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What is the expected return on the market?

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Cited by:

  1. Irma Alonso & Pedro Serrano & Antoni Vaello-Sebastià, 2021. "The impact of heterogeneous unconventional monetary policies on the expectations of market crashes," Working Papers 2127, Banco de España.
  2. Kroencke, Tim A. & Schmeling, Maik & Schrimpf, Andreas, 2021. "The FOMC Risk Shift," Journal of Monetary Economics, Elsevier, vol. 120(C), pages 21-39.
  3. Ian W. R. Martin & Christian Wagner, 2019. "What Is the Expected Return on a Stock?," Journal of Finance, American Finance Association, vol. 74(4), pages 1887-1929, August.
  4. Peter Van Tassel, 2020. "The Law of One Price in Equity Volatility Markets," Staff Reports 953, Federal Reserve Bank of New York.
  5. Barro, Robert J. & Liao, Gordon Y., 2021. "Rare disaster probability and options pricing," Journal of Financial Economics, Elsevier, vol. 139(3), pages 750-769.
  6. Yabei Zhu & Xingguo Luo & Qi Xu, 2023. "Industry variance risk premium, cross‐industry correlation, and expected returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(1), pages 3-32, January.
  7. Faten Ben Bouheni & Manish Tewari, 2023. "Common risk factors and risk–return trade-off for REITs and treasuries," Journal of Asset Management, Palgrave Macmillan, vol. 24(5), pages 374-395, September.
  8. Andrew Lilley & Matteo Maggiori & Brent Neiman & Jesse Schreger, 2019. "Exchange Rate Reconnect," NBER Working Papers 26046, National Bureau of Economic Research, Inc.
  9. German Gutierrez, 2018. "Investigating Global Labor and Pro t Shares," 2018 Meeting Papers 165, Society for Economic Dynamics.
  10. Horvath, Jaroslav, 2019. "Isolating the disaster risk premium with equity options," Journal of Empirical Finance, Elsevier, vol. 51(C), pages 138-148.
  11. Mathias Krogh & Giovanni Pellegrino, "undated". "Real Activity and Uncertainty Shocks: The Long and the Short of It," "Marco Fanno" Working Papers 0310, Dipartimento di Scienze Economiche "Marco Fanno".
  12. Ding, Ashley, 2021. "A state-preference volatility index for the natural gas market," Energy Economics, Elsevier, vol. 104(C).
  13. João Henrique G. Mazzeu & Gloria González-Rivera & Esther Ruiz & Helena Veiga, 2020. "A bootstrap approach for generalized Autocontour testing Implications for VIX forecast densities," Econometric Reviews, Taylor & Francis Journals, vol. 39(10), pages 971-990, November.
  14. Singh, Mahendra Kumar & Lence, Sergio H., 2023. "Market Stress in Agricultural Markets: Can Alternative Implied Volatility Measures Predict It?," 2023 Annual Meeting, July 23-25, Washington D.C. 335789, Agricultural and Applied Economics Association.
  15. Susanto Basu & Giacomo Candian & Ryan Chahrour & Rosen Valchev, 2021. "Risky Business Cycles," Boston College Working Papers in Economics 1029, Boston College Department of Economics.
  16. Fousseni Chabi-Yo & Chukwuma Dim & Grigory Vilkov, 2023. "Generalized Bounds on the Conditional Expected Excess Return on Individual Stocks," Management Science, INFORMS, vol. 69(2), pages 922-939, February.
  17. Michael D Bauer & Aeimit Lakdawala & Philippe Mueller, 2022. "Market-Based Monetary Policy Uncertainty," The Economic Journal, Royal Economic Society, vol. 132(644), pages 1290-1308.
  18. Jensen, Christian Skov & Lando, David & Pedersen, Lasse Heje, 2019. "Generalized recovery," Journal of Financial Economics, Elsevier, vol. 133(1), pages 154-174.
  19. Elkamhi, Redouane & Jo, Chanik, 2023. "Asset holders’ consumption risk and tests of conditional CCAPM," Journal of Financial Economics, Elsevier, vol. 148(3), pages 220-244.
  20. Ko Adachi & Kazuhiro Hiraki & Tomiyuki Kitamura, 2021. "Supplementary Paper Series for the "Assessment" (1): The Effects of the Bank of Japan's ETF Purchases on Risk Premia in the Stock Markets," Bank of Japan Working Paper Series 21-E-3, Bank of Japan.
