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Ambiguity in the cross-section of expected returns : an empirical assessment

Thimme, Julian; Völkert, Clemens - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 3, pp. 418-429

Persistent link: https://www.econbiz.de/10011390409

Endogenous time-varying risk aversion and asset returns

Berardi, Michele - In: Journal of evolutionary economics : JEE 26 (2016) 3, pp. 581-601

Persistent link: https://www.econbiz.de/10011561935

Joint extreme events in equity returns and liquidity and their cross-sectional pricing implications

Ruenzi, Stefan; Ungeheuer, Michael; Weigert, Florian - 2020 - This version: January 2020

We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside liquidity (EDL) risks. The cross-section of stock returns reflects a premium if a stock's return (liquidity) is lowest at the same time when the market liquidity (return) is lowest....

Persistent link: https://www.econbiz.de/10012175486

Joint Extreme events in equity returns and liquidity and their cross-sectional pricing implications

Ruenzi, Stefan; Ungeheuer, Michael; Weigert, Florian - In: Journal of banking & finance 115 (2020), pp. 1-31

Persistent link: https://www.econbiz.de/10012489163

Chapter 13 Consumption-based asset pricing

Campbell, John Y. - 2003

theory. Data from other countries are examined to see which features of the U.S. experience apply more generally. The chapter …

Persistent link: https://www.econbiz.de/10014023858

A global factor in variance risk premia and local bond pricing

Kaminska, Iryna; Roberts-Sklar, Matt - 2015

Persistent link: https://www.econbiz.de/10011443308

Risk-free yields, risk aversion, and volatility

Azar, Samih Antoine - In: International journal of economics and financial issues … 7 (2017) 3, pp. 105-112

Persistent link: https://www.econbiz.de/10011811059

Good Jumps, Bad Jumps, and Conditional Equity Premium

Guo, Hui - 2019

consistent with an asset pricing model allowing for both time-varying jump intensity and stochastic volatility of volatility to …

Persistent link: https://www.econbiz.de/10012904660

Incomplete information, idiosyncratic volatility and stock returns

Berrada, Tony; Hugonnier, Julien - In: Journal of banking & finance 37 (2013) 2, pp. 448-462

Persistent link: https://www.econbiz.de/10009705642

Market skewness risk and the cross section of stock returns

Chang, Bo Young; Christoffersen, Peter F.; Jakobs, Kris - In: Journal of financial economics 107 (2013) 1, pp. 46-68

Persistent link: https://www.econbiz.de/10009715175