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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
return predictability, profitability, value, magic formula, cross-section of returns
expected stock returns, maximum returns, idiosyncratic volatility, skewness
machine learning, return predictability, international stock markets, the cross-section of stock returns, forecast combination, asset pricing, firm size
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
chronological return ordering, recency bias, behavioral finance, the cross-section of stock returns, asset pricing, return predictability, international markets
tail risk, downside risk, under-diversification, expected stock returns
Emerging markets, cross-sectional stock returns, market comovements
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
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
salience theory, probability weighting, microcaps, asset pricing, firm size, return predictability, equity anomalies, international markets, replication
cryptocurrency markets, machine learning, return predictability, limits to arbitrage, asset pricing, the cross-section of returns
Time-varying riskiness, risk-neutral measures, physical measures, expected returns, equity premium
Time-varying riskiness, risk-neutral measures, physical measures, expected returns, equity
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)
Risk-Neutral Distribution, Option Returns
international equity returns, country-specific risk, idiosyncratic risk, systematic risk
illiquidity premium, liquidity effect, international markets, microcaps, Amihud’s measure, turnover ratio, bid-ask spread, zero-return days, asset pricing, return predictability
Book-to-market decomposition, Value effect, Emerging markets, Tangible information, Intangible information, Overreaction
equity indices, international markets, asset pricing, equity anomalies, return predictabil-ity, the cross-section of stock returns, the misery index, inflation, unemployment, mar-ket segmentation
Geopolitical Risk Index, the Cross-Section of Stock Returns, Emerging Markets, Equity Anomalies, Asset Pricing, Return Predictability, Overreaction, Availability Heuristic, Salience
Global return predictability, Cross-section of returns, Book-to-market, Net share issues
machine learning, return predictability, the cross-section of stock returns, asset pricing, firm size, equity anomalies, long-short portfolios, long-run returns
Equity Options, Capital Markets, Short Sales
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
pandemic, epidemic, COVID-19, novel coronavirus, pandemic index, asset pricing, the cross-section of stock returns, return predictability
SEC; Shorting Ban; OPRA; Intraday Stock Options
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
equity anomalies, return predictability, machine learning, international stock markets, equity premium
Taiwan Stock Exchange, TWSE, Stock return predictors, book-to-market ratio, momentum, stock cheapness
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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
government bonds, country equity indexes, interest rates, international stock markets, asset pricing, return predictability, the cross-section of stock returns
