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Volatility in U.S. housing sector and the reit equity return

Alam, Masud - In: The journal of real estate finance and economics 69 (2024) 3, pp. 505-544

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Idiosyncratic volatility and the cross-section of anomaly returns : is risk your ally?

Zaremba, Adam; Maydybura, Alina - In: Applied economics 51 (2019) 49, pp. 5388-5397

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Tail risk premia and return predictability

Bollerslev, Tim; Todorov, Viktor; Xu, Lai - 2014

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Tail risk premia and return predictability

Bollerslev, Tim; Todorov, Viktor; Xu, Lai - In: Journal of financial economics 118 (2015) 1, pp. 113-134

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Examining the sources of excess return predictability : stochastic volatility or market inefficiency?

Lansing, Kevin J.; LeRoy, Stephen F.; Ma, Jun - 2018

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The contribution of frictions to expected returns

Hirakiy, Kazuhiro; Skiadopoulos, George - 2018

We derive a model-free option-based formula to estimate the contribution of market frictions to expected returns (CFER) within an asset pricing setting. We estimate CFER for the U.S. optionable stocks. We document that CFER is sizable, it predicts stock returns and it subsumes the effect of...

Persistent link: https://www.econbiz.de/10011932555

The VIX's term structure of individual active stocks

Qadan, Mahmoud; David, Or; Snunu, Iyad; Shuval, Kerem - In: Finance research letters 61 (2024), pp. 1-9

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On the right jump tail inferred from the VIX market

Li, Zhenxiong; Yao, Xingzhi; Izzeldin, Marwan - In: International review of financial analysis 86 (2023), pp. 1-19

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Time series momentum : is it there?

Huang, Dashan; Li, Jiangyuan; Wang, Liyao; Zhou, Guofu - In: Journal of financial economics 135 (2020) 3, pp. 774-794

Persistent link: https://www.econbiz.de/10012543228

Technical trading index, return predictability and idiosyncratic volatility

Ma, Yao; Yang, Baochen; Su, Yunpeng - In: International review of economics & finance : IREF 69 (2020), pp. 879-900

Persistent link: https://www.econbiz.de/10012487457