  21. Hu, Grace Xing & Pan, Jun & Wang, Jiang & Zhu, Haoxiang, 2022. "Premium for heightened uncertainty: Explaining pre-announcement market returns," Journal of Financial Economics, Elsevier, vol. 145(3), pages 909-936.
  22. Faria, Gonçalo & Verona, Fabio, 2020. "The yield curve and the stock market: Mind the long run," Journal of Financial Markets, Elsevier, vol. 50(C).
  23. Semyon Malamud & Andreas Schrimpf, 2016. "Intermediation Markups and Monetary Policy Passthrough," Swiss Finance Institute Research Paper Series 16-75, Swiss Finance Institute.
  24. Geert Bekaert & Eric C. Engstrom & Nancy R. Xu, 2022. "The Time Variation in Risk Appetite and Uncertainty," Management Science, INFORMS, vol. 68(6), pages 3975-4004, June.
  25. Juan M. Londono & Mehrdad Samadi, 2023. "The Price of Macroeconomic Uncertainty: Evidence from Daily Options," International Finance Discussion Papers 1376, Board of Governors of the Federal Reserve System (U.S.).
  26. Manuel Ammann & Alexander Feser, 2019. "Robust Estimation of Risk-Neutral Moments," Working Papers on Finance 1902, University of St. Gallen, School of Finance.
  27. Đukić Aleksandar & Štaka Mirjana & Drašković Dajana, 2021. "The Impact of the COVID-19 Pandemic on the Macroeconomic Aggregates of the European Union," Economics, Sciendo, vol. 9(2), pages 91-108, December.
  28. Bevilacqua, Mattia & Tunaru, Radu & Vioto, Davide, 2020. "Options-based systemic risk, financial distress, and macroeconomic downturns," LSE Research Online Documents on Economics 118850, London School of Economics and Political Science, LSE Library.
  29. Jeffrey Hoopes & Patrick Langetieg & Stefan Nagel & Daniel Reck & Joel Slemrod & Bryan Stuart, 2016. "Who Sold During the Crash of 2008-9? Evidence from Tax-Return Data on Daily Sales of Stock," NBER Working Papers 22209, National Bureau of Economic Research, Inc.
  30. Lukas Kremens & Ian Martin, 2019. "The Quanto Theory of Exchange Rates," American Economic Review, American Economic Association, vol. 109(3), pages 810-843, March.
  31. Anna Cieslak & Annette Vissing-Jorgensen, 2021. "The Economics of the Fed Put," The Review of Financial Studies, Society for Financial Studies, vol. 34(9), pages 4045-4089.
  32. Liu, Hong & Tang, Xiaoxiao & Zhou, Guofu, 2022. "Recovering the FOMC risk premium," Journal of Financial Economics, Elsevier, vol. 145(1), pages 45-68.
  33. Can Gao & Ian W. R. Martin, 2021. "Volatility, Valuation Ratios, and Bubbles: An Empirical Measure of Market Sentiment," Journal of Finance, American Finance Association, vol. 76(6), pages 3211-3254, December.
  34. Bevilacqua, Mattia & Tunaru, Radu & Vioto, Davide, 2023. "Options-based systemic risk, financial distress, and macroeconomic downturns," LSE Research Online Documents on Economics 119289, London School of Economics and Political Science, LSE Library.
  35. Bekaert, Geert & Hoerova, Marie & Xu, Nancy, 2023. "Risk, Monetary Policy and Asset Prices in a Global World," CEPR Discussion Papers 18229, C.E.P.R. Discussion Papers.
  36. Mark Egan & Alexander MacKay & Hanbin Yang, 2022. "Recovering Investor Expectations from Demand for Index Funds [American Association of Individual Investors (AAII) Investor Sentiment Survey]," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 89(5), pages 2559-2599.
  37. Pagano, Marco & Wagner, Christian & Zechner, Josef, 2023. "Disaster resilience and asset prices," Journal of Financial Economics, Elsevier, vol. 150(2).
  38. Juan M. Londono & Nancy R. Xu, 2021. "The Global Determinants of International Equity Risk Premiums," International Finance Discussion Papers 1318, Board of Governors of the Federal Reserve System (U.S.).
  39. Ian W. R. Martin & Dimitris Papadimitriou, 2022. "Sentiment and Speculation in a Market with Heterogeneous Beliefs," American Economic Review, American Economic Association, vol. 112(8), pages 2465-2517, August.
