Default risk, macroeconomic conditions, and the market skewness risk premium
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DOI: 10.1016/j.jimonfin.2022.102683
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Cited by:
- Ni, Zhongxin & Wang, Linyu, 2023. "The predictability of skewness risk premium on stock returns: Evidence from Chinese market," International Review of Economics & Finance, Elsevier, vol. 87(C), pages 576-594.
- Zhu, Lin & Jiang, Fuwei & Tang, Guohao & Jin, Fujing, 2024. "From macro to micro: Sparse macroeconomic risks and the cross-section of stock returns," International Review of Financial Analysis, Elsevier, vol. 95(PB).
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More about this item
Keywords
Asset pricing; Positive skewness preference; Market skewness risk premium; Default risk; Macroeconomic conditions; State-dependent risk aversion;All these keywords.
JEL classification:
- G01 - Financial Economics - - General - - - Financial Crises
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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