001782065

Looking for contagion in currency futures markets

Tai, Chu-sheng - In: The journal of futures markets 23 (2003) 10, pp. 957-988

Persistent link: https://www.econbiz.de/10001789597

Can currency risk be a source of risk premium in explaining forward premium puzzle? : Evidence from Asia-Pacific forward exchange markets

Tai, Chu-sheng - In: Journal of international financial markets, … 13 (2003) 4, pp. 291-311

Persistent link: https://www.econbiz.de/10001792855

Looking for risk premium and contagion in Asia-Pacific foreign exchange markets

Tai, Chu-sheng - In: International review of financial analysis 13 (2004) 4, pp. 381-409

Persistent link: https://www.econbiz.de/10002224850

Contagion: evidence from international banking industry

Tai, Chu-sheng - In: Journal of multinational financial management 14 (2004) 4/5, pp. 353-368

Persistent link: https://www.econbiz.de/10002164358

Market integration and currency risk in Asian emerging markets

Tai, Chu-sheng - In: Research in international business and finance 21 (2007) 1, pp. 98-117

Persistent link: https://www.econbiz.de/10003410759

Are Fama-French and Momentum Factors Really Priced?

Tai, Chu-sheng - 2021

This paper investigates whether the existence of pricing anomalies represents compensation for bearing extra-market risks by directly testing a version of Merton's (1973) Intertemporal CAPM (ICAPM), allowing for both time-varying first and second moments of asset returns. The conditional ICAPM...

Persistent link: https://www.econbiz.de/10013244921

Time-varying risk premia in foreign exchange and equity markets : evidence from Asia-Pacific countries

Tai, Chu-sheng - In: Journal of multinational financial management 9 (1999) 3/4, pp. 291-316

Persistent link: https://www.econbiz.de/10001506199

Time-Varying Risk Premia in Foreign Exchange and Equity Markets : Evidence From Asia–Pacific Countries

Tai, Chu-Sheng - 2021

This paper examines the validity of the risk premia hypothesis in explaining deviations from Uncovered Interest Parity (UIP) and the role of deviations from Purchasing Power Parity (PPP) in the pricing of foreign exchange rates and equity securities in five Asia–Pacific countries and the US....

Persistent link: https://www.econbiz.de/10013244925