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Liu, Qi; Lu, Lei; Sun, Bo; Yan, Hongjun - Federal Reserve Board (Board of Governors of the … - 2015

We analyze a model of anomaly discovery. Consistent with existing evidence, we show that the discovery of an anomaly reduces its magnitude and increases its correlation with existing anomalies. One new prediction is that the discovery of an anomaly reduces the correlation between deciles 1 and...

Persistent link: https://www.econbiz.de/10011268463

Decentralized credit markets with intermediaries: a relationship between complete and efficient markets

Benveniste, Lawrence M. - Federal Reserve Board (Board of Governors of the … - 1986

Persistent link: https://www.econbiz.de/10005361195

An international arbitrage pricing model with PPP deviations

Levine, Ross - Federal Reserve Board (Board of Governors of the … - 1986

This paper develops an intertemporal, international asset pricing model for use in applied theoretical and empirical …'s fundamental dynamic nature. The model is shown to be consistent with the domestic-general equilibrium asset pricing models of Cox …, Ingersoll, and Ross (1985) and Brock (1982). The model is applied to pricing forward exchange, and an empirically tractable …

Persistent link: https://www.econbiz.de/10005368178

Macroeconomic risk and asset pricing: estimating the apt with observable factors

Ammer, John - Federal Reserve Board (Board of Governors of the … - 1993

This paper develops and applies a new maximum likelihood method for estimating the Arbitrage Pricing Theory (APT) model … factors are found to account for 25 to 40 percent of the covariation in U.S. equity returns, and the APT pricing restrictions …

Persistent link: https://www.econbiz.de/10005368415

Efficient resolution of moral hazard under no arbitrage: risk premium, volatility and leverage

Acharya, Sankarshan - Federal Reserve Board (Board of Governors of the … - 1995

Persistent link: https://www.econbiz.de/10005514193

Natural gas supply: testimony before the Committee on Energy and Natural Resources, U.S. Senate, July 10, 2003

Greenspan, Alan - Federal Reserve Board (Board of Governors of the … - 2003

Persistent link: https://www.econbiz.de/10010725125

Energy : a speech at the Economic Club of New York, New York, New York, May 20, 2005

Greenspan, Alan - Federal Reserve Board (Board of Governors of the … - 2005

Persistent link: https://www.econbiz.de/10010725493

Natural gas and supply issues: testimony before the Committee on Energy and Commerce, U.S. House of Representatives, June 10, 2003

Greenspan, Alan - Federal Reserve Board (Board of Governors of the … - 2003

Persistent link: https://www.econbiz.de/10010725595

The Energy Boom and Manufacturing in the United States

Melick, William R. - Federal Reserve Board (Board of Governors of the … - 2014

This paper examines the response of U.S. manufacturers to changes in competitiveness brought about by movements in the price of natural gas. I estimate the response of various measures of manufacturing activity using panel regression methods across roughly 80 industries that allow each...

Persistent link: https://www.econbiz.de/10010787057

Natural gas and supply issues: testimony before the Committee on Energy and Commerce, U.S. House of Representatives, June 10, 2003

Greenspan, Alan - Federal Reserve Board (Board of Governors of the … - 2003

Persistent link: https://www.econbiz.de/10005717712