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Do the best hedge funds hedge?

Titman, Sheridan; Tiu, Cristian - In: The review of financial studies 24 (2011) 1, pp. 123-168

Persistent link: https://www.econbiz.de/10008909442

Evidence on the characteristics of cross sectional variation in stock returns

Daniel, Kent; Titman, Sheridan - 1996

Persistent link: https://www.econbiz.de/10000592269

Real-time multivariate density forecast evaluation and calibration : monitoring the risk of high-frequency returns on foreign exchange

Diebold, Francis X.; Hahn, Jinyong; Tay, Anthony S. - 1998

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Stock returns and expected business conditions : half a century of direct evidence

Campbell, Sean D. (contributor); … - 2005 - Rev.

Persistent link: https://www.econbiz.de/10003726399

Direction-of-change forecasts based on conditional variance, skewness and kurtosis dynamics : international evidence

Christoffersen, Peter F.; Diebold, Francis X.; Mariano, … - 2007

Persistent link: https://www.econbiz.de/10003729191

Individual investor trading and stock returns

Kaniel, Ron (contributor); Saar, Gideon (contributor); … - 2004

This paper investigates the dynamic relation between net individual investor trading and short-horizon returns for a large cross-section of NYSE stocks. The evidence indicates that individuals tend to buy stocks following declines in the previous month and sell following price increases. We...

Persistent link: https://www.econbiz.de/10003770555

Global yield curve dynamics and interactions : a dynamic Nelson-Siegel approach

Diebold, Francis X.; Li, Canlin; Yue, Vivian Z. - In: Journal of econometrics 146 (2008) 2, pp. 351-363

Persistent link: https://www.econbiz.de/10003782998

Market reactions to tangible and intangible information

Daniel, Kent; Titman, Sheridan - In: The journal of finance : the journal of the American … 61 (2006) 4, pp. 1605-1643

Persistent link: https://www.econbiz.de/10003357783

Forecasting the term structure of government bond yields

Diebold, Francis X.; Li, Canlin - In: Journal of econometrics 130 (2006) 2, pp. 337-364

Persistent link: https://www.econbiz.de/10003277971

Stock returns and expected business conditions: half a century of direct evidence

Campbell, Sean D.; Diebold, Francis X. - In: Journal of business & economic statistics : JBES ; a … 27 (2009) 2, pp. 266-278

Persistent link: https://www.econbiz.de/10003885790