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Bond return predictability : economic value and links to the macroeconomy

Gargano, Antonio; Pettenuzzo, Davide; Timmermann, Allan - In: Management science : journal of the Institute for … 65 (2019) 2, pp. 508-540

Persistent link: https://www.econbiz.de/10012000665

Information Uncertainty, Volatility Term Structure and Index Option Returns

Zhu, Cai - 2015

-varying volatility for stock returns, even when volatility of economic fundamental is constant. As a source of risk, for investors with … and has better performance to explain cross-section index option returns than traditional symmetric risk factors such as …In this paper, we explore the relation between information uncertainty and S&P 500 index option returns. Since …

Persistent link: https://www.econbiz.de/10013024745

Volatility Index

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

Persistent link: https://www.econbiz.de/10014491016

Insights on the global macro-finance interface : structural sources of risk factor fluctuations and the cross-section of expected stock returns

Morana, Claudio - In: Journal of empirical finance 29 (2014), pp. 64-79

Persistent link: https://www.econbiz.de/10011300504

The impact of uncertainty in the oil and gold market on the cross-section of stock returns

Bams, Dennis; Blanchard, Gildas; Honarvar, Iman; … - 2015

Persistent link: https://www.econbiz.de/10011547101

Are idiosyncratic volatility and MAX priced in the Canadian market?

Aboulamer, Anas; Kryzanowski, Lawrence - In: Journal of empirical finance 37 (2016), pp. 20-36

Persistent link: https://www.econbiz.de/10011662897

An examination of the relation between asymmetric risk measures, prior returns and expected daily stock returns

Huffman, Stephen P.; Moll, Cliff R. - In: Review of financial economics : RFE 22 (2013) 1, pp. 8-19

Persistent link: https://www.econbiz.de/10009717860

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

Is sentiment the solution to the risk-return puzzle? : a (cautionary) note

Ung, Sze Nie; Ge̜bka, Bartosz; Anderson, Robert D. J. - In: Journal of behavioral and experimental finance 37 (2023), pp. 1-11

Persistent link: https://www.econbiz.de/10014456475

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

Persistent link: https://www.econbiz.de/10012197236