Showing 1 - 10 of 25
Persistent link: https://www.econbiz.de/10000643403
Persistent link: https://www.econbiz.de/10003479638
Persistent link: https://www.econbiz.de/10003488831
Persistent link: https://www.econbiz.de/10003488907
Persistent link: https://www.econbiz.de/10003470017
Persistent link: https://www.econbiz.de/10003470025
Persistent link: https://www.econbiz.de/10003470136
"Campbell and Vuolteenaho (2004) and Brennan, Wang, and Xia (2004) recently argue that the value premium co-moves with investment opportunities and thus reflects rational pricing. This paper extends their analysis by showing that the ICAPM interpretation of the value premium also sheds light on...
Persistent link: https://www.econbiz.de/10002995301
"This paper studies strategic asset allocation and consumption choice in the presence of regime switching in asset returns. We find evidence that four separate regimes - characterized as crash, slow growth, bull and recovery states - are required to capture the joint distribution of stock and...
Persistent link: https://www.econbiz.de/10002917579
"This paper considers a variety of econometric models for the joint distribution of US stock and bond returns in the presence of regime switching dynamics. While simple two- or three-state models capture the univariate dynamics in bond and stock returns, a more complicated four state model with...
Persistent link: https://www.econbiz.de/10002917580