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Yuhang Xing

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Wikipedia or ReplicationWiki mentions

(Only mentions on Wikipedia that link back to a page on a RePEc service)
  1. Andrew Ang & Robert J. Hodrick & Yuhang Xing & Xiaoyan Zhang, 2006. "The Cross‐Section of Volatility and Expected Returns," Journal of Finance, American Finance Association, vol. 61(1), pages 259-299, February.

    Mentioned in:

    1. The Cross‐Section of Volatility and Expected Returns (JF 2006) in ReplicationWiki ()

Working papers

  1. Andrew Ang & Richard C. Green & Yuhang Xing, 2013. "Advance Refundings of Municipal Bonds," NBER Working Papers 19459, National Bureau of Economic Research, Inc.

    Cited by:

    1. Daniel Garrett & Andrey Ordin & James W Roberts & Juan Carlos Suárez Serrato, 2023. "Tax Advantages and Imperfect Competition in Auctions for Municipal Bonds," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 90(2), pages 815-851.
    2. Aiello, Darren J., 2022. "Financially constrained mortgage servicers," Journal of Financial Economics, Elsevier, vol. 144(2), pages 590-610.
    3. Ivan T. Ivanov & Tom Zimmermann & Nathan Heinrich, 2022. "Limits of Disclosure Regulation in the Municipal Bond Market," ECONtribute Discussion Papers Series 186, University of Bonn and University of Cologne, Germany.
    4. O. Emre Ergungor & Stephan D. Whitaker, 2016. "Premium Municipal Bonds and Issuer Fiscal Distress," Working Papers (Old Series) 1534, Federal Reserve Bank of Cleveland.
    5. Baridhi Malakar, 2024. "Fiduciary Duty in the Municipal Bonds Market," Papers 2406.15197, arXiv.org.
    6. Stephanie F. Cheng, 2021. "The Information Externality of Public Firms’ Financial Information in the State‐Bond Secondary Market," Journal of Accounting Research, Wiley Blackwell, vol. 59(2), pages 529-574, May.
    7. Zura Kakushadze & Juan Andrés Serur, 2018. "151 Trading Strategies," Springer Books, Springer, number 978-3-030-02792-6, December.
    8. Landoni, Mattia, 2018. "Tax distortions and bond issue pricing," Journal of Financial Economics, Elsevier, vol. 129(2), pages 382-393.
    9. Gao, Pengjie & Lee, Chang & Murphy, Dermot, 2020. "Financing dies in darkness? The impact of newspaper closures on public finance," Journal of Financial Economics, Elsevier, vol. 135(2), pages 445-467.
    10. Baridhi Malakar, 2024. "Essays on Responsible and Sustainable Finance," Papers 2406.12995, arXiv.org.

  2. Huseyin Gulen & Yuhang Xing & Lu Zhang, 2010. "Value versus Growth: Time-Varying Expected Stock Returns," NBER Working Papers 15993, National Bureau of Economic Research, Inc.

    Cited by:

    1. Eero Pätäri & Timo Leivo, 2017. "A Closer Look At Value Premium: Literature Review And Synthesis," Journal of Economic Surveys, Wiley Blackwell, vol. 31(1), pages 79-168, February.
    2. Maria Elisabete Neves & Mário Abreu Pinto & Carla Manuela de Assunção Fernandes & Elisabete Fátima Simões Vieira, 2021. "Value and growth stock returns: international evidence (JES)," International Journal of Accounting & Information Management, Emerald Group Publishing Limited, vol. 29(5), pages 698-733, October.
    3. Kostakis, Alexandros & Magdalinos, Tassos & Stamatogiannis, Michalis P., 2023. "Taking stock of long-horizon predictability tests: Are factor returns predictable?," Journal of Econometrics, Elsevier, vol. 237(2).
    4. Da, Zhi & Guo, Re-Jin & Jagannathan, Ravi, 2012. "CAPM for estimating the cost of equity capital: Interpreting the empirical evidence," Journal of Financial Economics, Elsevier, vol. 103(1), pages 204-220.
    5. James Foye, 2015. "A New Perspective on the Size, Value, and Momentum Effects: Broad Sample Evidence from Europe," Proceedings of International Academic Conferences 2604415, International Institute of Social and Economic Sciences.
    6. John L. Glascock & Ran Lu-Andrews, 2018. "The Asymmetric Conditional Beta-Return Relations of REITs," The Journal of Real Estate Finance and Economics, Springer, vol. 57(2), pages 231-245, August.
    7. Hafiz Muhammad Zia ul haq & Muhammad Sohail Shafiq & Muhammad Kashif & Saba Ameer, 2020. "Determining Force behind Value Premium: The Case of Financial Leverage and Operating Leverage," JRFM, MDPI, vol. 13(9), pages 1-15, September.
    8. Bazgour Tarik & Heuchenne Cedric & Hübner Georges & Sougné Danielle, 2021. "How do volatility regimes affect the pricing of quality and liquidity in the stock market?," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 25(1), pages 1-17, February.
    9. Daehwan Kim, 2012. "Two Kinds of Value Premiums," International Economic Journal, Taylor & Francis Journals, vol. 26(2), pages 281-299, April.
    10. T G Saji & S Harikumar, 2015. "Earnings Growth and Value Premium: The Indian Experience," Vikalpa: The Journal for Decision Makers, , vol. 40(4), pages 444-454, December.
    11. Galvani, Valentina, 2021. "The value premium during flights," Finance Research Letters, Elsevier, vol. 39(C).
    12. Hwang, Soosung & Rubesam, Alexandre, 2013. "A behavioral explanation of the value anomaly based on time-varying return reversals," Journal of Banking & Finance, Elsevier, vol. 37(7), pages 2367-2377.
    13. Bianchi, Francesco, 2020. "The Great Depression and the Great Recession: A view from financial markets," Journal of Monetary Economics, Elsevier, vol. 114(C), pages 240-261.
    14. Kishor, N. Kundan & Marfatia, Hardik A., 2013. "The time-varying response of foreign stock markets to U.S. monetary policy surprises: Evidence from the Federal funds futures market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 24(C), pages 1-24.
    15. Mehdi Zolfaghari & Bahram Sahabi, 2021. "The impact of oil price and exchange rate on momentum strategy profits in stock market: evidence from oil-rich developing countries," Review of Managerial Science, Springer, vol. 15(7), pages 1981-2023, October.
    16. Simlai, Prodosh, 2014. "Persistence of ex-ante volatility and the cross-section of stock returns," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 253-261.
    17. Fletcher, Jonathan, 2021. "International equity U.S. mutual funds and diversification benefits," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 246-257.
    18. Eero J. Pätäri & Timo H. Leivo & Sheraz Ahmed, 2022. "Can the FSCORE add value to anomaly-based portfolios? A reality check in the German stock market," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 36(3), pages 321-367, September.
    19. Tobias E Anheluk & Pradosh Simlai, 2011. "Information spillovers between size and value premium in average stock returns," Journal of Asset Management, Palgrave Macmillan, vol. 12(6), pages 395-406, December.
    20. Sherwood Lane Lambert & Kevin Krieger & Nathan Mauck, 2024. "Predicting Operating Income via a Generalized Operating-Leverage Model," IJFS, MDPI, vol. 12(1), pages 1-19, January.
    21. MeiChi Huang, 2022. "Time‐varying roles of housing risk factors in state‐level housing markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(4), pages 4660-4683, October.
    22. Kim, Dongcheol & Roh, Tai-Yong & Min, Byoung-Kyu & Byun, Suk-Joon, 2014. "Time-varying expected momentum profits," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 191-215.
    23. Stadtmüller, Immo & Auer, Benjamin R. & Schuhmacher, Frank, 2022. "On the time-varying dynamics of stock and commodity momentum returns," Finance Research Letters, Elsevier, vol. 46(PB).
    24. Angelidis, Timotheos & Tessaromatis, Nikolaos, 2014. "Global Style Portfolios Based on Country Indices," MPRA Paper 53094, University Library of Munich, Germany.
    25. Galvani, Valentina & Gubellini, Stefano, 2013. "Mean–variance dominant trading strategies," Finance Research Letters, Elsevier, vol. 10(3), pages 142-150.
    26. Ebrahim, M. Shahid & Girma, Sourafel & Shah, M. Eskandar & Williams, Jonathan, 2014. "Rationalizing the value premium in emerging markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 29(C), pages 51-70.
    27. Anibal Emiliano Da Silva Neto & Jesús Gonzalo & Jean‐Yves Pitarakis, 2021. "Uncovering Regimes in Out of Sample Forecast Errors from Predictive Regressions," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(3), pages 713-741, June.
    28. Yao Zheng & Peihwang Wei & Eric Osmer, 2022. "The relation between earnings and price momentum: Does it vary across regimes?," Review of Quantitative Finance and Accounting, Springer, vol. 58(3), pages 1145-1213, April.
    29. Samuel Xin Liang, 2019. "What drives stock returns in Japan?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 33(1), pages 39-69, March.
    30. Max Leandro Ferreira Tavares & Claudio Henrique da Silveira Barbedo & Gustavo Silva Araujo, 2014. "The Influence of information asymmetry on the return and volatility of value and growth stock portfolios," Brazilian Business Review, Fucape Business School, vol. 11(1), pages 111-129, January.
    31. Francesco Chincoli & Massimo Guidolin, 2017. "Linear and nonlinear predictability in investment style factors: multivariate evidence," Journal of Asset Management, Palgrave Macmillan, vol. 18(6), pages 476-509, October.
    32. Bianchi, Francesco, 2015. "Rare Events, Financial Crises, and the Cross-Section of Asset Returns," CEPR Discussion Papers 10520, C.E.P.R. Discussion Papers.
    33. Kalinowski Sławomir & Puziak Marcin, 2018. "Does a Financial Crisis Affect Operating Risk? Evidence from Polish Listed Companies," Economics and Business Review, Sciendo, vol. 4(1), pages 64-85, April.
    34. Lambert, Marie & Platania, Federico, 2020. "The macroeconomic drivers in hedge fund beta management," Economic Modelling, Elsevier, vol. 91(C), pages 65-80.
    35. Spyros I. Spyrou, 2020. "Valuation ratio style investing and economic sentiment: evidence from major Eurozone markets," Review of Quantitative Finance and Accounting, Springer, vol. 55(3), pages 827-856, October.
    36. Stefano Gubellini, 2014. "Conditioning information and cross-sectional anomalies," Review of Quantitative Finance and Accounting, Springer, vol. 43(3), pages 529-569, October.
    37. Ahmed Al Samman & Mahmoud Moustafa Otaify, 2017. "How Does Volatility of Characteristics-sorted Portfolios Respond to Macroeconomic Volatility?," International Journal of Economics and Financial Issues, Econjournals, vol. 7(4), pages 300-315.
    38. Pätäri, Eero & Leivo, Timo & Honkapuro, Samuli, 2012. "Enhancement of equity portfolio performance using data envelopment analysis," European Journal of Operational Research, Elsevier, vol. 220(3), pages 786-797.
    39. Ekaterini Panopoulou & Sotiria Plastira, 2014. "Fama French factors and US stock return predictability," Journal of Asset Management, Palgrave Macmillan, vol. 15(2), pages 110-128, April.
    40. Leite, André Luis & Klotzle, Marcelo Cabus & Pinto, Antonio Carlos Figueiredo & da Silveira Barbedo, Claudio Henrique, 2020. "The Fama-French’s five-factor model relation with interest rates and macro variables," The North American Journal of Economics and Finance, Elsevier, vol. 53(C).
    41. M. Eskandar Shah & Sourafel Girm & R. Hudson, 2012. "Rationalizing the Value Premium under Economic Fundamentals in an Emerging Market," Working Papers 12010, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).

