Default risk, macroeconomic conditions, and the market skewness risk premium-Reference-Cited by-同舟云学术

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Default risk, macroeconomic conditions, and the market skewness risk premium

Published:2022-10 Issue: Volume:127 Page:102683
ISSN:0261-5606
Container-title:Journal of International Money and Finance
language:en
Short-container-title:Journal of International Money and Finance

Author:

Xu Zhongxiang,Li Xiafei,Chevapatrakul Thanaset,Gao Ning

Funder

Chinese National Funding of Social Sciences

National Office for Philosophy and Social Sciences

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference56 articles.

1. Stock returns and volatility: Pricing the short-run and long-run components of market risk;Adrian;J. Financ.,2008

2. Does realized skewness predict the cross-section of equity returns?;Amaya;J. Financ. Econ.,2015

3. Downside risk;Ang;Rev. Financ. Stud.,2006

4. Risk and the required return on equity;Arditti;J. Financ.,1967

5. Aspects of the theory of risk-bearing;Arrow,1965

Cited by 3 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. From macro to micro: Sparse macroeconomic risks and the cross-section of stock returns;International Review of Financial Analysis;2024-10

2. The predictability of skewness risk premium on stock returns: Evidence from Chinese market;International Review of Economics & Finance;2023-09

3. Default risk, size, and equity returns: Evidence from an emerging stock market;Corporate Governance and Organizational Behavior Review;2023

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