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Discussion of why do EPS forecast error and dispersion not vary with scale? : implications for analyst and managerial behavior

Ball, Ryan T. - In: Journal of accounting research 49 (2011) 2, pp. 403-412

Persistent link: https://www.econbiz.de/10009126090

The restrictions on predictability implied by rational asset pricing models

Kirby, Chris - In: The review of financial studies 11 (1998) 2, pp. 343-382

Persistent link: https://www.econbiz.de/10001244459

Good volatility, bad volatility : signed jumps and the persistence of volatility

Patton, Andrew J.; Sheppard, Kevin - In: The review of economics and statistics 97 (2015) 3, pp. 683-697

Persistent link: https://www.econbiz.de/10011333073

Moment Risk Premia and Stock Return Predictability

Fan, Zhenzhen - 2020

We study the predictive power of option-implied moment risk premia embedded in theconventional variance risk premium. We ﬁnd that while the second moment risk premiumpredicts market returns in short horizons with positive coeﬃcients, the third (fourth)moment risk premium predicts market...

Persistent link: https://www.econbiz.de/10012852912