  3. Andrew Ang & Vineer Bhansali & Yuhang Xing, 2010. "Build America Bonds," NBER Working Papers 16008, National Bureau of Economic Research, Inc.

    Cited by:

    1. Cestau, Dario & Green, Richard C. & Schürhoff, Norman, 2013. "Tax-subsidized underpricing: The market for Build America Bonds," Journal of Monetary Economics, Elsevier, vol. 60(5), pages 593-608.
    2. Bastien Baldacci & Dylan Possamai, 2021. "Governmental incentives for green bonds investment," Papers 2101.00648, arXiv.org.

  4. Andrew Ang & Robert J. Hodrick & Yuhang Xing & Xiaoyan Zhang, 2008. "High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence," NBER Working Papers 13739, National Bureau of Economic Research, Inc.

    Cited by:

    1. Smajlbegovic, Esad, 2015. "Regional Economic Activity and Stock Returns," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112854, Verein für Socialpolitik / German Economic Association.
    2. Tan, Monica & Liu, Bin, 2016. "CEO's managerial power, board committee memberships and idiosyncratic volatility," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 21-30.
    3. Blitz, David & Vidojevic, Milan, 2017. "The profitability of low-volatility," Journal of Empirical Finance, Elsevier, vol. 43(C), pages 33-42.
    4. Wang, Wenzhao, 2020. "Institutional investor sentiment, beta, and stock returns," Finance Research Letters, Elsevier, vol. 37(C).
    5. Turan G. Bali & Armen Hovakimian, 2009. "Volatility Spreads and Expected Stock Returns," Management Science, INFORMS, vol. 55(11), pages 1797-1812, November.
    6. Kent Daniel & David Hirshleifer, 2015. "Overconfident Investors, Predictable Returns, and Excessive Trading," Journal of Economic Perspectives, American Economic Association, vol. 29(4), pages 61-88, Fall.
    7. Vidal-García, Javier & Vidal, Marta, 2014. "Seasonality and idiosyncratic risk in mutual fund performance," European Journal of Operational Research, Elsevier, vol. 233(3), pages 613-624.
    8. Cheng, Mingmian & Liao, Yuan & Yang, Xiye, 2023. "Uniform predictive inference for factor models with instrumental and idiosyncratic betas," Journal of Econometrics, Elsevier, vol. 237(2).
    9. Zhang, Bing & Chen, Wei & Yeh, Chung-Ying, 2021. "Turnover premia in China's stock markets," Pacific-Basin Finance Journal, Elsevier, vol. 65(C).
    10. Abugri, Benjamin A. & Dutta, Sandip, 2014. "Are we overestimating REIT idiosyncratic risk? Analysis of pricing effects and persistence," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 249-259.
    11. Suzanne G. M. Fifield & David G. McMillan & Fiona J. McMillan, 2020. "Is there a risk and return relation?," The European Journal of Finance, Taylor & Francis Journals, vol. 26(11), pages 1075-1101, July.
    12. Lu, Jing & Ho, Keng-Yu & Ho, Po-Hsin & Ko, Kuan-Cheng, 2023. "CEO overconfidence, lottery preference and the cross-section of stock returns," Finance Research Letters, Elsevier, vol. 54(C).
    13. Malcolm Baker & Mathias F. Hoeyer & Jeffrey Wurgler, 2016. "The Risk Anomaly Tradeoff of Leverage," NBER Working Papers 22116, National Bureau of Economic Research, Inc.
    14. Andrea Frazzini & Lasse Heje Pedersen, 2012. "Betting Against Beta," Swiss Finance Institute Research Paper Series 12-17, Swiss Finance Institute.
    15. Ziegler, Andreas & Busch, Timo & Hoffmann, Volker H., 2011. "Disclosed corporate responses to climate change and stock performance: An international empirical analysis," Energy Economics, Elsevier, vol. 33(6), pages 1283-1294.
    16. Bazdresch, Santiago, 2011. "Product differentiation and systematic risk: theory and empirical evidence," MPRA Paper 35504, University Library of Munich, Germany, revised 01 Nov 2011.
    17. Liu, Hao & Chen, Yue & Wan, Wei & Zhang, Qun, 2021. "A novel explanation for idiosyncratic volatility anomaly: An asset decomposition perspective," Economics Letters, Elsevier, vol. 206(C).
    18. Wang, Wenzhao & Su, Chen & Duxbury, Darren, 2021. "Investor sentiment and stock returns: Global evidence," Journal of Empirical Finance, Elsevier, vol. 63(C), pages 365-391.
    19. Turan G. Bali & Robert F. Engle & Yi Tang, 2013. "Dynamic Conditional Beta is Alive and Well in the Cross-Section of Daily Stock Returns," Koç University-TUSIAD Economic Research Forum Working Papers 1305, Koc University-TUSIAD Economic Research Forum.
    20. Tim Bollerslev & Hao Zhou, 2006. "Expected stock returns and variance risk premia," Finance and Economics Discussion Series 2007-11, Board of Governors of the Federal Reserve System (U.S.).
    21. Ding, Wenjie & Mazouz, Khelifa & Wang, Qingwei, 2021. "Volatility timing, sentiment, and the short-term profitability of VIX-based cross-sectional trading strategies," Journal of Empirical Finance, Elsevier, vol. 63(C), pages 42-56.
    22. Matthew R. Lyle, 2016. "Valuation: Accounting for Risk and the Expected Return. Discussion of Penman," Abacus, Accounting Foundation, University of Sydney, vol. 52(1), pages 131-139, March.
    23. Rafael Cezar & Timothée Gigout & Fabien Tripier, 2020. "Cross-border Investments and Uncertainty Firm-level Evidence," Working Papers 2020-03, CEPII research center.
    24. Mahmoud Fatouh & Robert Bock & Jamal Ouenniche, 2023. "Impact of IFRS 9 on the cost of funding of banks in Europe," Journal of Banking Regulation, Palgrave Macmillan, vol. 24(2), pages 115-145, June.
    25. An, Li & Argyle, Bronson, 2021. "Overselling winners and losers: How mutual fund managers' trading behavior affects asset prices," Journal of Financial Markets, Elsevier, vol. 55(C).
    26. Javier Vidal-García & Marta Vidal & Sabri Boubaker & Riadh Manita, 2019. "Idiosyncratic risk and mutual fund performance," Annals of Operations Research, Springer, vol. 281(1), pages 349-372, October.
    27. Blau, Benjamin M. & Griffith, Todd G. & Whitby, Ryan J., 2018. "The maximum bid-ask spread," Journal of Financial Markets, Elsevier, vol. 41(C), pages 1-16.
    28. Michael T. Chng & Victor Fang & Vincent Xiang & Hong Feng Zhang, 2017. "Corporate Hedging and the High Idiosyncratic Volatility Low Return Puzzle," International Review of Finance, International Review of Finance Ltd., vol. 17(3), pages 395-425, September.
    29. Poon, Percy & Yao, Tong & Zhang, Andrew (Jianzhong), 2022. "The alphas of beta and idiosyncratic volatility," Journal of Financial Markets, Elsevier, vol. 61(C).
    30. Leonid Kogan & Dimitris Papanikolaou, 2012. "A Theory of Firm Characteristics and Stock Returns: The Role of Investment-Specific Shocks," NBER Working Papers 17975, National Bureau of Economic Research, Inc.
    31. Jiang, Danling & Peterson, David R. & Doran, James S., 2014. "Short-sale constraints and the idiosyncratic volatility puzzle: An event study approach," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 36-59.
    32. Pithak Srisuksai & Vimut Vanitcharearntham, 2016. "Asset Pricing with Idiosyncratic Shocks," Applied Economics Journal, Kasetsart University, Faculty of Economics, Center for Applied Economic Research, vol. 23(1), pages 35-58, June.
    33. IKEDA Shin Suke, 2017. "Illiquidity in the Japan Electric Power Exchange," Discussion papers 17122, Research Institute of Economy, Trade and Industry (RIETI).
    34. Zhong, Angel, 2018. "Idiosyncratic volatility in the Australian equity market," Pacific-Basin Finance Journal, Elsevier, vol. 50(C), pages 105-125.
    35. Turan G. Bali & Nusret Cakici & Robert F. Whitelaw, 2009. "Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns," NBER Working Papers 14804, National Bureau of Economic Research, Inc.
    36. Anginer, Deniz & Yildizhan, Celim, 2010. "Is there a distress risk anomaly ? pricing of systematic default risk in the cross section of equity returns," Policy Research Working Paper Series 5319, The World Bank.
    37. An, Jiyoun & Ho, Kin-Yip & Zhang, Zhaoyong, 2020. "What drives the liquidity premium in the Chinese stock market?," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    38. Almeida, Caio & Ricca, Bernardo & Tessari, Cristina, 2016. "Idiosyncratic Moments and the Cross-Section of Stock Returns in Brazil," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 36(2), November.
    39. Srisuksai, Pithak & Vanitcharearntham, Vimut, . "Asset Pricing with Idiosyncratic Shocks," Asian Journal of Applied Economics, Kasetsart University, Center for Applied Economics Research, vol. 23(1).
    40. Huai-Long Shi & Wei-Xing Zhou, 2019. "Horse race of weekly idiosyncratic momentum strategies with respect to various risk metrics: Evidence from the Chinese stock market," Papers 1910.13115, arXiv.org, revised Oct 2022.
    41. Kuntara Pukthuanthong-Le & Nuttawat Visaltanachoti, 2009. "Idiosyncratic volatility and stock returns: a cross country analysis," Applied Financial Economics, Taylor & Francis Journals, vol. 19(16), pages 1269-1281.
    42. Nektarios Aslanidis & Charlotte Christiansen & Neophytos Lambertides & Christos S. Savva, 2019. "Idiosyncratic volatility puzzle: influence of macro-finance factors," Review of Quantitative Finance and Accounting, Springer, vol. 52(2), pages 381-401, February.
