Nothing Special   »   [go: up one dir, main page]

create a website
Future labor income growth and the cross-section of equity returns. (2011). Kim, Dongcheol ; Min, Byoung-Kyu .
In: Journal of Banking & Finance.
RePEc:eee:jbfina:v:35:y:2011:i:1:p:67-81.

Full description at Econpapers || Download paper

Cited: 13

Citations received by this document

Cites: 44

References cited by this document

Cocites: 60

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Characteristic-sorted portfolios and macroeconomic risks—An orthogonal decomposition. (2022). Conlon, Thomas ; Bessler, Wolfgang ; Adcock, Christopher .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:65:y:2022:i:c:p:24-50.

    Full description at Econpapers || Download paper

  2. A macroeconomic hedge portfolio and the cross section of stock returns. (2021). Stotz, Olaf ; Renz, Maximilian.
    In: Review of Financial Economics.
    RePEc:wly:revfec:v:39:y:2021:i:1:p:73-94.

    Full description at Econpapers || Download paper

  3. How does the six-factor model do in explaining the relationship between return and risk on the Indonesia stock exchange?. (2020). Susanti, Neneng ; Florensia, Claudia.
    In: International Journal of Research in Business and Social Science (2147-4478).
    RePEc:rbs:ijbrss:v:9:y:2020:i:7:p:93-107.

    Full description at Econpapers || Download paper

  4. A six-factor asset pricing model. (2018). Shijin, Santhakumar ; Roy, Rahul.
    In: Post-Print.
    RePEc:hal:journl:hal-01878923.

    Full description at Econpapers || Download paper

  5. Dissecting anomalies and dynamic human capital: The global evidence. (2018). Roy, Rahul ; Shijin, Santhakumar.
    In: Post-Print.
    RePEc:hal:journl:hal-01660135.

    Full description at Econpapers || Download paper

  6. A labor news hedge portfolio and the cross-section of expected stock returns. (2018). Stotz, Olaf.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:48:y:2018:i:c:p:123-139.

    Full description at Econpapers || Download paper

  7. A six-factor asset pricing model. (2018). Shijin, Santhakumar ; Roy, Rahul.
    In: Papers.
    RePEc:arx:papers:1810.07790.

    Full description at Econpapers || Download paper

  8. The Financial Performance of Socially Responsible Investments: Insights from the Intertemporal CAPM. (2017). Gharghori, Philip ; faff, robert ; Xiao, Yuchao ; Min, Byoung-Kyu.
    In: Journal of Business Ethics.
    RePEc:kap:jbuset:v:146:y:2017:i:2:d:10.1007_s10551-015-2894-8.

    Full description at Econpapers || Download paper

  9. Pricing innovations in consumption growth: A re-evaluation of the recursive utility model. (2013). Gharghori, Philip ; faff, robert ; Min, Byoung-Kyu ; Xiao, Yuchao .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:11:p:4465-4475.

    Full description at Econpapers || Download paper

  10. Optimal Portfolios for Occupational Funds under Time-Varying Correlations in Bull and Bear Markets? Assessing the Ex-Post Economic Value. (2012). Hyde, Stuart ; Guidolin, Massimo.
    In: Working Papers.
    RePEc:igi:igierp:455.

    Full description at Econpapers || Download paper

  11. Evaluating asset pricing models in the Korean stock market. (2012). Kim, Dongcheol ; Shin, Hyun-Soo .
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:20:y:2012:i:2:p:198-227.

    Full description at Econpapers || Download paper

  12. Are good-news firms riskier than bad-news firms?. (2012). Min, Byoung-Kyu ; Kim, Tong Suk.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:36:y:2012:i:5:p:1528-1535.

    Full description at Econpapers || Download paper

  13. Macroeconomic risk and the cross-section of stock returns. (2011). Min, Byoung-Kyu ; Kim, Tong Suk ; Kang, Jangkoo ; Lee, Changjun.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:12:p:3158-3173.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Abhyankar, A. ; Gonzalez, A. News and the cross-section of expected corporate bond returns. 2009 Journal of Banking and Finance. 33 996-1004

  2. Aretz, K. ; Bartram, S.M. ; Pope, P.F. Macroeconomic risks and characteristic-based factor models. 2010 Journal of Banking and Finance. 34 1383-1399

  3. Breeden, D.T. An intertemporal asset pricing model with stochastic consumption and investment opportunities. 1979 Journal of Financial Economics. 7 265-296

