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Return comovement and price volatility : a study of the US dairy commodity futures markets

Fan, Zaifeng; Jump, Jeff; Yu, Linda - In: Applied economics 57 (2025) 2, pp. 232-250

Persistent link: https://www.econbiz.de/10015191814

Moment Risk Premia and Stock Return Predictability

Fan, Zhenzhen - 2020

We study the predictive power of option-implied moment risk premia embedded in theconventional variance risk premium. We ﬁnd that while the second moment risk premiumpredicts market returns in short horizons with positive coeﬃcients, the third (fourth)moment risk premium predicts market...

Persistent link: https://www.econbiz.de/10012852912

US equity tail risk and currency risk premia

Fan, Zhenzhen; Londono, Juan M.; Xiao, Xiao - 2019 - This version: July 2019

Persistent link: https://www.econbiz.de/10012065069

Moment risk premia and stock return predictability

Fan, Zhenzhen; Xiao, Xiao; Zhou, Hao - In: Journal of financial and quantitative analysis : JFQA 57 (2022) 1, pp. 67-93

Persistent link: https://www.econbiz.de/10012805776

Equity tail risk and currency risk premiums

Fan, Zhenzhen; Londono, Juan M.; Xiao, Xiao - In: Journal of financial economics 143 (2022) 1, pp. 484-503

Persistent link: https://www.econbiz.de/10013350667

Currency carry trade : the decline in performance after the 2008 Global Financial Crisis

Fan, Zhenzhen; Paseka, Alexander; Qi, Zhen; Zhang, Qi - In: Journal of international financial markets, … 76 (2022), pp. 1-16

Persistent link: https://www.econbiz.de/10013412772