    43. Gagliardini, Patrick & Ossola, Elisa & Scaillet, Olivier, 2019. "Estimation of large dimensional conditional factor models in finance," Working Papers unige:125031, University of Geneva, Geneva School of Economics and Management.
    44. Claudiu Vinte & Marcel Ausloos, 2022. "The Cross-Sectional Intrinsic Entropy. A Comprehensive Stock Market Volatility Estimator," Papers 2205.00104, arXiv.org.
    45. Leonardo Becchetti & Rocco Ciciretti & Iftekhar Hasan, 2013. "Corporate Social Responsibility, Stakeholder Risk, and Idiosyncratic Volatility," CEIS Research Paper 285, Tor Vergata University, CEIS, revised 16 Dec 2013.
    46. Rajnish Mehra & Sunil Wahal & Daruo Xie, 2021. "Is idiosyncratic risk conditionally priced?," Quantitative Economics, Econometric Society, vol. 12(2), pages 625-646, May.
    47. Vafai, Nima & Rakowski, David, 2024. "The sources of portfolio volatility and mutual fund performance," International Review of Financial Analysis, Elsevier, vol. 91(C).
    48. Serguey Khovansky & Zhylyevskyy, Oleksandr, 2012. "Estimating Idiosyncratic Volatility and Its Effects on a Cross-Section of Returns," Staff General Research Papers Archive 34990, Iowa State University, Department of Economics.
    49. Gan, Christopher & Nartea, Gilbert V. & Wu, Ji (George), 2018. "Predictive ability of low-frequency volatility measures: Evidence from the Hong Kong stock markets," Finance Research Letters, Elsevier, vol. 26(C), pages 40-46.
    50. Huang, Chia-Wei & Ho, Po-Hsin & Lin, Chih-Yung & Yen, Ju-Fang, 2014. "Firm age, idiosyncratic risk, and long-run SEO underperformance," International Review of Economics & Finance, Elsevier, vol. 34(C), pages 246-266.
    51. Ossola, Elisa & Gagilardini, Patrick & Scaillet, Olivier, 2015. "Time-varying risk premium in large cross-sectional equity datasets," Working Papers unige:76321, University of Geneva, Geneva School of Economics and Management.
    52. Ke, Shuyao & Phillips, Peter C.B. & Su, Liangjun, 2024. "Robust inference of panel data models with interactive fixed effects under long memory: A frequency domain approach," Journal of Econometrics, Elsevier, vol. 241(2).
    53. Wan-Ni Lai & Yi-Ting Chen & Edward W. Sun, 2021. "Comonotonicity and low volatility effect," Annals of Operations Research, Springer, vol. 299(1), pages 1057-1099, April.
    54. Rocco Ciciretti & Ambrogio Dalò & Lammertjan Dam, 2017. "The Contributions of Betas versus Characteristics to the ESG Premium," CEIS Research Paper 413, Tor Vergata University, CEIS, revised 19 Dec 2019.
    55. Long, Huaigang & Zhu, Yanjian & Chen, Lifang & Jiang, Yuexiang, 2019. "Tail risk and expected stock returns around the world," Pacific-Basin Finance Journal, Elsevier, vol. 56(C), pages 162-178.
    56. Chia-Lin Chang & Shu-Han Hsu & Michael McAleer, 2018. "Asymmetric Risk Impacts of Chinese Tourists to Taiwan," Tinbergen Institute Discussion Papers 18-047/III, Tinbergen Institute.
    57. Aissia, Dorsaf Ben, 2014. "IPO first-day returns: Skewness preference, investor sentiment and uncertainty underlying factors," Review of Financial Economics, Elsevier, vol. 23(3), pages 148-154.
    58. Liao, Cunfei & Luo, Qianlin & Tang, Guohao, 2021. "Aggregate liquidity premium and cross-sectional returns: Evidence from China," Economic Modelling, Elsevier, vol. 104(C).
    59. Ayadi, Mohamed A. & Cao, Xu & Lazrak, Skander & Wang, Yan, 2019. "Do idiosyncratic skewness and kurtosis really matter?," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    60. Karadi, Peter & Amann, Juergen & Bachiller, Javier Sánchez & Seiler, Pascal & Wursten, Jesse, 2023. "Price setting on the two sides of the Atlantic: evidence from supermarket-scanner data," Working Paper Series 2853, European Central Bank.
    61. Liu, Hao & Zhang, Qun, 2021. "Firm age and realized idiosyncratic return volatility in China: The role of short-sales constraints," International Review of Financial Analysis, Elsevier, vol. 75(C).
    62. Sumudu W. Watugala, 2015. "Economic Uncertainty and Commodity Futures Volatility," Working Papers 15-14, Office of Financial Research, US Department of the Treasury.
    63. Robert M. Hull & Sungkyu Kwak & Rosemary Walker, 2018. "Hedge fund attributes, insider behavior, and IPO volatility," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 42(2), pages 268-292, April.
    64. Jungmu Kim & Youngkyung Ok & Yuen Jung Park, 2020. "Institutional Investors’ Trading Response to Stock Market Anomalies: Evidence from Korea," Sustainability, MDPI, vol. 12(4), pages 1-17, February.
    65. Chen, Na & Jin, Xiu, 2020. "Industry risk transmission channels and the spillover effects of specific determinants in China’s stock market: A spatial econometrics approach," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    66. Matthew Greenwood-Nimmo & Viet Hoang Nguyen & Barry Rafferty, 2016. "Risk and Return Spillovers among the G10 Currencies," Melbourne Institute Working Paper Series wp2016n04, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    67. Ali, Syed Riaz Mahmood & Hasan, Mohammad Nurul & Östermark, Ralf, 2020. "Are idiosyncratic risk and extreme positive return priced in the Indian equity market?," International Review of Economics & Finance, Elsevier, vol. 70(C), pages 530-545.
    68. Yu, Jialin, 2011. "Disagreement and return predictability of stock portfolios," Journal of Financial Economics, Elsevier, vol. 99(1), pages 162-183, January.
    69. Gong, Yuting & He, Zhongzhi & Xue, Wenjun, 2022. "EPU spillovers and stock return predictability: A cross-country study," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 78(C).
    70. Hueng, C. James & Yau, Ruey, 2013. "Country-specific idiosyncratic risk and global equity index returns," International Review of Economics & Finance, Elsevier, vol. 25(C), pages 326-337.
    71. Cheon, Yong-Ho & Lee, Kuan-Hui, 2018. "Time variation of MAX-premium with market volatility: Evidence from Korean stock market," Pacific-Basin Finance Journal, Elsevier, vol. 51(C), pages 32-46.
    72. Amihud, Yakov & Hameed, Allaudeen & Kang, Wenjin & Zhang, Huiping, 2015. "The illiquidity premium: International evidence," Journal of Financial Economics, Elsevier, vol. 117(2), pages 350-368.
    73. Bodilsen, Simon & Eriksen, Jonas N. & Grønborg, Niels S., 2021. "Asset pricing and FOMC press conferences," Journal of Banking & Finance, Elsevier, vol. 128(C).
    74. Jukka Ilomäki, 2016. "Risk-Free Rates And Animal Spirits In Financial Markets," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 11(03), pages 1-18, September.
    75. Liu, Shengnan & Kong, Ao & Gu, Rongbao & Guo, Wenjing, 2019. "Does idiosyncratic volatility matter? — Evidence from Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 516(C), pages 393-401.
    76. Patrick Gagliardini & Elisa Ossola & Olivier Scaillet, 2016. "A diagnostic criterion for approximate factor structure," Papers 1612.04990, arXiv.org, revised Aug 2017.
    77. Dutt, Tanuj & Humphery-Jenner, Mark, 2013. "Stock return volatility, operating performance and stock returns: International evidence on drivers of the ‘low volatility’ anomaly," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 999-1017.
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    2. Eric M. Leeper & Todd B. Walker & Shu-Chun Susan Yang, 2009. "Fiscal Foresight and Information Flows," NBER Working Papers 14630, National Bureau of Economic Research, Inc.
    3. Butler, Alexander W. & Yi, Hanyi, 2022. "Aging and public financing costs: Evidence from U.S. municipal bond markets," Journal of Public Economics, Elsevier, vol. 211(C).
    4. Robert Novy-Marx & Joshua D. Rauh, 2012. "Fiscal Imbalances and Borrowing Costs: Evidence from State Investment Losses," American Economic Journal: Economic Policy, American Economic Association, vol. 4(2), pages 182-213, May.
    5. Eric M. Leeper & Alexander W. Richter & Todd B. Walker, 2010. "Quantitative Effects of Fiscal Foresight," NBER Chapters, in: Fiscal Policy (Trans-Atlantic Public Economics Seminar, TAPES), pages 115-144, National Bureau of Economic Research, Inc.
    6. Blaufus, Kay & Möhlmann, Axel, 2012. "Security returns and tax aversion bias: Behavioral responses to tax labels," arqus Discussion Papers in Quantitative Tax Research 133, arqus - Arbeitskreis Quantitative Steuerlehre.
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    8. Ivan T. Ivanov & Tom Zimmermann & Nathan Heinrich, 2022. "Limits of Disclosure Regulation in the Municipal Bond Market," ECONtribute Discussion Papers Series 186, University of Bonn and University of Cologne, Germany.
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  9. Geert Bekaert & Min Wei & Yuhang Xing, 2002. "Uncovered Interest Rate Parity and the Term Structure," NBER Working Papers 8795, National Bureau of Economic Research, Inc.