  40. Difang Huang & Yubin Li & Xinjie Wang & Zhaodong (Ken) Zhong, 2022. "Does the Federal Open Market Committee cycle affect credit risk?," Financial Management, Financial Management Association International, vol. 51(1), pages 143-167, March.
  41. Carole Bernard & Oleg Bondarenko & Steven Vanduffel, 2021. "A model-free approach to multivariate option pricing," Review of Derivatives Research, Springer, vol. 24(2), pages 135-155, July.
  42. Lieven Baele & Geert Bekaert & Koen Inghelbrecht & Min Wei, 2020. "Flights to Safety," The Review of Financial Studies, Society for Financial Studies, vol. 33(2), pages 689-746.
  43. Vokata, Petra, 2021. "Engineering lemons," Journal of Financial Economics, Elsevier, vol. 142(2), pages 737-755.
  44. Tjeerd de Vries, 2021. "A Tale of Two Tails: A Model-free Approach to Estimating Disaster Risk Premia and Testing Asset Pricing Models," Papers 2105.08208, arXiv.org, revised Oct 2023.
  45. Kristiansen, Kristian & Hvid, Anna Kirstine, 2020. "How news affects sectoral stock prices through earnings expectations and risk premia," Working Paper Series 2493, European Central Bank.
  46. Niels J. Gormsen & Ralph S. J. Koijen & Ian W. R. Martin, 2021. "Implied Dividend Volatility and Expected Growth," AEA Papers and Proceedings, American Economic Association, vol. 111, pages 361-365, May.
  47. Almeida, Caio & Freire, Gustavo, 2022. "Pricing of index options in incomplete markets," Journal of Financial Economics, Elsevier, vol. 144(1), pages 174-205.
  48. Benjamin Knox & Annette Vissing-Jorgensen, 2022. "A Stock Return Decomposition Using Observables," Finance and Economics Discussion Series 2022-014, Board of Governors of the Federal Reserve System (U.S.).
  49. Kräussl, Roman & Oladiran, Tobi & Stefanova, Denitsa, 2023. "ESG as protection against downside risk," CFS Working Paper Series 708, Center for Financial Studies (CFS).
  50. Simcha Barkai, 2020. "Declining Labor and Capital Shares," Journal of Finance, American Finance Association, vol. 75(5), pages 2421-2463, October.
  51. Berkman, Henk & Malloch, Hamish, 2023. "Stock valuation during the COVID-19 pandemic: An explanation using option-based discount rates," Journal of Banking & Finance, Elsevier, vol. 147(C).
  52. Tobias Adrian & Daniel Stackman & Erik Vogt, 2019. "Global Price of Risk and Stabilization Policies," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 67(1), pages 215-260, March.
  53. Ana González-Urteaga & Belén Nieto & Gonzalo Rubio, 2022. "Spillover dynamics effects between risk-neutral equity and Treasury volatilities," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 13(4), pages 663-708, December.
  54. Roberto Marfè, 2015. "Labor Rigidity and the Dynamics of the Value Premium," Carlo Alberto Notebooks 429, Collegio Carlo Alberto.
  55. Foley, Sean & Li, Simeng & Malloch, Hamish & Svec, Jiri, 2022. "What is the expected return on Bitcoin? Extracting the term structure of returns from options prices," Economics Letters, Elsevier, vol. 210(C).
  56. Robert J. Barro & Gordon Y. Liao, 2019. "Tractable Rare Disaster Probability and Options-Pricing," Finance and Economics Discussion Series 2019-073, Board of Governors of the Federal Reserve System (U.S.).
  57. Liu, Yan, 2021. "Index option returns and generalized entropy bounds," Journal of Financial Economics, Elsevier, vol. 139(3), pages 1015-1036.
  58. Della Corte, Pasquale & Jeanneret, Alexandre & Patelli, Ella D.S., 2023. "A credit-based theory of the currency risk premium," Journal of Financial Economics, Elsevier, vol. 149(3), pages 473-496.
  59. Martin, Ian W. R. & Ross, Stephen A., 2019. "Notes on the yield curve," Journal of Financial Economics, Elsevier, vol. 134(3), pages 689-702.
  60. Li, Jun & Wang, Huijun & Yu, Jianfeng, 2018. "Aggregate Expected Investment Growth and Stock Market Returns," ADBI Working Papers 808, Asian Development Bank Institute.
  61. Ren‐Raw Chen & Pei‐Lin Hsieh & Jeffrey Huang & Xiaowei Li, 2023. "Predictive power of the implied volatility term structure in the fixed‐income market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(3), pages 349-383, March.
