Similar Search Results

Hybrid tail risk and expected stock returns : when does the tail wag the dog?

Bali, Turan G.; Cakici, Nusret; Whitelaw, Robert F. - 2013

Persistent link: https://www.econbiz.de/10010191590

Hybrid tail risk and expected stock returns : when does the tail wag the dog?

Bali, Turan G.; Cakici, Nusret; Whitelaw, Robert F. - In: Review of asset pricing studies 4 (2014) 2, pp. 206-246

Persistent link: https://www.econbiz.de/10010476900

Expected returns and volatility of Fama-French factors

Chabi-Yo, Fousseni - 2009 - This version: September 25, 2009

Persistent link: https://www.econbiz.de/10003887678

Charting by machines

Murray, Scott; Xia, Yusen; Xiao, Houping - In: Journal of financial economics 153 (2024), pp. 1-28

Persistent link: https://www.econbiz.de/10015072059

Expected Returns and Volatility of Fama-French Factors

Chabi-Yo, Fousseni - 2010

In this paper, I show that the variance of Fama-French factors, the variance of the momentum factor, as well as the correlation between these factors, predict an important fraction of the time-series variation in post-1990 aggregate stock market returns. This predictability is particularly...

Persistent link: https://www.econbiz.de/10013150662

A recovery that we can trust? : deducing and testing the restrictions of the recovery theorem

Bakshi, Gurdip S.; Chabi-Yo, Fousseni; Gao, Xiaohui - In: The review of financial studies 31 (2018) 2, pp. 532-555

Persistent link: https://www.econbiz.de/10011925241

Generalized bounds on the conditional expected excess return on individual stocks

Chabi-Yo, Fousseni; Dim, Chukwuma Chijioke; Vilkov, Grigory - In: Management science : journal of the Institute for … 69 (2023) 2, pp. 922-939

Persistent link: https://www.econbiz.de/10014295173

A generalized extreme value approach to financial risk measurement

Bali, Turan G. - In: Journal of money, credit and banking : JMCB 39 (2007) 7, pp. 1613-1649

Persistent link: https://www.econbiz.de/10003549211

Liquidity and the cross-section of international stock returns

Cakici, Nusret; Zaremba, Adam - In: Journal of banking & finance 127 (2021), pp. 1-13

Persistent link: https://www.econbiz.de/10012820574

Return predictability of Turkish stocks : an empirical investigation

Cakici, Nusret; Topyan, Kudret - In: Emerging markets finance & trade : a journal of the … 49 (2013) 5, pp. 99-119

Persistent link: https://www.econbiz.de/10010258511