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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

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

Conditioning Variables and the Cross-Section of Stock Returns

Ferson, Wayne E. - 1999

Previous studies have identified predetermined variables that have some power to explain the time series of stock and bond returns. This paper shows that loadings on the same variables also provide significant cross-sectional explanatory power for stock portfolio returns. These loadings are...

Persistent link: https://www.econbiz.de/10012471791

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

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

Testing Portfolio Efficiency with Conditioning Information

Ferson, Wayne E. - 2006

We develop asset pricing models' implications for portfolio efficiency when there is conditioning information in the … efficient with respect to the conditioning information. Our tests refine previous tests of portfolio efficiency, using the … conditioning information optimally. We reject the efficiency of all static or time-varying combinations of the three Fama …

Persistent link: https://www.econbiz.de/10012466570

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

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