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Time-varying variance risk premium and the predictability of Chinese stock market return

Chen, Jian; He, Chen; Zhang, Jing - In: Emerging markets finance & trade : a journal of the … 53 (2017) 7/8/9, pp. 1734-1748

Persistent link: https://www.econbiz.de/10011824743

Climate risk exposure and the cross-section of Chinese stock returns

Zhang, Yaojie; He, Mengxi; Liao, Cunfei; Wang, Yudong - In: Finance research letters 55 (2023) 2, pp. 1-7

Persistent link: https://www.econbiz.de/10014473512

International Volatility Risk and Chinese Stock Return Predictability

Chen, Jian - 2017

This paper investigates the predictive ability of international volatility risk for the daily aggregate Chinese stock … international volatility risk proxies. We find that international volatility risks are negatively associated with contemporaneous … risk (DVIX) is particularly powerful in forecasting Chinese daytime stock returns, and plays a dominant role relative to …

Persistent link: https://www.econbiz.de/10012972144

Risk and return in the Chinese stock market : does equity return dispersion proxy risk?

Chen, Chun-Da; Demirer, Rıza; Jategaonkar, Shrikant P. - In: Pacific-Basin finance journal 33 (2015), pp. 23-37

Persistent link: https://www.econbiz.de/10011474042

Economic policy uncertainty and stock market returns : new evidence

Xu, Yongan; Wang, Jianqiong; Chen, Zhonglu; Liang, Chao - In: The North American journal of economics and finance : a … 58 (2021), pp. 1-14

Persistent link: https://www.econbiz.de/10013187655

State dependence of aggregated risk aversion : evidenve for the German stock market

Hansen, Marc; Herwartz, Helmut; Rengel, Malte - In: Journal of applied economics 17 (2014) 2, pp. 257-281

Persistent link: https://www.econbiz.de/10011554687

Incorporating economic policy uncertainty in US equity premium models : a nonlinear predictability analysis

Bekiros, Stelios; Gupta, Rangan; Majumdar, Anandamayee - In: Finance research letters 18 (2016), pp. 291-296

Persistent link: https://www.econbiz.de/10011657223

Can financial uncertainty forecast aggregate stock market returns?

Henry, Ólan Thomas John; Kerestecioglu, Semih; Pybis, Sam - In: Financial markets, institutions & instruments 33 (2024) 2, pp. 91-111

Persistent link: https://www.econbiz.de/10014532257

Predicting the equity premium with a high-threshold risk level and the price of risk

Bansal, Naresh K.; Stivers, Christopher T. - 2025

Persistent link: https://www.econbiz.de/10015396001

Expected returns and risk in the stock market

Brennan, Michael J.; Taylor, Alex P. - In: Journal of empirical finance 72 (2023), pp. 276-300

Persistent link: https://www.econbiz.de/10014476857