  4. Breeden, D.T. ; Gibbons, M.R. ; Litzenberger, R. Empirical tests of the consumption-oriented CAPM. 1989 Journal of Finance. 44 231-262

  5. Campbell, J.Y. Understanding risk and return. 1996 Journal of Political Economy. 104 298-345

  6. Campbell, J.Y. ; Cochrane, J.H. Explaining the poor performance of consumption-based asset pricing models. 2000 Journal of Finance. 55 2863-2878

  7. Campbell, J.Y. ; Shiller, R.J. The dividend-price ratio and expectations of future dividends and discount factors. 1988 Review of Financial Studies. 1 195-228

  8. Campbell, J.Y. ; Vuolteenaho, T. Bad beta, good beta. 2004 American Economic Review. 94 1249-1275

  9. Chan, K.C. ; Chen, N. Structural and return characteristics of small and large firms. 1991 Journal of Finance. 46 1467-1484

  10. Cochrane, J.H. A cross-sectional test of an investment-based asset pricing model. 1996 Journal of Political Economy. 104 572-621

  11. Epstein, L.G. ; Zin, S.E. Substitution, risk aversion, and the temporal behavior of consumption and asset returns: a theoretical framework. 1989 Econometrica. 57 937-968

  12. Epstein, L.G. ; Zin, S.E. Substitution, risk aversion, and the temporal behavior of consumption and asset returns: an empirical analysis. 1991 Journal of Political Economy. 99 263-286

  13. Fama, E.F. ; French, K.R. Common risk factors in the returns on bonds and stocks. 1993 Journal of Financial Economics. 33 3-56

  14. Fama, E.F. ; French, K.R. Multifactor explanations of asset pricing anomalies. 1996 Journal of Finance. 51 55-184

  15. Fama, E.F. ; French, K.R. Size and book-to-market factors in earnings and returns. 1995 Journal of Finance. 50 131-155

  16. Fama, E.F. ; French, K.R. The cross-section of expected stock returns. 1992 Journal of Finance. 47 427-465

  17. Fama, E.F. ; MacBeth, J. Risk, return, and equilibrium: empirical tests. 1973 Journal of Political Economy. 71 607-636

  18. Hahn, J. ; Lee, H. Yield spreads as alternative risk factors for size and book-to-market. 2006 Journal of Financial and Quantitative Analysis. 41 247-269

  19. Hansen, L.P. Large sample properties of generalized methods of moments estimators. 1982 Econometrica. 50 1029-1054

  20. Hansen, L.P. ; Jagannathan, R. Assessing specification errors in stochastic discount factor models. 1997 Journal of Finance. 52 557-590

  21. Jagannathan, R. ; Wang, Z. An asymptotic theory for estimating beta-pricing models using cross-sectional regression. 1998 Journal of Finance. 53 1285-1309
    Paper not yet in RePEc: Add citation now
  22. Jagannathan, R. ; Wang, Z. The conditional CAPM and the cross-section of expected returns. 1996 Journal of Finance. 51 815-849

  23. Kim, D. A reexamination of size, book-to-market, and earnings-price in the cross-section of expected stock returns. 1997 Journal of Financial and Quantitative Analysis. 32 463-489

  24. Kim, D. Information uncertainty risk and seasonality in international stock markets. 2010 Asia-Pacific Journal of Financial Studies. 39 229-259
    Paper not yet in RePEc: Add citation now
  25. Kim, D. The errors-in-variables problem in the cross-section of expected stock returns. 1995 Journal of Finance. 50 1605-1634

  26. Lamont, O. Economic tracking portfolios. 2001 Journal of Econometrics. 105 161-184

  27. Lettau, M. ; Ludvigson, S. Resurrecting the (C)CAPM: a cross-sectional test when risk premia are time-varying. 2001 Journal of Political Economy. 109 1238-1287

  28. Li, Q. ; Vassalou, M. ; Xing, Y. Sector investment growth rates and the cross section of equity returns. 2006 Journal of Business. 79 1637-1665

  29. Liew, J. ; Vassalou, M. Can book-to-market, size, and momentum be risk factors that predict economic growth?. 2000 Journal of Financial Economics. 57 221-245

  30. Linter, J. Security prices, risk, and maximal gains from diversification. 1965 Journal of Finance. 20 587-615
    Paper not yet in RePEc: Add citation now
  31. Lustig, H.N. ; Van Nieuwerburgh, S.G. The returns on human capital: good news on wall street is bad news on main street. 2008 Review of Financial Studies. 21 2097-2137

