THE INTERTEMPORAL RELATION BETWEEN EXPECTED RETURNS AND RISK

By Turan G. Bali. 2008

218 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/da3e6455ecec56aa0a660229131211af42e795ad

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Citations in the corpus

Does Systemic Risk in the Financial Sector Predict Future Economic Downturns (2012, methodology): “10Following Bali (2008) and Bali and Engle (2010), we estimate the system of equations in (18) using a weighted least square method that allows us to place constraints on coefficients across equations.”
On the Forecasting Accuracy of Multivariate GARCH Models (2010, methodology): “Examples are respectively Karolyi (1995) and Bali (2008). However, being heavily parameterized, they are tractable only for a small number of series, typically lower than four. More recently, the focus has turned to larger scale problems such as dynamics of correlations between equity and bond retur”
Macroeconomic Risk and Hedge Fund Returns (2014, methodology): “For example, when modeling the conditional variance-covariance matrix, Engle and Kroner (1995), Bollerslev et al. (1988), and Bali (2008) use the Symmetric GARCH model of Bollerslev (1986), whereas we use the Asymmetric GARCH (TGARCH) model of Glosten et al. (1993) to allow negative and positive…”
Climate Change News Risk and Corporate Bond Returns (2020, unknown): “In particular, an asset’s covariance with such a state variable is related to its expected returns (Bali (2008)).”
Is There an Intertemporal Relation between Downside Risk and Expected Returns? (2009, unknown): “8In Jarque-Bera (1980), JB=n[(S2/6)+ (K−3)2/24], is a formal test statistic for testing whether returns are normally distributed, where n denotes the number of observations, S is skewness, and K is kurtosis.”
The VIX, the Variance Premium and Stock Market Volatility (2013, unknown): “Allen, Bali, and Tang (2012) derive a measure of aggregate systemic risk using data on stock returns for banks and show that high levels of this measure predict future economic downturns.”
Multifactor models and their consistency with the ICAPM (2012, unknown): “…ICAPM over the cross-section of stock returns includes Shanken (1990), Brennan, Wang, and Xia (2004), Ang, Hodrick, Xing, and Zhang (2006), Gerard and Wu (2006), Hahn and Lee (2006), Lo and Wang (2006), Petkova (2006), Bali (2008), Guo and Savickas (2008), Ozoguz (2009), and Bali and Engle (2010).”
Do Hedge Funds’ Exposures to Risk Factors Predict Their Future Returns? (2011, unknown): “Since default spread is high in recessions, hedge funds with higher exposure to default premium are expected to generate higher returns (see Bali (2008) and Bali and Engle (2010)).”
Risk, Uncertainty, and Expected Returns (2011, methodology): “Our second set of uncertainty measures is based on the downside risk of financial institutions obtained from the left tail of the time series and cross-sectional distribution of financial firms’ returns (Allen, Bali, and Tang (2012)).”