    Cited by:

    1. Geert Bekaert & Seonghoon Cho & Antonio Moreno, 2005. "New-Keynesian Macroeconomics and the Term Structure," NBER Working Papers 11340, National Bureau of Economic Research, Inc.
    2. Egarch Oknan Bello & Óscar Gámez, 2007. "Inflación e incertidumbre inflacionaria en Nicaragua: una aplicación usando un modelo," Monetaria, CEMLA, vol. 0(3), pages 243-263, julio-sep.
    3. de Truchis, Gilles & Dell’Eva, Cyril & Keddad, Benjamin, 2017. "On exchange rate comovements: New evidence from a Taylor rule fundamentals model with adaptive learning," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 48(C), pages 82-98.
    4. Jaehun Chung & Yongmiao Hong, 2007. "Model-free evaluation of directional predictability in foreign exchange markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(5), pages 855-889.
    5. Muhammad Omer & Jakob de Haan & Bert Scholtens, 2019. "Does Uncovered Interest Rate Parity Hold After All?," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 24(2), pages 49-72, July-Dec.
    6. Holmes, Mark J. & Otero, Jesús & Panagiotidis, Theodore, 2011. "The term structure of interest rates, the expectations hypothesis and international financial integration: Evidence from Asian economies," International Review of Economics & Finance, Elsevier, vol. 20(4), pages 679-689, October.
    7. Adeline Bachellerie & Jérôme Héricourt & Valérie Mignon, 2009. "From Various Degrees of Trade to Various Degrees of Financial Integration: What Do Interest Rates Have to Say?," Post-Print hal-00649936, HAL.
    8. Sarno, Lucio & Thornton, Daniel L. & Valente, Giorgio, 2007. "The Empirical Failure of the Expectations Hypothesis of the Term Structure of Bond Yields," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 42(1), pages 81-100, March.
    9. Charles Engel, 2013. "Exchange Rates and Interest Parity," NBER Working Papers 19336, National Bureau of Economic Research, Inc.
    10. Macchiarelli, Corrado, 2011. "Bond market co-movements, expected inflation and the equilibrium real exchange rate," Working Paper Series 1405, European Central Bank.
    11. Heike Joebges & Volker Meinhard & Katja Rietzler & Rudolf Zwiener, 2012. "On the Path to Old-Age Poverty - Assessing the Impact of the Funded Riester Pension," IMK Report 73e-2012, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
    12. Campbell, John Y & Viceira, Luis & White, Josh S., 2002. "Foreign Currency for Long-Term Investors," CEPR Discussion Papers 3463, C.E.P.R. Discussion Papers.
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    15. Dong Heon Kim, 2008. "Another Look at Yield Spreads: The Role of Liquidity," Southern Economic Journal, John Wiley & Sons, vol. 74(4), pages 952-970, April.
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    31. Khaled Khaled & Amel Belanes & Sandrine Kablan, 2018. "The regional pricing of risk: An empirical investigation of the MENA Region," Economics Bulletin, AccessEcon, vol. 38(2), pages 751-760.
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    33. Refet S. Gürkaynak & Jonathan H. Wright, 2012. "Macroeconomics and the Term Structure," Journal of Economic Literature, American Economic Association, vol. 50(2), pages 331-367, June.
    34. Zura Kakushadze & Willie Yu, 2019. "iCurrency?," Papers 1911.01272, arXiv.org, revised Nov 2019.
    35. Andrea Carriero, 2006. "Explaining US–UK Interest Rate Differentials: A Reassessment of the Uncovered Interest Rate Parity in a Bayesian Framework," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(s1), pages 879-899, December.
    36. Pippenger, John E, 2010. "The Solution to the Forward-Bias and Related Puzzles," University of California at Santa Barbara, Economics Working Paper Series qt6br3599r, Department of Economics, UC Santa Barbara.
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    39. Guesmi, Khaled & Kablan, Sandrine & Belgacem, Aymen, 2015. "The regional pricing of risk: An empirical investigation of the MENA equity determinants," MPRA Paper 70271, University Library of Munich, Germany, revised 2015.
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    42. Chinn, Menzie D., 2006. "The (partial) rehabilitation of interest rate parity in the floating rate era: Longer horizons, alternative expectations, and emerging markets," Journal of International Money and Finance, Elsevier, vol. 25(1), pages 7-21, February.
    43. Yin-Wong Cheung & Wenhao Wang, 2020. "Uncovered Interest Rate Parity Redux: Non- Uniform Effects," GRU Working Paper Series GRU_2020_004, City University of Hong Kong, Department of Economics and Finance, Global Research Unit.
    44. Bohdan Klos & Ryszard Kokoszczynski & Tomasz Lyziak & Jan Przystupa & Ewa Wrobel, 2005. "Structural Econometric Models in Forecasting Inflation at the National Bank of Poland," NBP Working Papers 31, Narodowy Bank Polski.
    45. Shu Wu, 2007. "Interest Rate Risk and the Forward Premium Anomaly in Foreign Exchange Markets," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(2-3), pages 423-442, March.
    46. Mehmet Altuntas, 2021. "The Interest Rate Parity in Fragile Five Countries: Evidence from Unit Root Tests with Breaks," Journal of Economic Policy Researches, Istanbul University, Faculty of Economics, vol. 8(2), pages 327-349, July.
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    48. Zura Kakushadze & Juan Andrés Serur, 2018. "151 Trading Strategies," Springer Books, Springer, number 978-3-030-02792-6, December.
    49. Irina Zviadadze, 2017. "Term Structure of Consumption Risk Premia in the Cross Section of Currency Returns," Journal of Finance, American Finance Association, vol. 72(4), pages 1529-1566, August.
    50. Heike Joebges & Volker Meinhard & Katja Rietzler & Rudolf Zwiener, 2012. "Auf dem Weg in die Altersarmut - Bilanz der Einführung der kapitalgedeckten Riester-Rente," IMK Report 73-2012, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
    51. Menzie D. Chinn & Guy Meredith, 2005. "Testing Uncovered Interest Parity at Short and Long Horizons during the Post-Bretton Woods Era," NBER Working Papers 11077, National Bureau of Economic Research, Inc.
    52. Macchiarelli, Corrado, 2011. "A VAR analysis for the uncovered interest parity and the ex-ante purchasing power parity: the role of macroeconomic and financial information," Working Paper Series 1404, European Central Bank.
    53. Erdenebat Bataa & Dong H. Kim & Denise R. Osborn, 2007. "Expectations Hypothesis Tests in the Presence of Model Uncertainty," Discussion Paper Series 0703, Institute of Economic Research, Korea University.
    54. Wellmann, Dennis & Trück, Stefan, 2018. "Factors of the term structure of sovereign yield spreads," Journal of International Money and Finance, Elsevier, vol. 81(C), pages 56-75.
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    57. Felix Geiger, 2009. "International Interest-Rate Risk Premia in Affine Term Structure Models," Diskussionspapiere aus dem Institut für Volkswirtschaftslehre der Universität Hohenheim 316/2009, Department of Economics, University of Hohenheim, Germany.
    58. Andreas Stathopoulos & Adrien Verdelhan & Hanno Lustig, 2017. "Nominal Exchange Rate Stationarity and Long-Term Bond Returns," 2017 Meeting Papers 1633, Society for Economic Dynamics.
    59. Ferreira, Paulo & Kristoufek, Ladislav, 2020. "Uncovered interest rate parity through the lens of fractal methods: Evidence from the European Union," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 553(C).
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    61. Forti Grazzini, Caterina & Rieth, Malte, 2017. "Interest Rates and Exchange Rates in Normal and Crisis Times," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168281, Verein für Socialpolitik / German Economic Association.
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    84. Menzie D. Chinn & Saad Quayyum, 2012. "Long Horizon Uncovered Interest Parity Re-Assessed," NBER Working Papers 18482, National Bureau of Economic Research, Inc.
    85. Loring, Grace & Lucey, Brian, 2013. "An analysis of forward exchange rate biasedness across developed and developing country currencies: Do observed patterns persist out of sample?," Emerging Markets Review, Elsevier, vol. 17(C), pages 14-28.
    86. Snaith, Stuart & Coakley, Jerry & Kellard, Neil, 2013. "Does the forward premium puzzle disappear over the horizon?," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3681-3693.
    87. Kumar, Satish, 2019. "Does risk premium help uncover the uncovered interest parity failure?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 63(C).
    88. Adewuyi, Adeolu O. & Ogebe, Joseph O., 2019. "The validity of uncovered interest parity: Evidence from african members and non-member of the organisation of petroleum exporting countries (OPEC)," Economic Modelling, Elsevier, vol. 82(C), pages 229-249.
    89. Jacob Boudoukh & Matthew Richardson & Robert Whitelaw, 2005. "The Information in Long-Maturity Forward Rates: Implications for Exchange Rates and the Forward Premium Anomaly," NBER Working Papers 11840, National Bureau of Economic Research, Inc.