  32. Malloy, C.J. ; Moskowitz, T.J. ; Vissing-Jorgenson, A. Long-run stockholder consumption risk and asset returns. 2009 Journal of Finance. 64 2427-2479

  33. Moerman, G.A. ; van Dijk, M.A. Inflation risk and international asset returns. 2010 Journal of Banking and Finance. 34 840-855

  34. Newey, W. ; West, K. A simple positive-definite heteroskedasticity and autocorrelation consistent covariance matrix. 1987 Econometrica. 55 703-708

  35. Newey, W. ; West, K. Hypothesis testing with efficient method of moments. 1987 International Economic Review. 28 777-787

  36. Pantzalis, C. ; Park, J.C. Equity market valuation of human capital and stock returns. 2009 Journal of Banking and Finance. 33 1610-1623

  37. Petkova, R. Do the Fama–French factors proxy for innovations in predictive variables. 2006 Journal of Finance. 61 581-612

  38. Petkova, R. ; Zhang, L. Is value riskier than growth?. 2005 Journal of Financial Economics. 78 187-202

  39. Shanken, J. On the estimation of beta-pricing models. 1992 Review of Financial Studies. 5 1-33

  40. Sharpe, W.F. Capital asset prices: a theory of market equilibrium under conditions of risk. 1964 Journal of Finance. 19 424-444

  41. Shiller, R.J., 1993. Aggregate income risk and hedging mechanism. Working paper, NBER.

  42. Vassalou, M. News related to future GDP growth as a risk factor in equity returns. 2003 Journal of Financial Economics. 68 47-73

  43. Viale, A.M. ; Kolari, J.W. ; Fraser, D.R. Common risk factors in bank stocks. 2009 Journal of Banking and Finance. 33 464-472

  44. White, H. A heteroskedasticity-consistent covariance matrix estimator and direct test for heteroskedasticity. 1980 Econometrica. 48 817-838

Cocites

Documents in RePEc which have cited the same bibliography

  1. The cross-section of January effect. (2023). Ding, Wenjie ; Cheema, Arbab Khalid ; Wang, Qingwei.
    In: Journal of Asset Management.
    RePEc:pal:assmgt:v:24:y:2023:i:6:d:10.1057_s41260-023-00324-1.

    Full description at Econpapers || Download paper

  2. When a correction turns into a bear market: What explains the depth of the stock market drawdown? A discretionary global macro approach. (2023). Jackson, Dave ; Tokic, Damir.
    In: Journal of Asset Management.
    RePEc:pal:assmgt:v:24:y:2023:i:3:d:10.1057_s41260-023-00306-3.

    Full description at Econpapers || Download paper

  3. Towards a macroprudential regulatory framework for mutual funds?. (2023). Hasse, Jean-Baptiste ; Candelon, Bertrand ; Panopoulou, Ekaterini ; Argyropoulos, Christos.
    In: Post-Print.
    RePEc:hal:journl:hal-04103373.

    Full description at Econpapers || Download paper

  4. When doing the right thing doesnt pay: Impact of corporate decisions on Russian market participation in the wake of the Ukraine-Russia war. (2023). Gurdgiev, Constantin ; French, Joseph J ; Shin, Seungho.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:58:y:2023:i:pb:s1544612323008401.

    Full description at Econpapers || Download paper

  5. Understanding of Macro Factors That Affect Yield of Government Bonds. (2022). Kopeykin, Maxim ; Koroleva, Ekaterina.
    In: Risks.
    RePEc:gam:jrisks:v:10:y:2022:i:8:p:166-:d:891111.

    Full description at Econpapers || Download paper

  6. Characteristic-sorted portfolios and macroeconomic risks—An orthogonal decomposition. (2022). Conlon, Thomas ; Bessler, Wolfgang ; Adcock, Christopher .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:65:y:2022:i:c:p:24-50.

    Full description at Econpapers || Download paper

  7. Navigating the factor zoo around the world: an institutional investor perspective. (2021). Bartram, Söhnke ; Pope, Peter F ; Lohre, Harald ; Ranganathan, Ananthalakshmi.
    In: Journal of Business Economics.
    RePEc:spr:jbecon:v:91:y:2021:i:5:d:10.1007_s11573-021-01035-y.

    Full description at Econpapers || Download paper

  8. Numerical estimates of risk factors contingent on credit ratings. (2021). Kaniovski (Kaniovskyi), Yuri (Yuriy) ; Gartner, T.
    In: Computational Management Science.
    RePEc:spr:comgts:v:18:y:2021:i:4:d:10.1007_s10287-021-00405-9.

