Time-varying aggregate tail risk and cross-section of stock returns: Indian evidence
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DOI: 10.1016/j.frl.2024.106209
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More about this item
Keywords
Asset pricing; Fama–French three factors; Momentum factor; Aggregate tail risk; Risk premium;All these keywords.
JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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