  10. Vassalou, Maria & Li, Qing & Xing, Yuhang, 2001. "An Investment-Growth Asset Pricing Model," CEPR Discussion Papers 3058, C.E.P.R. Discussion Papers.

    Cited by:

    1. João F. Gomes & Amir Yaron & Lu Zhang, 2006. "Asset Pricing Implications of Firms' Financing Constraints," The Review of Financial Studies, Society for Financial Studies, vol. 19(4), pages 1321-1356.
    2. Gibran Watfe, 2015. "The Impact of the ECB's Asset Purchase Programmes on Sovereign Bond Spreads in the Euro Area," Bruges European Economic Research Papers 35, European Economic Studies Department, College of Europe.
    3. H. Youn Kim, 2003. "Intertemporal production and asset pricing: a duality approach," Oxford Economic Papers, Oxford University Press, vol. 55(2), pages 344-379, April.
    4. Schrimpf, Andreas & Schröder, Michael & Stehle, Richard, 2006. "Evaluating conditional asset pricing models for the German stock market," ZEW Discussion Papers 06-043, ZEW - Leibniz Centre for European Economic Research.

  11. Andrew Ang & Joseph Chen & Yuhang Xing, 2001. "Downside Risk and the Momentum Effect," NBER Working Papers 8643, National Bureau of Economic Research, Inc.

    Cited by:

    1. Weber, Martin & Glaser, Markus, 2002. "Momentum and Turnover: Evidence from the German Stock Market," CEPR Discussion Papers 3353, C.E.P.R. Discussion Papers.
    2. Patricia Chelley-Steeley & Antonios Siganos, 2005. "Momentum Profits in Alternative Stock Market Structures," Money Macro and Finance (MMF) Research Group Conference 2005 63, Money Macro and Finance Research Group.
    3. Gao, Yang & Leung, Henry & Satchell, Stephen, 2022. "Partial moment momentum," Journal of Banking & Finance, Elsevier, vol. 135(C).
    4. Houda Hafsa & Dorra Hmaied, 2012. "Are Downside Higher Order Co-Moments Priced? : Evidence From The French Market," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 6(1), pages 65-81.
    5. Olmo, J., 2007. "An asset pricing model for mean-variance-downside-risk averse investors," Working Papers 07/01, Department of Economics, City University London.
    6. Andrew Ang & Joseph Chen & Yuhang Xing, 2005. "Downside Risk," NBER Working Papers 11824, National Bureau of Economic Research, Inc.
    7. Stephen A. Gorman & Frank J. Fabozzi, 2021. "The ABC’s of the alternative risk premium: academic roots," Journal of Asset Management, Palgrave Macmillan, vol. 22(6), pages 405-436, October.
    8. Peter Xu & Rich Pettit, 2014. "No-arbitrage conditions and expected returns when assets have different β’s in up and down markets," Journal of Asset Management, Palgrave Macmillan, vol. 15(1), pages 62-71, February.
    9. Syed Aziz Rasool & Adiqa Kausar Kiani & Noor Jehan, 2018. "The Myth of Downside Risk Based Capital Asset Pricing Model: Empirical Evidence from South Asian Countries," Global Social Sciences Review, Humanity Only, vol. 3(3), pages 265-280, September.
    10. Krishnan, C.N.V. & Petkova, Ralitsa & Ritchken, Peter, 2009. "Correlation risk," Journal of Empirical Finance, Elsevier, vol. 16(3), pages 353-367, June.
    11. Cohen, Randolph B. & Gompers, Paul A. & Vuolteenaho, Tuomo, 2002. "Who underreacts to cash-flow news? evidence from trading between individuals and institutions," Journal of Financial Economics, Elsevier, vol. 66(2-3), pages 409-462.
    12. Ferdi Aarts & Thorsten Lehnert, 2005. "On style momentum strategies," Applied Economics Letters, Taylor & Francis Journals, vol. 12(13), pages 795-799.

Articles

  1. Conrad, Jennifer & Kapadia, Nishad & Xing, Yuhang, 2014. "Death and jackpot: Why do individual investors hold overpriced stocks?," Journal of Financial Economics, Elsevier, vol. 113(3), pages 455-475.

    Cited by:

    1. Fernando Chague & Bruno Giovannetti & Bernardo Guimaraes, 2021. "The Contrarian Put," Discussion Papers 2106, Centre for Macroeconomics (CFM).
    2. Fang, Yan & Yuan, Jie & Yang, J. Jimmy & Ying, Shangjun, 2022. "Crash-based quantitative trading strategies: Perspective of behavioral finance," Finance Research Letters, Elsevier, vol. 45(C).
    3. Doron Avramov & Tarun Chordia & Gergana Jostova & Alexander Philipov, 2022. "The Distress Anomaly is Deeper than You Think: Evidence from Stocks and Bonds [The prediction of corporate bankruptcy: a discriminant analysis]," Review of Finance, European Finance Association, vol. 26(2), pages 355-405.
    4. George, Thomas J. & Hwang, Chuan-Yang & Li, Yuan, 2023. "February, share turnover, and momentum in China," Pacific-Basin Finance Journal, Elsevier, vol. 82(C).
    5. Blocher, Jesse & Zhang, Chi, 2022. "Who is buying and (not) lending when shorts are selling?," Journal of Financial Markets, Elsevier, vol. 57(C).
    6. Hsin, Chin-Wen & Peng, Shu-Cing, 2023. "Investor propensity to speculate and price delay in emerging markets," International Review of Financial Analysis, Elsevier, vol. 86(C).
    7. Agarwal, Vikas & Jiang, Lei & Wen, Quan, 2020. "Why do mutual funds hold lottery stocks?," CFR Working Papers 20-08, University of Cologne, Centre for Financial Research (CFR).
    8. Matteo Benuzzi & Matteo Ploner, 2024. "Skewness-seeking behavior and financial investments," Annals of Finance, Springer, vol. 20(1), pages 129-165, March.
    9. Switzer, Lorne N. & Tahaoglu, Cagdas & Zhao, Yun, 2017. "Volatility measures as predictors of extreme returns," Review of Financial Economics, Elsevier, vol. 35(C), pages 1-10.
    10. Wang, Xiaoxiao, 2024. "Bank affiliation and lottery-like characteristics of mutual funds," International Review of Economics & Finance, Elsevier, vol. 93(PB), pages 944-963.
    11. Jannatunnesa -, 2017. "An Evaluation of the Factors Influencing Investors' Perception in Bangladesh Stock Market," International Journal of Business and Management, Canadian Center of Science and Education, vol. 12(5), pages 1-89, April.
    12. Yunqi Fan & Yanwei Zhang, 2024. "Consequences of firm-specific stock price crashes on analyst forecasts: Evidence from China," Palgrave Communications, Palgrave Macmillan, vol. 11(1), pages 1-15, December.
    13. Kwon, Kyung Yoon & Min, Byoung-Kyu & Sun, Chenfei, 2022. "Enhancing the profitability of lottery strategies," Journal of Empirical Finance, Elsevier, vol. 69(C), pages 166-184.
    14. Byun, Suk-Joon & Goh, Jihoon & Kim, Da-Hea, 2020. "The role of psychological barriers in lottery-related anomalies," Journal of Banking & Finance, Elsevier, vol. 114(C).
    15. K. C. Kenneth Chu & W. H. Sophia Zhai, 2021. "Distress risk puzzle and analyst forecast optimism," Review of Quantitative Finance and Accounting, Springer, vol. 57(2), pages 429-460, August.
    16. Yao, Shouyu & Wang, Chunfeng & Cui, Xin & Fang, Zhenming, 2019. "Idiosyncratic skewness, gambling preference, and cross-section of stock returns: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 53(C), pages 464-483.
    17. Weber, Martin & Jacobs, Heiko & Regele, Tobias, 2015. "Expected Skewness and Momentum," CEPR Discussion Papers 10601, C.E.P.R. Discussion Papers.
    18. Hu, Conghui & Lin, Ji-Chai & Liu, Yu-Jane, 2022. "What are the benefits of attracting gambling investors? Evidence from stock splits in China," Journal of Corporate Finance, Elsevier, vol. 74(C).
    19. Jang, Jeewon & Kang, Jangkoo, 2019. "Probability of price crashes, rational speculative bubbles, and the cross-section of stock returns," Journal of Financial Economics, Elsevier, vol. 132(1), pages 222-247.
    20. Aretz, Kevin & Eser Arisoy, Y., 2023. "The Pricing of Skewness Over Different Return Horizons," Journal of Banking & Finance, Elsevier, vol. 148(C).
    21. Nilesh Gupta & Joshy Jacob, 2021. "The Interplay Between Sentiment and MAX: Evidence from an Emerging Market," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 20(2), pages 192-217, August.
    22. Del Viva, Luca & Kasanen, Eero & Saunders, Anthony & Trigeorgis, Lenos, 2021. "US government TARP bailout and bank lottery behavior," Journal of Corporate Finance, Elsevier, vol. 66(C).
    23. Ye, Qing & Wu, Yuliang & Liu, Jia, 2019. "Institutional preferences, demand shocks and the distress anomaly," The British Accounting Review, Elsevier, vol. 51(1), pages 72-91.
    24. Zhu, Hongbing & Yang, Lihua & Xu, Changxin, 2023. "Tracking investor gambling intensity," International Review of Financial Analysis, Elsevier, vol. 86(C).
    25. Zhang, Qun & Zhang, Peihui & Liu, Hao, 2023. "Does expected idiosyncratic skewness of firms' profit predict the cross-section of stock returns? Evidence from China," Research in International Business and Finance, Elsevier, vol. 64(C).
    26. Guo, Hui & Jiang, Xiaowen, 2021. "Aggregate Distress Risk and Equity Returns," Journal of Banking & Finance, Elsevier, vol. 133(C).
    27. Lin, Mei-Chen & Lin, Yu-Ling, 2021. "Idiosyncratic skewness and cross-section of stock returns: Evidence from Taiwan," International Review of Financial Analysis, Elsevier, vol. 77(C).
    28. Bali, Turan G. & Brown, Stephen J. & Tang, Yi, 2017. "Is economic uncertainty priced in the cross-section of stock returns?," Journal of Financial Economics, Elsevier, vol. 126(3), pages 471-489.
    29. Nicholas Barberis & Lawrence J. Jin & Baolian Wang, 2021. "Prospect Theory and Stock Market Anomalies," Journal of Finance, American Finance Association, vol. 76(5), pages 2639-2687, October.
    30. Gao, Ya & Han, Xing & Xiong, Xiong, 2021. "Loss from the chasing of MAX stocks: Evidence from China," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    31. Fang, Yi & Niu, Hui & Tong, Xiangda, 2022. "Crash probability anomaly in the Chinese stock market," Finance Research Letters, Elsevier, vol. 44(C).
    32. Peijnenburg, Kim & Dimmock, Steve & Kouwenberg, Roy & Mitchell, Olivia S, 2018. "Household Portfolio Underdiversification and Probability Weighting: Evidence from the Field," CEPR Discussion Papers 13109, C.E.P.R. Discussion Papers.
    33. Goh, Jihoon & Jeong, Giho & Kang, Jangkoo, 2022. "The reference dependency of short-term reversal," International Review of Economics & Finance, Elsevier, vol. 78(C), pages 195-211.
    34. Devdeepta Bose & Henning Cordes & Sven Nolte & Judith Christiane Schneider & Colin Farrell Camerer, 2022. "Decision Weights for Experimental Asset Prices Based on Visual Salience," The Review of Financial Studies, Society for Financial Studies, vol. 35(11), pages 5094-5126.
    35. Fang, Yi & Niu, Hui & Lin, Yuen, 2023. "Ex-ante Valuation based on Prospect Theory," MPRA Paper 116386, University Library of Munich, Germany.