  62. Songkomkrit Chaiyakan & Phantipa Thipwiwatpotjana, 2021. "Bounds on mean absolute deviation portfolios under interval-valued expected future asset returns," Computational Management Science, Springer, vol. 18(2), pages 195-212, June.
  63. Iwanicz-Drozdowska Małgorzata & Rogowicz Karol & Smaga Paweł, 2023. "Market-moving events and their role in portfolio optimization of generations X, Y, and Z," International Journal of Management and Economics, Warsaw School of Economics, Collegium of World Economy, vol. 59(4), pages 371-397, December.
  64. Li, Jun & Wang, Huijun & Yu, Jianfeng, 2021. "Aggregate expected investment growth and stock market returns," Journal of Monetary Economics, Elsevier, vol. 117(C), pages 618-638.
  65. Giovanni Barone‐Adesi & Chiara Legnazzi & Carlo Sala, 2019. "Option‐implied risk measures: An empirical examination on the S&P 500 index," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 24(4), pages 1409-1428, October.
  66. Maxim Ulrich & Simon Walther, 2020. "Option-implied information: What’s the vol surface got to do with it?," Review of Derivatives Research, Springer, vol. 23(3), pages 323-355, October.
  67. José Afonso Faias & Juan Arismendi Zambrano, 2022. "Equity Risk Premium Predictability from Cross-Sectoral Downturns [International asset allocation with regime shifts]," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 12(3), pages 808-842.
  68. Cheng Few Lee, 2020. "Financial econometrics, mathematics, statistics, and financial technology: an overall view," Review of Quantitative Finance and Accounting, Springer, vol. 54(4), pages 1529-1578, May.
  69. de Oliveira Souza, Thiago, 2019. "A critique of momentum anomalies," Discussion Papers on Economics 5/2019, University of Southern Denmark, Department of Economics.
  70. Nieto, Belén & Rubio, Gonzalo, 2022. "The risk aversion and uncertainty channels between finance and macroeconomics," Finance Research Letters, Elsevier, vol. 45(C).
  71. Fabian Hollstein & Marcel Prokopczuk & Christoph Würsig, 2020. "Volatility term structures in commodity markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(4), pages 527-555, April.
  72. Josue Cox & Daniel L. Greenwald & Sydney C. Ludvigson, 2020. "What Explains the COVID-19 Stock Market?," NBER Working Papers 27784, National Bureau of Economic Research, Inc.
  73. Emmanuel Farhi & Francois Gourio, 2018. "Accounting for Macro-Finance Trends: Market Power, Intangibles, and Risk Premia," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 49(2 (Fall)), pages 147-250.
  74. Atanasov, Victoria, 2021. "Unemployment and aggregate stock returns," Journal of Banking & Finance, Elsevier, vol. 129(C).
  75. Cieslak, Anna & Pang, Hao, 2020. "Common shocks in stocks and bonds," CEPR Discussion Papers 14708, C.E.P.R. Discussion Papers.
  76. Yuan Liao & Xinjie Ma & Andreas Neuhierl & Zhentao Shi, 2023. "Economic Forecasts Using Many Noises," Papers 2312.05593, arXiv.org, revised Dec 2023.
  77. Geert Bekaert & Eric Engstrom & Andrey Ermolov, 2023. "The Variance Risk Premium in Equilibrium Models," Review of Finance, European Finance Association, vol. 27(6), pages 1977-2014.
  78. Michael Hasler & Charles Martineau, 2023. "Explaining the Failure of the Unconditional CAPM with the Conditional CAPM," Management Science, INFORMS, vol. 69(3), pages 1835-1855, March.
  79. Robert J. Barro & Gordon Y. Liao, 2016. "Options-Pricing Formula with Disaster Risk," NBER Working Papers 21888, National Bureau of Economic Research, Inc.
  80. Pohl, Walter & Schmedders, Karl & Wilms, Ole, 2021. "Asset pricing with heterogeneous agents and long-run risk," Journal of Financial Economics, Elsevier, vol. 140(3), pages 941-964.
  81. Wang, Yunqi & Zhou, Ti, 2023. "Out-of-sample equity premium prediction: The role of option-implied constraints," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 199-226.
  82. Cieslak, Anna & Schrimpf, Andreas, 2019. "Non-monetary news in central bank communication," Journal of International Economics, Elsevier, vol. 118(C), pages 293-315.
