Campusvej 55
DK-5230 Odense, 5000
Denmark
University of Southern Denmark
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Out of sample, factor timing, time-varying risk, macro-finance, Fama and French
Out of Sample, Factor Timing, Time-Varying Risk, Macro-Finance, Fama and French
momentum, risk, puzzle, ranking, conditional
Momentum, Risk, Puzzle, Ranking, Conditional
Externalities, government failure, Coronavirus, COVID-19, pandemic
Risk premiums, Fama and French, cash flow forecasting, out of sample.
Risk Premiums, Stock Returns, Fama and French, Cash Flow Forecasting, Out of Sample
Size factor, conditional tests, subsamples, CAPM, Fama and French
Size premium, value premium, correlation, causation, missing risk
Size Premium, Value Premium, Risk, Conditional, Portfolio Sorts
asset pricing, intertemporal asset allocation, heterogeneous beliefs, adaptative learning
carry trade, risk premium, business cycle, microeconomic dispersion, foreign exchange
Carry trade, risk premium, business cycle, microeconomic dispersion, foreign exchange.
Predictability, out-of-sample, equity premium, disaggregated book-to-markets.
Conditional CAPM, anomalies, test, proxy, mean-variance frontier
Conditional CAPM, Anomalies, Test, Proxy, Mean-Variance Frontier
government failure, equity premium puzzle, intervention, regulation, risk
Equity Premium Puzzle, Intervention, Regulation, Risk
predictability, bad times, efficient market hypothesis, disagreement, rational expectations
predictability, out-of-sample, equity premium, disaggregated book-to-markets
Value premium, value spread, dividend-price, price of risk proxies, ranking.