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~accessRights:"free"
~isPartOf:"Adaptive information systems and modelling in economics and management science"
~isPartOf:"ERID working paper"
~isPartOf:"Economic modelling"
~isPartOf:"Journal of econometrics"
~isPartOf:"NBER working paper series"
~language:"eng"
~person:"Al-Azzam, Moh’d"
~person:"Fernandes, Marcelo"
~person:"Frühwirth-Schnatter, Sylvia"
~person:"Gallant, A. Ronald"
~person:"Hong, Harrison"
~subject:"Bayes-Statistik"
~subject:"Börsenkurs"
~subject:"CAPM"
~subject:"Dynamisches Gleichgewicht"
~subject:"Risikomanagement"
~subject:"Spekulation"
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Bayes-Statistik
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CAPM
Dynamisches Gleichgewicht
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Spekulation
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Theory
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8
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Al-Azzam, Moh’d
Fernandes, Marcelo
Frühwirth-Schnatter, Sylvia
Gallant, A. Ronald
Hong, Harrison
Campbell, John Y.
13
Lo, Andrew W.
12
Cochrane, John H.
10
Bansal, Ravi
9
Stambaugh, Robert F.
9
Bekaert, Geert
8
MacKinlay, A. Craig
8
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8
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7
Froot, Kenneth A.
7
Gorton, Gary
7
Schorfheide, Frank
7
Shleifer, Andrei
7
Xiong, Wei
7
Engel, Charles
6
Ferson, Wayne E.
6
Harvey, Campbell R.
6
Lehmann, Bruce N.
6
Pastor, Lubos
6
Stein, Jeremy C.
6
Yaron, Amir
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Bianchi, Francesco
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De Long, J. Bradford
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Dow, James
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Longstaff, Francis A.
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Lustig, Hanno
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Obstfeld, Maurice
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Shiller, Robert J.
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Veronesi, Pietro
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Wang, Jiang
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Zhang, Lu
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Abel, Andrew B.
4
Ait-Sahalia, Yacine
4
Alvarez, Fernando
4
Ang, Andrew
4
Cecchetti, Stephen G.
4
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Adaptive information systems and modelling in economics and management science
ERID working paper
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5
Brazilian review of econometrics : BRE ; the review of the Brazilian Econometric Society
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ECONIS (ZBW)
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Bayesian estimation of a dynamic game with endogenous, partially observed, serially correlated state
Gallant, A. Ronald
;
Hong, Han
;
Khwaja, Ahmed
-
2011
Persistent link: https://www.econbiz.de/10009561727
Saved in:
2
Forecasting Crashes : Trading Volume, Past Returns and Conditional Skewness in Stock Prices
Chen, Joseph
-
2000
This paper is an investigation into the determinants of asymmetries in stock returns. We develop a series of cross-sectional regression specifications which attempt to forecast skewness in the daily returns of individual stocks. Negative skewness is most pronounced in stocks that have...
Persistent link: https://www.econbiz.de/10012471074
Saved in:
3
Implications of Stochastic Transmission Rates for Managing Pandemic Risks
Hong, Harrison
-
2020
We develop a model of pandemic risk management and firm valuation. We introduce aggregate transmission shocks into an epidemic model and link valuations to infections via an asset-pricing framework with vaccines. Infections lower earnings growth but firms can mitigate damages. We estimate a...
Persistent link: https://www.econbiz.de/10012481801
Saved in:
4
Advisors and Asset Prices : A Model of the Origins of Bubbles
Hong, Harrison
-
2007
We develop a model of asset price bubbles based on the communication process between advisors and investors. Advisors are well-intentioned and want to maximize the welfare of their advisees (like a parent treats a child). But only some advisors understand the new technology (the tech-savvies);...
Persistent link: https://www.econbiz.de/10012465142
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5
Rational Pessimism, Rational Exuberance, and Asset Pricing Models
Bansal, Ravi
-
2007
The paper estimates and examines the empirical plausibiltiy of asset pricing models that attempt to explain features of financial markets such as the size of the equity premium and the volatility of the stock market. In one model, the long run risks model of Bansal and Yaron (2004), low...
Persistent link: https://www.econbiz.de/10012465547
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6
Asset Float and Speculative Bubbles
Hong, Harrison
-
2005
We model the relationship between asset float (tradeable shares) and speculative bubbles. Investors trade a stock with limited float because of insider lock-ups. They have heterogeneous beliefs due to overconfidence and face short-sales constraints. A bubble arises as price overweighs optimists'...
Persistent link: https://www.econbiz.de/10012467316
Saved in:
7
Simple Forecasts and Paradigm Shifts
Hong, Harrison
-
2003
done better over the same period. This
theory
makes several distinctive predictions, which, for concreteness, we develop in … a stock-market setting. For example, starting with symmetric and homoskedastic fundamentals, the
theory
yields …
Persistent link: https://www.econbiz.de/10012468685
Saved in:
8
A Unified
Theory
of Underreaction, Momentum Trading and Overreaction in Asset Markets
Hong, Harrison
-
1997
We assume that the instantaneous riskless rate reverts towards a central tendency which in turn, is changing stochastically over time. As a result, current short-term rates are not" sufficient to predict future short-term rates movements, as would be the case if the central" tendency was...
Persistent link: https://www.econbiz.de/10012472491
Saved in:
9
Selection versus Talent Effects on Firm Value
Chang, Briana
-
2018
Measuring the value of labor-market hires for stock prices, be it underwriters when firms go public (IPOs) or chief executive officers (CEOs), is difficult due to selection. Opaque firms with higher costs of capital benefit more from prestigious underwriters, while productive firms benefit more...
Persistent link: https://www.econbiz.de/10012453048
Saved in:
10
Assignment of Stock Market Coverage
Chang, Briana
-
2017
Price
efficiency
plays an important role in financial markets. Firms influence it, particularly when they issue public …
efficiency
for other reasons and apply to other labor markets like media-or-investor relations …
Persistent link: https://www.econbiz.de/10012455566
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