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The stock market valuation of research and development expenditures
Chan, Louis K. C.; Lakonishok, Josef; Sougiannis, Theodore - 1999
Persistent link: https://www.econbiz.de/10001399757
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High-frequency cash flow dynamics
Pettenuzzo, Davide; Sabbatucci, Riccardo; Timmermann, Allan - 2018
Persistent link: https://www.econbiz.de/10011813356
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How stable are financial prediction models? : Evidence from US and international stock market data
Paye, Bradley S.; Timmermann, Allan - 2002
Persistent link: https://www.econbiz.de/10001752971
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Analysts' conflict of interest and biases in earnings forecasts
Chan, Louis K. C.; Karceski, Jason; Lakonishok, Josef - 2003
Persistent link: https://www.econbiz.de/10001744318
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Strategic asset allocation and consumption decisions under multivariate regime switching
Guidolin, Massimo (contributor);  … - 2005
"This paper studies strategic asset allocation and consumption choice in the presence of regime switching in asset returns. We find evidence that four separate regimes - characterized as crash, slow growth, bull and recovery states - are required to capture the joint distribution of stock and...
Persistent link: https://www.econbiz.de/10002917579
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An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns
Guidolin, Massimo (contributor);  … - 2005
"This paper considers a variety of econometric models for the joint distribution of US stock and bond returns in the presence of regime switching dynamics. While simple two- or three-state models capture the univariate dynamics in bond and stock returns, a more complicated four state model with...
Persistent link: https://www.econbiz.de/10002917580
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Size and value anomalies under regime shifts
Guidolin, Massimo (contributor);  … - 2005
"This paper finds strong evidence of time-variations in the joint distribution of returns on a stock market portfolio and portfolios tracking size--and value effects. Mean returns, volatilities and correlations between these equity portfolios are found to be driven by underlying regimes that...
Persistent link: https://www.econbiz.de/10002917584
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On Portfolio Optimization : Forecasting Covariances and Choosing the Risk Model
Chan, Louis K.C. - 1999
We evaluate the performance of different models for the covariance structure of stock returns, focusing on their use for optimal portfolio selection. Comparisons are based on forecasts of future covariances as well as the out-of-sample volatility of optimized portfolios from each model. A few...
Persistent link: https://www.econbiz.de/10012471761
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Do Institutional Investors Destabilize Stock Prices? Evidence on Herding and Feedback Trading
Lakonishok, Josef - 1991
evaluate the potential effect of their trading on stock prices. We address two aspects of trading by money managers: herding …, which refers to buying (selling) the same stocks as other managers buy (sell) at the same time; and positive … of substantial herding or positive-feedback trading by pension fund managers, except in small stocks. Also, there is no …
Persistent link: https://www.econbiz.de/10012475147
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On Portfolio Optimization : Forecasting Covariances and Choosing the Risk Model
Chan, Louis K.C. - 2010
We evaluate the performance of different models for the covariance structure of stock returns, focusing on their use for optimal portfolio selection. Comparisons are based on forecasts of future covariances as well as the out-of-sample volatility of optimized portfolios from each model. A few...
Persistent link: https://www.econbiz.de/10012763801