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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 …

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Portfolio inefficiency and the cross-section of expected returns

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Asset returns, investment horizons, and intertemporal preferences

Kandel, Shmuel; Stambaugh, Robert F. - 1990

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Bayesian exploratory factor analysis

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A family of autoregressive conditional duration models

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

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Nonparametric specification tests for conditional duration models

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Analyzing investments whose histories differ in length

Stambaugh, Robert F. - 1996

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Costs of equity capital and model mispricing

Pástor, Ľuboš; Stambaugh, Robert F. - 1998

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Comparing asset pricing models : an investment perspective

Pástor, Ľuboš; Stambaugh, Robert F. - 1999

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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