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A regime-switching Nelson-Siegel term structure model and interest rate forecasts

Xiang, Ju; Zhu, Xiaoneng - In: Journal of financial econometrics : official journal of … 11 (2013) 3, pp. 522-555

Persistent link: https://www.econbiz.de/10009786516

Relation between VIX’s Return and Volatility : A Behavioral Explanation

Xiang, Ju - 2011

I investigate the relation between returns and volatility at daily to 1-min intervals for VIX ETNs (like ETFs) and futures. As VIX is the implied volatility index and also known as “fear gauge”, this study is on relation between returns of volatility and volatilities of volatility. I find...

Persistent link: https://www.econbiz.de/10013125136

Disagreement in economic forecasts and equity returns : risk or mispricing?

Bali, Turan G.; Brown, Stephen J.; Tang, Yi - In: China finance review international 13 (2023) 3, pp. 309-341

Persistent link: https://www.econbiz.de/10014362710

Investor regret and stock returns

Arisoy, Yakup Eser; Bali, Turan G.; Tang, Yi - In: Management science : journal of the Institute for … 70 (2024) 11, pp. 7537-7558

Persistent link: https://www.econbiz.de/10015144204

Dynamic conditional beta is alive and well in the cross-section of daily stock returns

Bali, Turan G.; Engle, Robert F.; Tang, Yi - 2013 - This draft: October 8, 2012

This paper investigates the significance of dynamic conditional beta in predicting the cross-sectional variation in expected stock returns. The results indicate that the time-varying conditional beta is alive and well in the cross-section of daily stock returns. Portfolio-level analyses and...

Persistent link: https://www.econbiz.de/10009710605

Liquidity shocks and stock market reactions

Bali, Turan G.; Peng, Lin; Shen, Yannan; Tang, Yi - In: The review of financial studies 27 (2014) 5, pp. 1434-1485

Persistent link: https://www.econbiz.de/10010370791

Time-varying sharpe ratios and market timing

Tang, Yi; Whitelaw, Robert F. - In: The quarterly journal of finance 1 (2011) 3, pp. 465-493

Persistent link: https://www.econbiz.de/10009419267

The conditional beta and the cross-section of expected returns

Bali, Turan G.; Cakici, Nusret; Tang, Yi - In: Financial management 38 (2009) 1, pp. 103-137

Persistent link: https://www.econbiz.de/10003851884

Imports, exports, dollar exposures, and stock returns

Chakraborty, Suparna; Tang, Yi; Wu, Liuren - In: Open economies review 26 (2015) 5, pp. 1059-1079

Persistent link: https://www.econbiz.de/10011481912

A lottery-demand-based explanation of the beta anomaly

Bali, Turan G.; Brown, Stephen J.; Murray, Scott; Tang, Yi - In: Journal of financial and quantitative analysis : JFQA 52 (2017) 6, pp. 2369-2397

Persistent link: https://www.econbiz.de/10011929337