Browsing Faculty of Management by Author "3ddc52bf-0193-4175-9559-8c7a24f3cbaf"
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Asymmetric Systematic Risk and Risk Premiums Under a Regime-Switching Model
Zhang, Ziwei (2022-04-14)The purpose of this thesis is to identify asymmetry in stocks’ systematic risk and market risk premiums under different financial market regimes. It is assumed that there are two unobserved regimes, bull and bear markets, ...