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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

The short of it : investor sentiment and anomalies

Stambaugh, Robert F.; Yu, Jianfeng; Yuan, Yu - In: Journal of financial economics 104 (2012) 2, pp. 288-302

Persistent link: https://www.econbiz.de/10009621139

Bayesian exploratory factor analysis

Conti, Gabriella; Frühwirth-Schnatter, Sylvia; … - In: Journal of econometrics 183 (2014) 1, pp. 31-57

Persistent link: https://www.econbiz.de/10010506092

A family of autoregressive conditional duration models

Fernandes, Marcelo; Grammig, Joachim - In: Journal of econometrics 130 (2006) 1, pp. 1-23

Persistent link: https://www.econbiz.de/10003228621

Nonparametric specification tests for conditional duration models

Fernandes, Marcelo; Grammig, Joachim - In: Journal of econometrics 127 (2005) 1, pp. 35-68

Persistent link: https://www.econbiz.de/10002756914

Predictive regressions

Stambaugh, Robert F. - In: Journal of financial economics 54 (1999) 3, pp. 375-421

Persistent link: https://www.econbiz.de/10001429025

Comparing asset pricing models : an investment perspective

Pástor, Ľuboš; Stambaugh, Robert F. - In: Journal of financial economics 56 (2000) 3, pp. 335-381

Persistent link: https://www.econbiz.de/10001483301

Mutual fund performance and seemingly unrelated assets

Pástor, Ľuboš; Stambaugh, Robert F. - In: Journal of financial economics 63 (2002) 3, pp. 315-349

Persistent link: https://www.econbiz.de/10001661695

Analyzing investments whose histories differ in length

Stambaugh, Robert F. - In: Journal of financial economics 45 (1997) 3, pp. 285-331

Persistent link: https://www.econbiz.de/10001229284

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