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practice. The survey design allows us to control for a respondent's professional subgroup (e.g., consulting), education … than education; different professions have different valuation cultures. Other factors are less important. There are also … capital allocation process. The relative unimportance of education raises questions about the role and benefit of higher level …
Persistent link: https://www.econbiz.de/10011518764
We introduce the class of linear-rational term structure models in which the state price density is modeled such that bond prices become linear-rational functions of the factors. This class is highly tractable with several distinct advantages: i) ensures nonnegative interest rates, ii) easily...
Persistent link: https://www.econbiz.de/10010338764
Across numerous asset classes, momentum strategies have historically generated high Sharpe ratios and strong positive alphas relative to standard asset pricing models. However, the returns to momentum strategies are negatively skewed: they experience infrequent but strong and persistent strings...
Persistent link: https://www.econbiz.de/10010257503
Large institutional investors own an increasing share of equity markets in the U.S. The implications of this development for financial markets are still unclear. The paper presents novel empirical evidence that ownership by large institutions predicts higher volatility and greater noise in stock...
Persistent link: https://www.econbiz.de/10011514119