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Expected Returns, Time-Varying Risk and Risk Premia

Citations

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Cited by:

  1. Karl Ludwig Keiber & Helene Samyschew, 2015. "The role of sentiment in global risk premia," Applied Economics, Taylor & Francis Journals, vol. 47(20), pages 2073-2091, April.
  2. Jang-Ting Guo & Rong-Chang Wu, 1998. "Financial Liberalization and the Exchange-Rate Exposure of the Taiwanese Firms: A Nonparametric Analysis of Taiwan," Multinational Finance Journal, Multinational Finance Journal, vol. 2(1), pages 37-61, March.
  3. Tano Santos & Pietro Veronesi, 2004. "Conditional Betas," NBER Working Papers 10413, National Bureau of Economic Research, Inc.
  4. Ram Bhar & Carl Chiarella, 2000. "Infering Forward Looking Financial Market Risk Premia from Derivatives Prices," Research Paper Series 42, Quantitative Finance Research Centre, University of Technology, Sydney.
  5. Carmich[ae]l, Benoit & Samson, Lucie, 2005. "Consumption growth as a risk factor? Evidence from Canadian financial markets," Journal of International Money and Finance, Elsevier, vol. 24(1), pages 83-101, February.
  6. Bruce Morley & Dennis Thomas, 2018. "Covariance Risk and the Ripple Effect in the UK Regional Housing Market," Review of Economics & Finance, Better Advances Press, Canada, vol. 13, pages 1-13, August.
  7. Sawicki, Julia & Ong, Fred, 2000. "Evaluating managed fund performance using conditional measures: Australian evidence," Pacific-Basin Finance Journal, Elsevier, vol. 8(3-4), pages 505-528, July.
  8. Bayless, M. & Jay, N., 2008. "A multiperiod evaluation of returns following seasoned equity offerings," Journal of Economics and Business, Elsevier, vol. 60(4), pages 291-311.
  9. Byrne, Joseph P & Ibrahim, Boulis Maher & Sakemoto, Ryuta, 2017. "The Time-Varying Risk Price of Currency Carry Trades," MPRA Paper 80788, University Library of Munich, Germany.
  10. Keiber, Karl Ludwig & Samyschew, Helene, 2017. "The world price of sentiment risk," Global Finance Journal, Elsevier, vol. 32(C), pages 62-82.
  11. Yao, Wenjing & Mei, Bin, 2015. "Assessing forestry-related assets with the intertemporal capital asset pricing model," Forest Policy and Economics, Elsevier, vol. 50(C), pages 192-199.
  12. Bruce Niendorf & Thomas Ottaway, 2002. "Wealth effects of time variation in investor risk preferences," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 26(1), pages 77-87, March.
  13. Priestley, Richard, 2001. "Time-varying persistence in expected returns," Journal of Banking & Finance, Elsevier, vol. 25(7), pages 1271-1286, July.
  14. Andrew J. Patton & Tarun Ramadorai, 2013. "On the High-Frequency Dynamics of Hedge Fund Risk Exposures," Journal of Finance, American Finance Association, vol. 68(2), pages 597-635, April.
  15. Kizys, Renatas & Pierdzioch, Christian, 2011. "The changing sensitivity of realized portfolio betas to U.S. output growth: An analysis based on real-time data," Journal of Economics and Business, Elsevier, vol. 63(3), pages 168-186, May.
  16. Kiseok Nam & Joshua Krausz & Augustine C. Arize, 2014. "Revisiting the intertemporal risk-return relation: asymmetrical effect of unexpected volatility shocks," Quantitative Finance, Taylor & Francis Journals, vol. 14(12), pages 2193-2203, December.
  17. Yuming Li, 1998. "Time Variations In Risk Premia, Volatility, And Reward-To-Volatility," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 21(4), pages 431-446, December.
  18. Wayne E. Ferson & Ravi Jagannathan, 1996. "Econometric evaluation of asset pricing models," Staff Report 206, Federal Reserve Bank of Minneapolis.
  19. Min-Hsien Chiang & Long-Jainn Hwang & Yui-Chi Wu, 2004. "Insider Trading Performance in the Taiwan Stock Market," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 3(3), pages 239-256, December.
  20. Simin, Timothy, 2008. "The Poor Predictive Performance of Asset Pricing Models," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 43(2), pages 355-380, June.
  21. Cowan, Adrian M. & Joutz, Frederick L., 2006. "An unobserved component model of asset pricing across financial markets," International Review of Financial Analysis, Elsevier, vol. 15(1), pages 86-107.
  22. Manuel Ammann & Michael Verhofen, 2006. "The Effect of Market Regimes on Style Allocation," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 20(3), pages 309-337, September.
  23. B. Carmichael & L. Samson, 2003. "Expected returns and economic risk in Canadian financial markets," Applied Financial Economics, Taylor & Francis Journals, vol. 13(3), pages 177-189.
  24. Patton, Andrew, 2010. "On the Dynamics of Hedge Fund Risk Exposures," CEPR Discussion Papers 7780, C.E.P.R. Discussion Papers.
  25. Eckbo, B. Espen & Norli, Øyvind, 2004. "The choice of seasoned-equity selling mechanism: Theory and evidence," Discussion Papers 2004/17, Norwegian School of Economics, Department of Business and Management Science.
  26. Nummelin, Kim, 1997. "Global coskewness and the pricing of Finnish stocks: empirical tests," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 7(2), pages 137-155, July.
  27. Bhar Ramaprasad & Chiarella Carl & Runggaldier Wolfgang J., 2004. "Inferring the Forward Looking Equity Risk Premium from Derivative Prices," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 8(1), pages 1-26, March.
  28. Eckbo, B. Espen & Norli, Oyvind, 2005. "Liquidity risk, leverage and long-run IPO returns," Journal of Corporate Finance, Elsevier, vol. 11(1-2), pages 1-35, March.
  29. Viviana Fernández, 2001. "A Liquidity Premium Puzzle?: Evidence from Chile," Documentos de Trabajo 105, Centro de Economía Aplicada, Universidad de Chile.
  30. Reschreiter, Andreas, 2004. "Conditional funding costs of inflation-indexed and conventional government bonds," Journal of Banking & Finance, Elsevier, vol. 28(6), pages 1299-1318, June.
  31. Eckbo, B. Espen & Masulis, Ronald W. & Norli, Oyvind, 2000. "Seasoned public offerings: resolution of the 'new issues puzzle'," Journal of Financial Economics, Elsevier, vol. 56(2), pages 251-291, May.
  32. Keiber, Karl Ludwig & Samyschew, Helene, 2016. "The pricing of sentiment risk in European stock markets," Discussion Papers 384, European University Viadrina Frankfurt (Oder), Department of Business Administration and Economics.
  33. Ram Bhar & Carl Chiarella & Wolfgang Runggaldier, 2001. "Filtering Equity Risk Premia From Derivative Prices," Research Paper Series 69, Quantitative Finance Research Centre, University of Technology, Sydney.
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