Is the Value Premium a Proxy for Time-Varying Investment Opportunities? Some Time-Series Evidence
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- repec:eee:empfin:v:46:y:2018:i:c:p:1-10 is not listed on IDEAS
- Jian Yang & Yinggang Zhou & Zijun Wang, 2010. "Conditional Coskewness in Stock and Bond Markets: Time-Series Evidence," Management Science, INFORMS, vol. 56(11), pages 2031-2049, November.
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- Huang, Lin & Wang, Zijun, 2014. "Is the investment factor a proxy for time-varying investment opportunities? The US and international evidence," Journal of Banking & Finance, Elsevier, vol. 44(C), pages 219-232.
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- M. Shahid Embrahim & Sourafel Girma & M. Eskander Shah & Jonathan Williams, 2013. "Rationalizing the Value Premium in Emerging Markets," Working Papers 13010, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
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- Han, Yufeng, 2012. "State uncertainty in stock markets: How big is the impact on the cost of equity?," Journal of Banking & Finance, Elsevier, vol. 36(9), pages 2575-2592.
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- ANNAERT, Jan & DE CEUSTER, Marc & VERSTEGEN, Kurt, 2012. "Are extreme returns priced in the stock market? European evidence," Working Papers 2012018, University of Antwerp, Faculty of Applied Economics.
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