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FX liquidity risk and forward premium puzzle

Abankwa, Samuel - In: Quarterly journal of finance & accounting : QJFA 58 (2020) 1/2, pp. 101-132

Persistent link: https://www.econbiz.de/10012288688

Macroeconomic factors and equity premium predictability

Buncic, Daniel; Tischhauser, Martin - 2015

Persistent link: https://www.econbiz.de/10011717279

Macroeconomic factors and equity premium predictability

Buncic, Daniel; Tischhauser, Martin - In: International review of economics & finance : IREF 51 (2017), pp. 621-644

Persistent link: https://www.econbiz.de/10011754673

Cross-sectional factor dynamics and momentum returns

Avramov, Doron; Hore, Satadru - In: Journal of financial markets 32 (2017), pp. 69-96

Persistent link: https://www.econbiz.de/10011814969

Financial assets, expected return and risk, speculation, uncertainty, and exchange rate determination

Kallianiotis, Ioannis N.; Bianchi, Karen; Arize, … - In: European research studies 23 (2020) 3, pp. 3-30

Persistent link: https://www.econbiz.de/10012286910

The skewness of oil price returns and equity premium predictability

Dai, Zhifeng; Zhou, Huiting; Kang, Jie; Wen, Fenghua - In: Energy economics 94 (2021), pp. 1-11

Persistent link: https://www.econbiz.de/10012649450

Forward-premium puzzle : is it time to abandon the usual regression?

Costa, Carlos E. da; Jesus Filho, Jaime de; Matos, Paulo - In: Applied economics 48 (2016) 28/30, pp. 2852-2867

Persistent link: https://www.econbiz.de/10011594564

A likelihood-based comparison of macro asset pricing models

Chen, Andrew Y.; Wasyk, Rebecca; Winkler, Fabian - 2017

Persistent link: https://www.econbiz.de/10011708494

Time-frequency Forecast of the Equity Premium

Faria, Gonçalo - 2020

Any time series can be decomposed into cyclical components fluctuating at different frequencies. Accordingly, in this paper we propose a method to forecast the stock market's equity premium which exploits the frequency relationship between the equity premium and several predictor variables. We...

Persistent link: https://www.econbiz.de/10012835434

Testing the long-run risk model : a Kalman filter approach

Wang, Jianqiu; Wu, Ke - In: Annals of financial economics 13 (2018) 4, pp. 1-15

Persistent link: https://www.econbiz.de/10011984134