Beta and size equity premia following a high‐VIX threshold
Author:
Affiliation:
1. Richard A. Chaifetz School of Business Saint Louis University Saint Louis Missouri USA
2. Warrington College of Business University of Florida Gainesville Florida USA
3. College of Business University of Louisville Louisville Kentucky USA
Publisher
Wiley
Subject
Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting
Link
https://onlinelibrary.wiley.com/doi/pdf/10.1002/fut.22343
Reference46 articles.
1. Adrian T. andBoyarchenko N.(2015).Intermediary leverage cycles and financial stability. Staff Report 567 Federal Reserve Bank of New York.
2. Nonlinearity and Flight‐to‐Safety in the Risk‐Return Trade‐Off for Stocks and Bonds
3. Financial Intermediaries and the Cross-Section of Asset Returns
4. Liquidity and leverage
5. Why has the size effect disappeared?
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