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Have financial markets become more informative?

Bai, Jennie; Philippon, Thomas; Savov, Alexi - 2013

Persistent link: https://www.econbiz.de/10010229529

Contagion effects of U.S. Dollar and Chinese Yuan in forward and spot foreign exchange markets

Kilic, Erdem - In: Economic modelling 62 (2017), pp. 51-67

Persistent link: https://www.econbiz.de/10011813162

China vs. U.S. : IMS meets IPS

Maggiori, Matteo; Farhi, Emmanuel - 2019

Persistent link: https://www.econbiz.de/10012041967

Heterogeneous expectations and tests of efficiency in the yen, dollar forward foreign exchange rate market

Elliott, Graham - 1995

Persistent link: https://www.econbiz.de/10000935824

Testing CAPM with a large number of assets

Pesaran, M. Hashem; Yamagata, Takashi - 2012

This paper is concerned with testing the time series implications of the capital asset pricing model (CAPM) due to Sharpe (1964) and Lintner (1965), when the number of securities, N, is large relative to the time dimension, T, of the return series. In the case of cross-sectionally correlated...