    36. Liu, Bibo & Wang, Huijun & Yu, Jianfeng & Zhao, Shen, 2020. "Time-varying demand for lottery: Speculation ahead of earnings announcements," Journal of Financial Economics, Elsevier, vol. 138(3), pages 789-817.
    37. Hu, Conghui & Liu, Yu-Jane & Xu, Xin, 2021. "The valuation effect of stock dividends or splits: Evidence from a catering perspective," Journal of Empirical Finance, Elsevier, vol. 61(C), pages 163-179.
    38. Elyas Elyasiani & Luca Gambarelli & Silvia Muzzioli, 2015. "Towards a skewness index for the Italian stock market," Department of Economics 0064, University of Modena and Reggio E., Faculty of Economics "Marco Biagi".
    39. Xu, Zhongxiang & Li, Xiafei & Chevapatrakul, Thanaset & Gao, Ning, 2022. "Default risk, macroeconomic conditions, and the market skewness risk premium," Journal of International Money and Finance, Elsevier, vol. 127(C).
    40. Huang, Helen Hui & Sun, Jianchun & Zhang, Shunming, 2024. "Asset pricing for the lottery-like security under probability weighting: Based on generalized Wang transform," The North American Journal of Economics and Finance, Elsevier, vol. 71(C).
    41. Nicholas C. Barberis & Lawrence J. Jin & Baolian Wang, 2020. "Prospect Theory and Stock Market Anomalies," NBER Working Papers 27155, National Bureau of Economic Research, Inc.
    42. Lee, Jong Hwa & Sung, Taeyoon & Seo, Sung Won, 2022. "Investor sentiment, credit rating, and stock returns," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 1076-1092.
    43. Haotian Xu & Wei Wei, 2020. "The Market Reaction of Bonus Shares Issuing and the Lottery-like Stock Preference: Evidence from Chinese Stock Market," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 10(1), pages 1-5.
    44. Byun, Suk-Joon & Kim, Da-Hea, 2016. "Gambling preference and individual equity option returns," Journal of Financial Economics, Elsevier, vol. 122(1), pages 155-174.
    45. Yu Liang & Weiqiang Zhang, 2016. "Do Investors Buy Lotteries in China’s Stock Market?," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 6(5), pages 1-5.
    46. Berggrun, Luis & Cardona, Emilio & Lizarzaburu, Edmundo, 2019. "Extreme daily returns and the cross-section of expected returns: Evidence from Brazil," Journal of Business Research, Elsevier, vol. 102(C), pages 201-211.
    47. Yigit Atilgan & K. Ozgur Demirtas & A. Doruk Gunaydin & Imra Kirli, 2023. "Average skewness in global equity markets," International Review of Finance, International Review of Finance Ltd., vol. 23(2), pages 245-271, June.
    48. Turan G. Bali & Andriy Bodnaruk & Anna Scherbina & Yi Tang, 2018. "Unusual News Flow and the Cross Section of Stock Returns," Management Science, INFORMS, vol. 64(9), pages 4137-4155, September.
    49. Jang, Jeewon, 2017. "Stock return anomalies and individual investors in the Korean stock market," Pacific-Basin Finance Journal, Elsevier, vol. 46(PA), pages 141-157.
    50. Jack Clark Francis, 2021. "Reformulating prospect theory to become a von Neumann–Morgenstern theory," Review of Quantitative Finance and Accounting, Springer, vol. 56(3), pages 965-985, April.
    51. Li An & Huijun Wang & Jian Wang & Jianfeng Yu, 2015. "Lottery-related anomalies: the role of reference-dependent preferences," Globalization Institute Working Papers 259, Federal Reserve Bank of Dallas.
    52. Gao, Ya & Bradrania, Reza, 2024. "Property crime and lottery-related anomalies," Global Finance Journal, Elsevier, vol. 59(C).
    53. Chang, Chiu-Lan, 2024. "Extreme events, economic uncertainty and speculation on occurrences of price bubbles in crude oil futures," Energy Economics, Elsevier, vol. 130(C).
    54. Fan, Ruixin & Xiong, Xiong & Gao, Ya, 2021. "Can the probability of extreme returns be the basis for profitable portfolios? Evidence from China," International Review of Financial Analysis, Elsevier, vol. 76(C).
    55. Zhang, Teng & Li, Jiaqi & Xu, Zhiwei, 2024. "Speculative trading, stock returns and asset pricing anomalies," Emerging Markets Review, Elsevier, vol. 61(C).
    56. deHaan, Ed & Li, Jiacui & Watts, Edward M., 2023. "Retail bond investors and credit ratings," Journal of Accounting and Economics, Elsevier, vol. 76(1).
    57. Przemysław S. Stilger & Alexandros Kostakis & Ser-Huang Poon, 2017. "What Does Risk-Neutral Skewness Tell Us About Future Stock Returns?," Management Science, INFORMS, vol. 63(6), pages 1814-1834, June.
    58. Andreou, Christoforos K. & Lambertides, Neophytos & Panayides, Photis M., 2021. "Distress risk anomaly and misvaluation," The British Accounting Review, Elsevier, vol. 53(5).
    59. Wang, Zhuo & Wang, Ziyue & Wu, Ke, 2023. "The role of anchoring on investors’ gambling preference: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 80(C).
    60. Gould, John & Yang, Joey W. & Singh, Ranjodh & Yeo, Ben, 2023. "The seasonality of lottery-like stock returns," International Review of Economics & Finance, Elsevier, vol. 83(C), pages 383-400.
    61. Alshammari, Saad & Goto, Shingo, 2022. "Are lottery-like stocks overvalued in markets that have no lotteries?–Evidence from Saudi Arabia," Finance Research Letters, Elsevier, vol. 46(PB).
    62. Andreou, Panayiotis C. & Kagkadis, Anastasios & Philip, Dennis & Tuneshev, Ruslan, 2018. "Differences in options investors’ expectations and the cross-section of stock returns," Journal of Banking & Finance, Elsevier, vol. 94(C), pages 315-336.
    63. Hai, Hoang Van & Park, Jong Won & Tsai, Ping-Chen & Eom, Cheoljun, 2020. "Lottery mindset, mispricing and idiosyncratic volatility puzzle: Evidence from the Chinese stock market," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    64. Montone, Maurizio, 2023. "Beta, value, and growth: Do dichotomous risk-preferences explain stock returns?," Journal of Behavioral and Experimental Finance, Elsevier, vol. 39(C).
    65. Wei Tang & Tianhao Wu & Liheng Xu, 2017. "Skewness Preference and IPO Anomalies in China," Annals of Economics and Finance, Society for AEF, vol. 18(1), pages 173-199, May.
    66. Yao, Jing & Zheng, Zexin, 2021. "Costly arbitrage and skewness pricing: Evidence from first-day price limit reform in China," Pacific-Basin Finance Journal, Elsevier, vol. 67(C).
    67. Jacobs, Heiko, 2020. "Hype or help? Journalists’ perceptions of mispriced stocks," Journal of Economic Behavior & Organization, Elsevier, vol. 178(C), pages 550-565.
    68. Wu, Xiang & Zhang, Bing, 2024. "Retail investors’ escaping from the bottom and clustering at the top of the trend in China," International Review of Economics & Finance, Elsevier, vol. 93(PB), pages 875-904.
    69. Aboulamer, Anas & Kryzanowski, Lawrence, 2016. "Are idiosyncratic volatility and MAX priced in the Canadian market?," Journal of Empirical Finance, Elsevier, vol. 37(C), pages 20-36.