    Full description at Econpapers || Download paper

  9. Economic Policy Uncertainty and Stock Return Momentum. (2021). Caleiro, António ; Dash, Saumya Ranjan ; Goel, Garima ; Filipe, Jose Antonio ; Rita, Joo Xavier ; Mata, Mario Nuno.
    In: JRFM.
    RePEc:gam:jjrfmx:v:14:y:2021:i:4:p:141-:d:522949.

    Full description at Econpapers || Download paper

  10. Comparing relative valuation efficiency between two stock markets. (2019). Chang, Yu-Wei ; Yi, Ronghua ; Chen, Jun ; Xing, Wen.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:72:y:2019:i:c:p:159-167.

    Full description at Econpapers || Download paper

  11. Energy shocks pricing model: A non-linear US sectoral based analysis. (2019). Ur, Mobeen.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:535:y:2019:i:c:s0378437119313196.

    Full description at Econpapers || Download paper

  12. Integration and risk contagion in financial crises: Evidence from international stock markets. (2019). Vortelinos, Dimitrios I ; Tsagkanos, Athanasios ; Gkillas, Konstantinos.
    In: Journal of Business Research.
    RePEc:eee:jbrese:v:104:y:2019:i:c:p:350-365.

    Full description at Econpapers || Download paper

  13. Agnostic fundamental analysis works. (2018). Bartram, Söhnke ; Grinblatt, Mark.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:128:y:2018:i:1:p:125-147.

    Full description at Econpapers || Download paper

  14. Productivity Risk and Industry Momentum. (2018). Misirli, Efdal Ulas.
    In: Financial Management.
    RePEc:bla:finmgt:v:47:y:2018:i:3:p:739-774.

    Full description at Econpapers || Download paper

  15. .

    Full description at Econpapers || Download paper

  16. .

    Full description at Econpapers || Download paper

  17. A tale of two states: asymmetries in the UK small, value and momentum premiums. (2017). Sarwar, Golam ; Todorovic, Natasa ; Mateus, Cesario.
    In: Applied Economics.
    RePEc:taf:applec:v:49:y:2017:i:5:p:456-476.

    Full description at Econpapers || Download paper

  18. Temperature shocks and the cost of equity capital: Implications for climate change perceptions. (2017). Balvers, Ronald ; Zhao, Xiaobing ; Du, Ding.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:77:y:2017:i:c:p:18-34.

    Full description at Econpapers || Download paper

  19. Time-varying coefficient estimation in SURE models. Application to portfolio management. (2017). Ferreira, Eva ; Casas, Isabel ; Orbe, Susan.
    In: CREATES Research Papers.
    RePEc:aah:create:2017-33.

    Full description at Econpapers || Download paper

  20. Which stocks drive the size, value, and momentum anomalies and for how long? Evidence from a statistical leverage analysis. (2016). Aretz, Marc .
    In: Financial Markets and Portfolio Management.
    RePEc:kap:fmktpm:v:30:y:2016:i:1:d:10.1007_s11408-016-0263-y.

    Full description at Econpapers || Download paper

  21. Monetary Policy and Corporate Bond Returns. (2016). Zekaite, Zivile ; Kontonikas, Alexandros ; Maio, Paulo.
    In: Working Papers.
    RePEc:gla:glaewp:2016_05.

    Full description at Econpapers || Download paper

  22. Health care and the cross-section of US stock returns. (2015). Geppert, John ; Payne, Brian.
    In: Journal of Economics and Finance.
    RePEc:spr:jecfin:v:39:y:2015:i:1:p:153-170.

    Full description at Econpapers || Download paper

  23. The intertemporal risk-return relationship: Evidence from international markets. (2015). Chiang, Thomas C ; Zheng, Dazhi ; Li, Huimin.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:39:y:2015:i:c:p:156-180.

    Full description at Econpapers || Download paper

  24. Assessing forestry-related assets with the intertemporal capital asset pricing model. (2015). Mei, Bin ; Yao, Wenjing .
    In: Forest Policy and Economics.
    RePEc:eee:forpol:v:50:y:2015:i:c:p:192-199.

    Full description at Econpapers || Download paper

  25. Macroeconomic Expectations and the Size, Value and Momentum Factors. (2015). Kelly, Patrick ; Bergbrant, Mikael C..
    In: Working Papers.
    RePEc:cfr:cefirw:w0214.

