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Aggregate volatility and market jump risk : an option-based explanation to size and value premia

Arisoy, Yakup Eser - In: The journal of futures markets 34 (2014) 1, pp. 34-55

Persistent link: https://www.econbiz.de/10010254958

Volatility Risk and the Value Premium : Evidence from the French Stock Market

Arisoy, Yakup Eser - 2016

This paper documents that systematic volatility risk is an important factor that drives the value premium observed in the French stock market. Using returns on at-the-money straddles written on the CAC 40 index as a proxy for systematic volatility risk, I document significant differences between...

Persistent link: https://www.econbiz.de/10013008746

Risk and return in a dynamic general equilibrium model

Akdeniz, Levent - In: Journal of economic dynamics & control 24 (2000) 5/7, pp. 1079-1096

Persistent link: https://www.econbiz.de/10001465699

The equity premium in Brockś asset pricing model

Akdeniz, Levent (contributor); Dechert, W. Davis (contributor) - 2005

Persistent link: https://www.econbiz.de/10002740361

The equity premium in Brock's asset pricing model

Akdeniz, Levent; Dechert, W. Davis - In: Journal of economic dynamics & control 31 (2007) 7, pp. 2263-2292

Persistent link: https://www.econbiz.de/10003485082

The equity premium in consumption and production models

Akdeniz, Levent; Dechert, W. Davis - In: Macroeconomic dynamics 16 (2012), pp. 139-148

Persistent link: https://www.econbiz.de/10009533377