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~accessRights:"free"
~isPartOf:"Economic modelling"
~isPartOf:"Journal of econometrics"
~isPartOf:"NBER working paper series"
~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"
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Umlagesystem versus Kapitaldec...
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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.
11
Cochrane, John H.
10
Bansal, Ravi
9
Stambaugh, Robert F.
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MacKinlay, A. Craig
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Yaron, Amir
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Harvey, Campbell R.
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Lehmann, Bruce N.
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Longstaff, Francis A.
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Lustig, Hanno
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Shiller, Robert J.
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Veronesi, Pietro
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Wang, Jiang
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Xiong, Wei
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Zhang, Lu
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Alvarez, Fernando
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Ang, Andrew
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Cecchetti, Stephen G.
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ECONIS (ZBW)
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1
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
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2
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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3
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
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4
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
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5
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
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6
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
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7
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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8
Speculative Betas
Hong, Harrison
-
2012
We provide a model for why high beta assets are more prone to speculative overpricing than low beta ones. When investors disagree about the common factor of cash-flows, high beta assets are more sensitive to this macro-disagreement and experience a greater divergence-of-opinion about their...
Persistent link: https://www.econbiz.de/10012460112
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