  2. Huseyin Gulen & Yuhang Xing & Lu Zhang, 2011. "Value versus Growth: Time‐Varying Expected Stock Returns," Financial Management, Financial Management Association International, vol. 40(2), pages 381-407, June.
    See citations under working paper version above.
  3. Xing, Yuhang & Zhang, Xiaoyan & Zhao, Rui, 2010. "What Does the Individual Option Volatility Smirk Tell Us About Future Equity Returns?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 45(3), pages 641-662, June.

    Cited by:

    1. Pei Peter Lung & Pisun Xu, 2014. "Tipping and Option Trading," Financial Management, Financial Management Association International, vol. 43(3), pages 671-701, September.
    2. Araujo, Gustavo Silva & Leão, Sérgio, 2016. "OTC derivatives: Impacts of regulatory changes in the non-financial sector," Journal of Financial Stability, Elsevier, vol. 25(C), pages 132-149.
    3. Byun, Suk Joon & Kim, Jun Sik, 2013. "The information content of risk-neutral skewness for volatility forecasting," Journal of Empirical Finance, Elsevier, vol. 23(C), pages 142-161.
    4. Jung‐Soon Shin & Minki Kim & Dongjun Oh & Tong Suk Kim, 2019. "Do hedge funds time market tail risk? Evidence from option‐implied tail risk," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(2), pages 205-237, February.
    5. Chen, Cathy Yi-Hsuan & Fengler, Matthias R. & Härdle, Wolfgang Karl & Liu, Yanchu, 2018. "Textual Sentiment, Option Characteristics, and Stock Return Predictability," IRTG 1792 Discussion Papers 2018-023, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    6. Diavatopoulos, Dean & Doran, James S. & Fodor, Andy & Peterson, David R., 2012. "The information content of implied skewness and kurtosis changes prior to earnings announcements for stock and option returns," Journal of Banking & Finance, Elsevier, vol. 36(3), pages 786-802.
    7. Sangwon Suh & Eungyu Yoo & Sun‐Joong Yoon, 2021. "Stock market tail risk, tail risk premia, and return predictability," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(10), pages 1569-1596, October.
    8. Mo, Xuan & Su, Zhi & Yin, Libo, 2019. "Can the skewness of oil returns affect stock returns? Evidence from China’s A-Share markets," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    9. He, Xin-Jiang & Zhu, Song-Ping, 2017. "How should a local regime-switching model be calibrated?," Journal of Economic Dynamics and Control, Elsevier, vol. 78(C), pages 149-163.
    10. Michael Shafer & Edward Szado, 2020. "Environmental, social, and governance practices and perceived tail risk," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(4), pages 4195-4224, December.
    11. Peter Christoffersen & Xuhui (Nick) Pan, 2014. "Equity Portfolio Management Using Option Price Information," CREATES Research Papers 2015-05, Department of Economics and Business Economics, Aarhus University.
    12. Liu, Ming-Yu & Chuang, Wen-I & Lo, Chien-Ling, 2021. "Options-implied information and the momentum cycle," Journal of Financial Markets, Elsevier, vol. 53(C).
    13. Chen, Carl R. & Diltz, J. David & Huang, Ying & Lung, Peter P., 2011. "Stock and option market divergence in the presence of noisy information," Journal of Banking & Finance, Elsevier, vol. 35(8), pages 2001-2020, August.
    14. León, Angel & Navarro, Lluís & Nieto, Belén, 2019. "Screening rules and portfolio performance," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 642-662.
    15. Zuo, Junqing & Zhang, Wei & Hu, Mingya & Feng, Xu & Zou, Gaofeng, 2022. "Employee relations and stock price crash risk: Evidence from employee lawsuits," International Review of Financial Analysis, Elsevier, vol. 82(C).
    16. Kapadia, Nishad & Zekhnini, Morad, 2019. "Do idiosyncratic jumps matter?," Journal of Financial Economics, Elsevier, vol. 131(3), pages 666-692.
    17. Wei Guo & Xinfeng Ruan & Sebastian A. Gehricke & Jin E. Zhang, 2023. "Term spreads of implied volatility smirk and variance risk premium," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(7), pages 829-857, July.
    18. Kim, Donghan & Kim, Jun Sik & Seo, Sung Won, 2018. "What options to trade and when: Evidence from seasoned equity offerings," Journal of Financial Markets, Elsevier, vol. 37(C), pages 70-96.
    19. Almeida, Caio & Ricca, Bernardo & Tessari, Cristina, 2016. "Idiosyncratic Moments and the Cross-Section of Stock Returns in Brazil," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 36(2), November.
    20. George J. Jiang & Guanzhong Pan, 2022. "Speculation or hedging?—Options trading prior to FOMC announcements," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(2), pages 212-230, February.
    21. Mahmoud Delshadi & Mahmoud Hosseinniakani & Zabihollah Rezaee, 2023. "Does options trading deter real activities manipulation?," Review of Quantitative Finance and Accounting, Springer, vol. 61(2), pages 673-699, August.
    22. Doojin Ryu & Heejin Yang, 2018. "The directional information content of options volumes," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(12), pages 1533-1548, December.
    23. Mirco Rubin & Dario Ruzzi, 2020. "Equity tail risk in the treasury bond market," Temi di discussione (Economic working papers) 1311, Bank of Italy, Economic Research and International Relations Area.
    24. Elyas Elyasani & Luca Gambarelli & Silvia Muzzioli, 2016. "The risk asymmetry index," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 0061, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
    25. Mohrschladt, Hannes, 2021. "The ordering of historical returns and the cross-section of subsequent returns," Journal of Banking & Finance, Elsevier, vol. 125(C).
    26. Keming Li, 2021. "The effect of option trading," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-32, December.
    27. Wu, Zekun & Borochin, Paul & Golec, Joseph, 2024. "Informed options trading before FDA drug advisory meetings," Journal of Corporate Finance, Elsevier, vol. 84(C).
    28. Seraina C. Anagnostopoulou & Aikaterini C. Ferentinou & Panagiotis A. Tsaousis & Andrianos E. Tsekrekos, 2018. "The Options Market Reaction to Bank Loan Announcements," Journal of Financial Services Research, Springer;Western Finance Association, vol. 53(1), pages 99-139, February.
    29. Hoque, Ariful & Le, Thi & Hasan, Morshadul & Abedin, Mohammad Zoynul, 2024. "Does market efficiency matter for Shanghai 50 ETF index options?," Research in International Business and Finance, Elsevier, vol. 67(PB).
    30. 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.
    31. Mengyu Zhang & Thanos Verousis & Iordanis Kalaitzoglou, 2022. "Information and the arrival rate of option trading volume," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(4), pages 605-644, April.
    32. Chen, Zhuo & Lu, Andrea, 2017. "Slow diffusion of information and price momentum in stocks: Evidence from options markets," Journal of Banking & Finance, Elsevier, vol. 75(C), pages 98-108.
    33. Callen, Jeffrey L. & Fang, Xiaohua, 2013. "Institutional investor stability and crash risk: Monitoring versus short-termism?," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 3047-3063.
    34. Chen, Jian & Jiang, Fuwei & Xue, Shuyu & Yao, Jiaquan, 2019. "The world predictive power of U.S. equity market skewness risk," Journal of International Money and Finance, Elsevier, vol. 96(C), pages 210-227.
    35. Hadhri, Sinda & Ftiti, Zied, 2019. "Asset allocation and investment opportunities in emerging stock markets: Evidence from return asymmetry-based analysis," Journal of International Money and Finance, Elsevier, vol. 93(C), pages 187-200.
    36. Jiang, Xue & Han, Liyan & Yin, Libo, 2019. "Can skewness predict currency excess returns?," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 628-641.
    37. Liu, Qingfu & Hua, Renhai & An, Yunbi, 2016. "Determinants and information content of intraday bid-ask spreads: Evidence from Chinese commodity futures markets," Pacific-Basin Finance Journal, Elsevier, vol. 38(C), pages 135-148.
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    16. Paul A. Griffin & David H. Lont & Kurt Purdon, 2021. "Stock and Bond Return Comovement as a Different Way to Assess Information Content: The Case of Debt Covenant Violation Disclosures," Abacus, Accounting Foundation, University of Sydney, vol. 57(1), pages 101-125, March.
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    19. Marsch, I. & Wagner, W.B., 2012. "Why is Price Discovery in Credit Default Swap Markets News-Specific?," Other publications TiSEM 2085f4c9-2035-489f-ae63-4, Tilburg University, School of Economics and Management.
    20. Paul Mizen & Veronica Veleanu, 2015. "On the Information Flow from Credit Derivatives to the Macroeconomy," Discussion Papers 2015/21, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
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  7. Bekaert, Geert & Engstrom, Eric & Xing, Yuhang, 2009. "Risk, uncertainty, and asset prices," Journal of Financial Economics, Elsevier, vol. 91(1), pages 59-82, January.
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  8. Yuhang Xing, 2008. "Interpreting the Value Effect Through the Q-Theory: An Empirical Investigation," The Review of Financial Studies, Society for Financial Studies, vol. 21(4), pages 1767-1795, July.

    Cited by:

    1. Xiaoji Lin, 2009. "Endogenous Technological Progress and the Cross Section of Stock Returns," FMG Discussion Papers dp634, Financial Markets Group.
    2. Frederico Belo & Chen Xue & Lu Zhang, 2010. "Cross-sectional Tobin's Q," NBER Working Papers 16336, National Bureau of Economic Research, Inc.
    3. Giglio, Stefano & Feng, Guanhao & Xiu, Dacheng, 2020. "Taming the Factor Zoo: A Test of New Factors," CEPR Discussion Papers 14266, C.E.P.R. Discussion Papers.
    4. Kang, Hankil & Kang, Jangkoo & Lee, Changjun, 2013. "Do the production-based factors capture the time-varying patterns in stock returns?," Emerging Markets Review, Elsevier, vol. 15(C), pages 122-135.
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    1. Pongrapeeporn Abhakorn & Peter N. Smith & Michael R.Wickens, 2013. "What do the Fama-French factors add to CCAPM?," CAMA Working Papers 2013-23, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
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    5. Stefan Nagel, 2012. "Empirical Cross-Sectional Asset Pricing," NBER Working Papers 18554, National Bureau of Economic Research, Inc.
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    22. Ehab Yamani & David Rakowski, 2018. "Cash Flow and Discount Rate Risk in the Investment Effect: A Downside Risk Approach," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 8(03), pages 1-40, September.
    23. Urban Jermann, 2013. "A Production-Based Model for the Term Structure," NBER Working Papers 18774, National Bureau of Economic Research, Inc.
    24. Dimitris Papanikolaou, 2008. "Investment-Specific Technological Change and Asset Prices," 2008 Meeting Papers 637, Society for Economic Dynamics.
    25. Inga Heiland, 2017. "Five Essays on International Trade, Factor Flows and the Gains from Globalization," ifo Beiträge zur Wirtschaftsforschung, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 74.
    26. Dewandaru, Ginanjar & Masih, Rumi & Bacha, Obiyathulla & Masih, A. Mansur M., 2014. "Combining Momentum, Value, and Quality for the Islamic Equity Portfolio: Multi-style Rotation Strategies using Augmented Black Litterman Factor Model," MPRA Paper 56965, University Library of Munich, Germany.
    27. Heiland, Inga, 2019. "Global Risk Sharing through Trade in Goods and Assets: Theory and Evidence," CEPR Discussion Papers 14230, C.E.P.R. Discussion Papers.
    28. Seung C. Ahn & Alex R. Horenstein, 2017. "Asset Pricing and Excess Returns over the Market Return," Working Papers 2017-12, University of Miami, Department of Economics.
    29. Li, Haitao & Xu, Yuewu & Zhang, Xiaoyan, 2010. "Evaluating asset pricing models using the second Hansen-Jagannathan distance," Journal of Financial Economics, Elsevier, vol. 97(2), pages 279-301, August.
    30. Kim, Dongcheol & Kim, Tong Suk & Min, Byoung-Kyu, 2011. "Future labor income growth and the cross-section of equity returns," Journal of Banking & Finance, Elsevier, vol. 35(1), pages 67-81, January.
    31. Li, Dongmei & Zhang, Lu, 2010. "Does q-theory with investment frictions explain anomalies in the cross section of returns?," Journal of Financial Economics, Elsevier, vol. 98(2), pages 297-314, November.
    32. Kwon, Ji Ho, 2019. "Tail risk and the consumption CAPM," Finance Research Letters, Elsevier, vol. 30(C), pages 69-75.
    33. Lewellen, Jonathan, 2010. "Accounting anomalies and fundamental analysis: An alternative view," Journal of Accounting and Economics, Elsevier, vol. 50(2-3), pages 455-466, December.
    34. Jamali, Ibrahim & Yamani, Ehab & Smallwood, Aaron D., 2023. "An investment-based explanation of currency excess returns," Journal of International Money and Finance, Elsevier, vol. 133(C).
    35. Massimo Guidolin & Martin Lozano & Juan Arismendi Zambrano, "undated". "Multifactor Empirical Asset Pricing Under Higher-Order Moment Variations," Economics Department Working Paper Series n304-20.pdf, Department of Economics, National University of Ireland - Maynooth.
    36. Huang, Dayong & Wang, Fang, 2009. "Cash, investments and asset returns," Journal of Banking & Finance, Elsevier, vol. 33(12), pages 2301-2311, December.
    37. Kang, Jangkoo & Kim, Tong Suk & Lee, Changjun & Min, Byoung-Kyu, 2011. "Macroeconomic risk and the cross-section of stock returns," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3158-3173.
    38. Khan, Mozaffar, 2008. "Are accruals mispriced Evidence from tests of an Intertemporal Capital Asset Pricing Model," Journal of Accounting and Economics, Elsevier, vol. 45(1), pages 55-77, March.
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