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"Excess Volatility" and the German Stock Market, 1876-1990

De Long, J. Bradford - 1992

This paper uses long-run real price and dividends series to investigate for the German stock market the questions asked of the U.S. market by Shiller (1989). It tries to determine in what periods and to what degree the German stock market has also possessed excess volatility' in the past...

Persistent link: https://www.econbiz.de/10012474925

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

Portfolio inefficiency and the cross-section of expected returns

Kandel, Shmuel; Stambaugh, Robert F. - 1994 - Rev

Persistent link: https://www.econbiz.de/10000888001

Asset returns, investment horizons, and intertemporal preferences

Kandel, Shmuel; Stambaugh, Robert F. - 1990

Persistent link: https://www.econbiz.de/10000800651

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

Analyzing investments whose histories differ in length

Stambaugh, Robert F. - 1996

Persistent link: https://www.econbiz.de/10000937579

Costs of equity capital and model mispricing

Pástor, Ľuboš; Stambaugh, Robert F. - 1998

Persistent link: https://www.econbiz.de/10000981017

Comparing asset pricing models : an investment perspective

Pástor, Ľuboš; Stambaugh, Robert F. - 1999

Persistent link: https://www.econbiz.de/10001412832

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