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implied volatility, risk premiums, return predictability, momentum
implied volatility, risk premiums, predictability, short-term momentum
idiosyncratic risk, expected stock returns, size, book-to-market, liquidity
idiosyncratic risk, total risk, expected stock returns, size, liquidity
expected stock returns, maximum returns, idiosyncratic volatility, skewness
return predictability, profitability, value, magic formula, cross-section of returns
Chinese stock returns, Stock return predictors, Momentum, Stock Cheapness
Riskiness, economic index of riskiness, operational measure of riskiness, risk-neutral measures, stock returns
idiosyncratic risk, total risk, average stock risk, stock market volatility, stock returns
Emerging markets, cross-sectional stock returns, market comovements
tail risk, downside risk, under-diversification, expected stock returns
developed international equity markets, value effect, momentum effect, macroeconomic risk, liquidity risk
Return predictability, overreaction, long-term reversals, market efficiency, cross-section of returns, international asset pricing
Profitability, enterprise value, behavioral finance, international asset pricing
Frontier markets, Cross-section of returns, International asset pricing, Fama-French factors, Momentum, Value premium, Size effect
Time-varying riskiness, risk-neutral measures, physical measures, expected returns, equity premium
Time-varying riskiness, risk-neutral measures, physical measures, expected returns, equity
chronological return ordering, recency bias, behavioral finance, the cross-section of stock returns, asset pricing, return predictability, international markets
Risk-Neutral Distribution, Option Returns
international equity returns, country-specific risk, idiosyncratic risk, systematic risk
salience theory, probability weighting, microcaps, asset pricing, firm size, return predictability, equity anomalies, international markets, replication
Book-to-market decomposition, Value effect, Emerging markets, Tangible information, Intangible information, Overreaction
Global return predictability, Cross-section of returns, Book-to-market, Net share issues
yield curve, government bonds, country equity indexes, interest rates, international markets, asset pricing, return predictability, the cross-section of stock returns
Five-Factor Model, Size, Value, Profitability, Investment, Asset Pricing, International Stock Markets, Small-Minus-Big (SMB), High-Minus-Low (HML), Robust-Minus-Weak (RMW), Conservative-Minus-Aggressive (CMA)
Equity Indices, International Markets, Asset Pricing, Equity Anomalies, Return Predictability, the Cross-Section of Stock Returns, the Misery Index, Economic Discomfort Index, Unemployment, Inflation
Equity Options, Capital Markets, Short Sales
illiquidity premium, liquidity effect, international markets, microcaps, Amihud’s measure, turnover ratio, bid-ask spread, zero-return days, asset pricing, return predictability
pandemic, epidemic, COVID-19, novel coronavirus, pandemic index, asset pricing, the cross-section of stock returns, return predictability
Geopolitical Risk Index, the Cross-Section of Stock Returns, Emerging Markets, Equity Anomalies, Asset Pricing, Return Predictability, Overreaction, Availability Heuristic, Salience
SEC; Shorting Ban; OPRA; Intraday Stock Options
equity anomalies, replication, factor investing, financial history, Australia, Melbourne Stock Exchange, asset pricing, return predictability, cross-section of returns, false discoveries, p-hacking, data mining
corporate social responsibility, sustainable investing, environmental, social, and governance ratings, ESG, the cross-section of stock returns, international markets, return predictability, asset pricing, size premium, small firm effect
Istanbul Securities Exchange, Stock return predictors, Book-to-Market Ratio, Momentum, Stock Cheapness
skewness preference, idiosyncratic skewness, systematic skewness, expected stock returns
risk management; default risk; option pricing
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illiquidity premium; liquidity; size effect; small-firm premium; January effect; seasonality; international markets; Amihud’s ratio.
Idiosyncratic risk; Expected returns; REITs; GFC; REIT maturity era
Idiosyncratic Risk, total risk, average stock risk, stock market volatility, stock returns
Equity Investments: Fundamental Analysis and Valuation Models; Portfolio Management: Equity Strategies; Risk Measurement and Management: Equity Portfolios