  83. Martin, Ian, 2018. "Options and the Gamma Knife," LSE Research Online Documents on Economics 88077, London School of Economics and Political Science, LSE Library.
  84. Xiao Xiao & Chen Zhou, 2017. "Entropy-based implied moments," DNB Working Papers 581, Netherlands Central Bank, Research Department.
  85. Bredin, Don & O'Sullivan, Conall & Spencer, Simon, 2021. "Forecasting WTI crude oil futures returns: Does the term structure help?," Energy Economics, Elsevier, vol. 100(C).
  86. Back, Kerry & Crotty, Kevin & Kazempour, Seyed Mohammad, 2022. "Validity, tightness, and forecasting power of risk premium bounds," Journal of Financial Economics, Elsevier, vol. 144(3), pages 732-760.
  87. Peter Van Tassel, 2018. "Equity Volatility Term Premia," Staff Reports 867, Federal Reserve Bank of New York.
  88. Faria, Gonçalo & Verona, Fabio, 2018. "The equity risk premium and the low frequency of the term spread," Research Discussion Papers 7/2018, Bank of Finland.
  89. Akira Yamazaki, 2022. "Recovering subjective probability distributions," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(7), pages 1234-1263, July.
  90. Lioui, Abraham & Poncet, Patrice, 2019. "Long horizon predictability: An asset allocation perspective," European Journal of Operational Research, Elsevier, vol. 278(3), pages 961-975.
  91. Karamfil Todorov, 2021. "Passive funds affect prices: evidence from the most ETF-dominated asset classes," BIS Working Papers 952, Bank for International Settlements.
  92. George Chalamandaris & Leonidas S. Rompolis, 2021. "Recovering the market risk premium from higher‐order moment risks," European Financial Management, European Financial Management Association, vol. 27(1), pages 147-186, January.
  93. Khoa Hoang & Robert Faff, 2021. "Is the ex‐ante equity risk premium always positive? Evidence from a new conditional expectations model," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(1), pages 95-124, March.
  94. Manuel Ammann & Alexander Feser, 2019. "Robust estimation of risk‐neutral moments," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(9), pages 1137-1166, September.
  95. Grammig, Joachim & Hanenberg, Constantin & Schlag, Christian & Sönksen, Jantje, 2020. "Diverging roads: Theory-based vs. machine learning-implied stock risk premia," University of Tübingen Working Papers in Business and Economics 130, University of Tuebingen, Faculty of Economics and Social Sciences, School of Business and Economics.
  96. Likuan Qin & Vadim Linetsky, 2016. "Positive Eigenfunctions of Markovian Pricing Operators: Hansen-Scheinkman Factorization, Ross Recovery, and Long-Term Pricing," Operations Research, INFORMS, vol. 64(1), pages 99-117, February.
  97. Liu, Liu, 2022. "Learning about the persistence of recessions under ambiguity aversion," Finance Research Letters, Elsevier, vol. 47(PA).
  98. Ian Martin, 2021. "On the Autocorrelation of the Stock Market [X-CAPM: An Extrapolative Capital Asset Pricing Model]," Journal of Financial Econometrics, Oxford University Press, vol. 19(1), pages 39-52.
  99. Pakorn Aschakulporn & Jin E. Zhang, 2022. "Bakshi, Kapadia, and Madan (2003) risk-neutral moment estimators: A Gram–Charlier density approach," Review of Derivatives Research, Springer, vol. 25(3), pages 233-281, October.
  100. Cujean, Julien & Andrei, Daniel & Wilson, Mungo, 2018. "The Lost Capital Asset Pricing Model," CEPR Discussion Papers 12607, C.E.P.R. Discussion Papers.
  101. Kozak, Serhiy, 2022. "Dynamics of bond and stock returns," Journal of Monetary Economics, Elsevier, vol. 126(C), pages 188-209.
  102. Dew-Becker, Ian & Giglio, Stefano & Le, Anh & Rodriguez, Marius, 2017. "The price of variance risk," Journal of Financial Economics, Elsevier, vol. 123(2), pages 225-250.
  103. Cieslak, Anna & Pang, Hao, 2021. "Common shocks in stocks and bonds," Journal of Financial Economics, Elsevier, vol. 142(2), pages 880-904.
  104. repec:zbw:bofrdp:2018_007 is not listed on IDEAS
  105. Tom Adams & Thaddeus Neururer, 2020. "Earnings announcement timing, uncertainty, and volatility risk premiums," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(10), pages 1603-1630, October.
