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Analysis of stock markets risk spillover with copula models under the background of Chinese financial opening

Du, Jiangze; Chen, Xizhuo; Gong, Jincheng; Lin, Xiao; … - In: International journal of finance & economics : IJFE 28 (2023) 4, pp. 3997-4019

Persistent link: https://www.econbiz.de/10014429264

Momentum and crash sensitivity

Ruenzi, Stefan; Weigert, Florian - In: Economics letters 165 (2018), pp. 77-81

Persistent link: https://www.econbiz.de/10011973844

Stock profiling using time-frequency-varying systematic risk measure

Mestre, Roman - In: Financial innovation : FIN 9 (2023) 1, pp. 1-29

(CAPM) framework. The dynamic of systematic risk across time and frequency is analyzed to investigate stock risk … characteristics. We use a daily panel of French stocks from 2012 to 2022. Results show that varying systematic risk varies in time and … lesser robustness of risk profiles. Significant differences exist in short-run and long-run risk profiles, implying a …

Persistent link: https://www.econbiz.de/10014289044

A novel downside risk measure and expected returns

Liu, Jinjing - 2019

Several studies have found that the cross-section of stock returns reflects a risk premium for bearing downside risk …; however, existing measures of downside risk have poor power for predicting returns. Therefore, this paper proposes a novel … measure of downside risk, the ES-implied beta, to improve the prediction of the cross-section of asset returns. The ES …

Persistent link: https://www.econbiz.de/10012113746

Asymmetric dependence in real estate investment trusts : an asset-pricing analysis

Alcock, Jamie; Andrlikova, Petra - In: The journal of real estate finance and economics 56 (2018) 2, pp. 183-216

Persistent link: https://www.econbiz.de/10011966511

Measuring portfolio risk : how size, book-to-market and prior portfolio returns are related to their risk-adjusted performance?

Plastira, Sotiria - In: International journal of computational economics and … 7 (2017) 3, pp. 302-320

Persistent link: https://www.econbiz.de/10011740374

A note on a new weighted idiosyncratic risk measure

Jan, Yin-Ching - In: International journal of financial research 5 (2014) 3, pp. 194-198

Persistent link: https://www.econbiz.de/10010458525

The case of "less is more" : modelling risk-preference with expected downside risk

Ormos, Mihály; Timotity, Dusán - In: The B.E. journal of theoretical economics 17 (2017) 2, pp. 1-14

Persistent link: https://www.econbiz.de/10011709696

Measuring dependence in a set of asset returns

Madan, Dilip B.; Wang, King - In: Asia Pacific financial markets 30 (2023) 2, pp. 363-385

Persistent link: https://www.econbiz.de/10014342359

Is there a risk premium? : Evidence from thirteen measures

Fracasso, Laís Martins; Müller, Fernanda Maria; … - In: The quarterly review of economics and finance : journal … 92 (2023), pp. 182-199

Persistent link: https://www.econbiz.de/10014490275