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Goulding, Christian L.; Harvey, Campbell R.; Mazzoleni, … - In: Financial analysts journal : FAJ 80 (2024) 1, pp. 84-98

Persistent link: https://www.econbiz.de/10014576152

Crude Oil Prices, Risk Preferences, and Intertemporal Variation in Market Expected Returns : Empirical Evidence from the Nigerian Stock Exchange (NSE)

Obrimah, Oghenovo A. - 2019

volatility risk and oil price risk. I refer to this effect as the `risk' effect on stock returns. Independent of effects on risk …

Persistent link: https://www.econbiz.de/10012903916

Asset Return Dynamics Under Habits and Bad-Environment-Good Environment Fundamentals

Bekaert, Geert - 2019

comovements with the macroeconomic outlook. In particular, when option-implied volatility is high, as measured for instance by the …

Persistent link: https://www.econbiz.de/10012904045

Does betting against beta strategy work in major Asian Markets?

Sehgal, Sanjay; Rakhyani, Sarika; Deisting, Florent - In: Pacific-Basin finance journal 75 (2022), pp. 1-25

Persistent link: https://www.econbiz.de/10013552467

Asset Return Dynamics under Bad Environment-Good Environment Fundamentals

Bekaert, Geert - 2011

We introduce a "bad environment-good environment" technology for consumption growth in a consumption-based asset pricing model. Using the preference structure from Campbell and Cochrane (1999), the model generates realistic non-Gaussian features of fundamentals while still permitting closed-form...

Persistent link: https://www.econbiz.de/10013134516

Asset Return Dynamics Under Bad Environment Good Environment Fundamentals

Bekaert, Geert - 2010

pricing model. Using the preference structure from Campbell and Cochrane (1999), the model generates realistic time …-varying volatility, skewness and kurtosis in fundamentals while still permitting closed-form solutions for asset prices. The model not …

Persistent link: https://www.econbiz.de/10013151389