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~institution:"National Bureau of Economic Research"
~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"
~person:"Stambaugh, Robert F."
~subject:"Bayes-Statistik"
~subject:"Börsenkurs"
~subject:"CAPM"
~subject:"Dynamisches Gleichgewicht"
~subject:"Spekulation"
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Al-Azzam, Moh’d
Fernandes, Marcelo
Frühwirth-Schnatter, Sylvia
Gallant, A. Ronald
Hong, Harrison
Stambaugh, Robert F.
Campbell, John Y.
13
Lo, Andrew W.
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5
Dow, James
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1
Anomalies Abroad : Beyond Data Mining
Lu, Xiaomeng
-
2017
,
Germany
, Japan, and the U.K. All of the anomalies are consistently significant across these five countries, whose developed …
Persistent link: https://www.econbiz.de/10012453902
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
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3
Comparing Asset Pricing Models : An Investment Perspective
Pastor, Lubos
-
1999
We investigate the portfolio choices of mean-variance-optimizing investors who use sample evidence to update prior beliefs centered on either risk-based or characteristic-based pricing models. With dogmatic beliefs in such models and an unconstrained ratio of position size to capital, optimal...
Persistent link: https://www.econbiz.de/10012471499
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4
Liquidity Risk After 20 Years
Pastor, Lubos
-
2019
The Critical Finance Review commissioned Li, Novy-Marx, and Velikov (2017) and Pontiff and Singla (2019) to replicate the results in Pástor and Stambaugh (2003). Both studies successfully replicate our market-wide liquidity measure and find similar estimates of the liquidity risk premium. In...
Persistent link: https://www.econbiz.de/10012479724
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5
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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6
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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7
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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8
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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9
Liquidity Risk and Expected Stock Returns
Pastor, Lubos
-
2001
This study investigates whether market-wide liquidity is a state variable important for asset pricing. We find that expected stock returns are related cross-sectionally to the sensitivities of returns to fluctuations in aggregate liquidity. Our monthly liquidity measure, an average of...
Persistent link: https://www.econbiz.de/10012470256
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10
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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