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Time-varying market, interest rate, and exchange rate risk premia in the US commercial bank stock returns

Tai, Chu-sheng - In: Journal of multinational financial management 10 (2000) 3/4, pp. 397-420

Persistent link: https://www.econbiz.de/10001532710

A multivariate GARCH in mean approach to testing uncovered interest parity : evidence from Asia-Pacific foreign exchange markets

Tai, Chu-sheng - In: The quarterly review of economics and finance : journal … 41 (2001) 4, pp. 441-460

Persistent link: https://www.econbiz.de/10001615339

Are Fama-French and momentum factors really priced?

Tai, Chu-sheng - In: Journal of multinational financial management 13 (2003) 4/5, pp. 359-384

Persistent link: https://www.econbiz.de/10001782065

Looking for contagion in currency futures markets

Tai, Chu-sheng - In: The journal of futures markets 23 (2003) 10, pp. 957-988

Persistent link: https://www.econbiz.de/10001789597

Can currency risk be a source of risk premium in explaining forward premium puzzle? : Evidence from Asia-Pacific forward exchange markets

Tai, Chu-sheng - In: Journal of international financial markets, … 13 (2003) 4, pp. 291-311

Persistent link: https://www.econbiz.de/10001792855

Can bank be a source of contagion during the 1997 Asian crisis?

Tai, Chu-sheng - In: Journal of banking & finance 28 (2004) 2, pp. 399-421

Persistent link: https://www.econbiz.de/10001863274

Looking for risk premium and contagion in Asia-Pacific foreign exchange markets

Tai, Chu-sheng - In: International review of financial analysis 13 (2004) 4, pp. 381-409

Persistent link: https://www.econbiz.de/10002224850

Foreign exchange risk and risk exposure in the Japanese stock market

Tai, Chu-sheng - In: Managerial finance 36 (2010) 6, pp. 511-524

Persistent link: https://www.econbiz.de/10003990890

Are Fama-French and Momentum Factors Really Priced?

Tai, Chu-sheng - 2021

This paper investigates whether the existence of pricing anomalies represents compensation for bearing extra-market risks by directly testing a version of Merton's (1973) Intertemporal CAPM (ICAPM), allowing for both time-varying first and second moments of asset returns. The conditional ICAPM...

Persistent link: https://www.econbiz.de/10013244921

Can Currency Risk Be a Source of Risk Premium in Explaining Forward Premium Puzzle? Evidence from Asia-Pacific Forward Exchange Markets

Tai, Chu-sheng - 2021

This paper studies time-varying price of risk and volatility in Asia-Pacific forward exchange markets in an attempt to see whether currency risk can be a potential source of risk premium to explain forward premium puzzle. To derive a measure of the risk premium, a conditional version of...

Persistent link: https://www.econbiz.de/10013244922