    Full description at Econpapers || Download paper

  26. Bank Concentration and Enterprise Borrowing Cost Risk: Evidence from Asian Markets. (2015). Lin, Ching-Chung ; Huai-I Lee, ; Yang, Shou-Lin .
    In: Asian Economic and Financial Review.
    RePEc:asi:aeafrj:2015:p:194-201.

    Full description at Econpapers || Download paper

  27. Macroeconomic Expectations and the Size, Value and Momentum Factors. (2015). Kelly, Patrick ; Bergbrant, Mikael C.
    In: Working Papers.
    RePEc:abo:neswpt:w0214.

    Full description at Econpapers || Download paper

  28. Pricing of the currency risk in the Canadian equity market. (2014). Al-Shboul, Mohammad ; Anwar, Sajid.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:30:y:2014:i:c:p:173-194.

    Full description at Econpapers || Download paper

  29. Persistent exchange-rate movements and stock returns. (2014). Du, Ding.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:28:y:2014:i:c:p:36-53.

    Full description at Econpapers || Download paper

  30. Bank risk factors and changing risk exposures: Capital market evidence before and during the financial crisis. (2014). Kurmann, Philipp ; Bessler, Wolfgang .
    In: Journal of Financial Stability.
    RePEc:eee:finsta:v:13:y:2014:i:c:p:151-166.

    Full description at Econpapers || Download paper

  31. The value premium, aggregate risk innovations, and average stock returns. (2014). Lindaas, Knut F. ; Simlai, Prodosh .
    In: Finance Research Letters.
    RePEc:eee:finlet:v:11:y:2014:i:3:p:303-317.

    Full description at Econpapers || Download paper

  32. Board Effectiveness and Short Termism. (2014). Andre, Paul ; Gonzalez, Angelica .
    In: Journal of Business Finance & Accounting.
    RePEc:bla:jbfnac:v:41:y:2014:i:1-2:p:185-209.

    Full description at Econpapers || Download paper

  33. Equity Returns and the Business Cycle: The Role of Supply and Demand Shocks. (2013). Smith, Peter ; Velzquez, Alfonso Mendoza .
    In: CAMA Working Papers.
    RePEc:een:camaaa:2013-22.

    Full description at Econpapers || Download paper

  34. Can we treat empirical regularities as state variables in the ICAPM? Evidence from Australia. (2013). Chan, Howard ; Easton, Steve ; Docherty, Paul.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:22:y:2013:i:c:p:107-124.

    Full description at Econpapers || Download paper

  35. Return decomposition and the Intertemporal CAPM. (2013). Maio, Paulo.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:12:p:4958-4972.

    Full description at Econpapers || Download paper

  36. Pricing innovations in consumption growth: A re-evaluation of the recursive utility model. (2013). Gharghori, Philip ; faff, robert ; Min, Byoung-Kyu ; Xiao, Yuchao .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:11:p:4465-4475.

    Full description at Econpapers || Download paper

  37. Another look at the cross-section and time-series of stock returns: 1951 to 2011. (2013). Du, Ding.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:20:y:2013:i:c:p:130-146.

    Full description at Econpapers || Download paper

  38. The Determinants of Risk Premia on the Italian Stock Market: Empirical Evidence on Common Factors in Asset Pricing Models. (2013). Della Bina, Antonio Carlo Francesco ; d'Addona, Stefano ; Antonio Carlo Francesco Della Bina, ; Brighi, Paola.
    In: Economic Notes.
    RePEc:bla:ecnote:v:42:y:2013:i:2:p:103-133.

    Full description at Econpapers || Download paper

  39. Equity Returns and the Business Cycle: The Role of Supply and Demand Shocks. (2012). Smith, Peter ; Mendoza-Velázquez, Alfonso ; Velzquez, Alfonso Mendoza .
    In: Discussion Papers.
    RePEc:yor:yorken:12/36.

    Full description at Econpapers || Download paper

  40. Innovative value indicators: Firm specific versus macroeconomic. (2012). Lee, Sangwhi ; Kwag, Seung Woog.
    In: Journal of Asset Management.
    RePEc:pal:assmgt:v:13:y:2012:i:5:d:10.1057_jam.2012.15.

    Full description at Econpapers || Download paper

  41. Common Risk Factors and the Macroeconomy: New Evidence from the Japanese Stock Market. (2012). Bretschger, Lucas ; Lechthaler, Filippo.
    In: CER-ETH Economics working paper series.
    RePEc:eth:wpswif:12-160.