  106. Wu, Xu & Wang, Pei-Yu & Wang, Kun, 2023. "The effect of stabilization fund to rescue stock market based on expected return-capita circulation equation," Socio-Economic Planning Sciences, Elsevier, vol. 87(PB).
  107. Goodell, John W. & McGee, Richard J. & McGroarty, Frank, 2020. "Election uncertainty, economic policy uncertainty and financial market uncertainty: A prediction market analysis," Journal of Banking & Finance, Elsevier, vol. 110(C).
  108. Schneider, Paul, 2019. "An anatomy of the market return," Journal of Financial Economics, Elsevier, vol. 132(2), pages 325-350.
  109. Horatio Cuesdeanu & Jens Carsten Jackwerth, 2018. "The pricing kernel puzzle: survey and outlook," Annals of Finance, Springer, vol. 14(3), pages 289-329, August.
  110. Ye Li & Chen Wang, 2023. "Valuation Duration of the Stock Market," Papers 2310.07110, arXiv.org.
  111. Daniel L. Greenwald & Martin Lettau & Sydney C. Ludvigson, 2019. "How the Wealth Was Won: Factors Shares as Market Fundamentals," NBER Working Papers 25769, National Bureau of Economic Research, Inc.
  112. Hasibul Chowdhury & Robert Faff & Khoa Hoang, 2021. "Using abnormal analyst coverage to unlock new evidence on stock price crash risk," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(S1), pages 1557-1588, April.
  113. Pascal François & Rémi Galarneau‐Vincent & Geneviève Gauthier & Frédéric Godin, 2022. "Venturing into uncharted territory: An extensible implied volatility surface model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(10), pages 1912-1940, October.
  114. Oleg Kucher & Alexander Kurov & Marketa Halova Wolfe, 2023. "A shot in the arm: The effect of COVID‐19 vaccine news on financial and commodity markets," The Financial Review, Eastern Finance Association, vol. 58(3), pages 575-596, August.
  115. Bevilacqua, Mattia & Tunaru, Radu & Vioto, Davide, 2023. "Options-based systemic risk, financial distress, and macroeconomic downturns," Journal of Financial Markets, Elsevier, vol. 65(C).
  116. Iuri H. Ferreira & Marcelo C. Medeiros, 2021. "Modeling and Forecasting Intraday Market Returns: a Machine Learning Approach," Papers 2112.15108, arXiv.org.
  117. Bing Han & Gang Li, 2021. "Information Content of Aggregate Implied Volatility Spread," Management Science, INFORMS, vol. 67(2), pages 1249-1269, February.
  118. Kroencke, Tim A., 2022. "Recessions and the stock market," Journal of Monetary Economics, Elsevier, vol. 131(C), pages 61-77.
  119. Hardeep Singh Mundi, 2023. "Risk neutral variances to compute expected returns using data from S&P BSE 100 firms—a replication study," Management Review Quarterly, Springer, vol. 73(1), pages 215-230, February.
  120. Berthold, Brendan, 2023. "The macroeconomic effects of uncertainty and risk aversion shocks," European Economic Review, Elsevier, vol. 154(C).
  121. Lu, Zhongjin & Murray, Scott, 2019. "Bear beta," Journal of Financial Economics, Elsevier, vol. 131(3), pages 736-760.
  122. Aït-Sahalia, Yacine & Karaman, Mustafa & Mancini, Loriano, 2020. "The term structure of equity and variance risk premia," Journal of Econometrics, Elsevier, vol. 219(2), pages 204-230.
  123. Lioui, Abraham & Tarelli, Andrea, 2022. "Chasing the ESG factor," Journal of Banking & Finance, Elsevier, vol. 139(C).
  124. Emiliano A. Carlevaro & Leandro M. Magnusson, 2020. "The (in)stability of stock returns and monetary policy interdependence in the US," Economics Discussion / Working Papers 20-27, The University of Western Australia, Department of Economics.
  125. Weidong Tian, 2021. "Long Run Law and Entropy," Papers 2111.06238, arXiv.org.
  126. Chabi-Yo, Fousseni & Loudis, Johnathan, 2020. "The conditional expected market return," Journal of Financial Economics, Elsevier, vol. 137(3), pages 752-786.
  127. Ruan, Xinfeng & Zhang, Jin E., 2018. "Equilibrium variance risk premium in a cost-free production economy," Journal of Economic Dynamics and Control, Elsevier, vol. 96(C), pages 42-60.
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