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This paper uses the information in time-series behavior of conditional correlation between Fama-French factor portfolios and state variables that define the investment opportunity set, vis-a-vis the contemporaneous phase of the business cycle and/or the expectations about the near term business...
Persistent link: https://www.econbiz.de/10003888159
We present a model with dynamic investment flows, where fund managers have the ability to generate excess returns and …
Persistent link: https://www.econbiz.de/10011808018