    Full description at Econpapers || Download paper

  42. Crossing the lines: The conditional relation between exchange rate exposure and stock returns in emerging and developed markets. (2012). Bodnar, Gordon ; Bartram, Söhnke.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:31:y:2012:i:4:p:766-792.

    Full description at Econpapers || Download paper

  43. Are corporate bond market returns predictable?. (2012). Lin, Hai ; Hong, Yongmiao ; Wu, Chunchi.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:36:y:2012:i:8:p:2216-2232.

    Full description at Econpapers || Download paper

  44. Are good-news firms riskier than bad-news firms?. (2012). Min, Byoung-Kyu ; Kim, Tong Suk.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:36:y:2012:i:5:p:1528-1535.

    Full description at Econpapers || Download paper

  45. Do industries matter in explaining stock returns and asset-pricing anomalies?. (2012). Ko, Kuan-Cheng ; Ho, Po-Hsin ; Chou, Pin-Huang.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:36:y:2012:i:2:p:355-370.

    Full description at Econpapers || Download paper

  46. Are extreme returns priced in the stock market? European evidence. (2012). Annaert J., ; Verstegen K., ; De Ceuster M., .
    In: Working Papers.
    RePEc:ant:wpaper:2012018.

    Full description at Econpapers || Download paper

  47. Omitted debt risk, financial distress and the cross-section of expected equity returns. (2011). Shackleton, Mark ; Aretz, Kevin.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:5:p:1213-1227.

    Full description at Econpapers || Download paper

  48. Detecting time-variation in corporate bond index returns: A smooth transition regression model. (2011). Chen, Louisa ; Maringer, Dietmar .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:1:p:95-103.

    Full description at Econpapers || Download paper

  49. Future labor income growth and the cross-section of equity returns. (2011). Kim, Dongcheol ; Min, Byoung-Kyu .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:1:p:67-81.

    Full description at Econpapers || Download paper

  50. Trading frequency and asset pricing on the London Stock Exchange: Evidence from a new price impact ratio. (2011). KOSTAKIS, ALEXANDROS ; Florackis, Chris ; Gregoriou, Andros.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:12:p:3335-3350.

    Full description at Econpapers || Download paper

  51. Macroeconomic risk and the cross-section of stock returns. (2011). Min, Byoung-Kyu ; Kim, Tong Suk ; Kang, Jangkoo ; Lee, Changjun.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:12:p:3158-3173.

    Full description at Econpapers || Download paper

  52. Sales order backlogs and momentum profits. (2010). Huang, Dayong ; Gu, LI.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:34:y:2010:i:7:p:1564-1575.

    Full description at Econpapers || Download paper

  53. Using the credit spread as an option-risk factor: Size and value effects in CAPM. (2010). Min, Hong-Ghi ; Kim, Bong-Han ; Hwang, Young-Soon ; McDonald, Judith A..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:34:y:2010:i:12:p:2995-3009.

    Full description at Econpapers || Download paper

  54. On monetary policy and stock market anomalies. (2010). Kontonikas, Alexandros ; KOSTAKIS, ALEXANDROS.
    In: SIRE Discussion Papers.
    RePEc:edn:sirdps:233.

    Full description at Econpapers || Download paper

  55. The Market Impact of Relative Agency Activity in the Sovereign Ratings Market. (2010). faff, robert ; Hill, Paula.
    In: Journal of Business Finance & Accounting.
    RePEc:bla:jbfnac:v:37:y:2010:i:9-10:p:1309-1347.

    Full description at Econpapers || Download paper

  56. Investor Expectations, Business Conditions, and the Pricing of Beta-Instability Risk. (2009). Goetzmann, William ; Watanabe, Akiko .
    In: Yale School of Management Working Papers.
    RePEc:ysm:somwrk:amz2656.

    Full description at Econpapers || Download paper

  57. Crossing the Lines: The Conditional Relation between Exchange Rate Exposure and Stock Returns in Emerging and Developed Markets. (2008). Bodnar, Gordon ; Bartram, Söhnke.
    In: MPRA Paper.
    RePEc:pra:mprapa:13064.

    Full description at Econpapers || Download paper

  58. .

    Full description at Econpapers || Download paper

  59. A comparison of investors sentiments and risk premium effects on valuing shares. (2001). Tzavalis, Elias ; Karavias, Yiannis ; Spilioti, Stella .
    In: Discussion Papers.
    RePEc:not:notgts:15/01.

    Full description at Econpapers || Download paper

  60. Too much cocited documents. This list is not complete

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-01-04 14:47:48 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.