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~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:"Gorton, Gary"
~person:"Hong, Harrison"
~person:"Stambaugh, Robert F."
~subject:"Bayes-Statistik"
~subject:"Börsenkurs"
~subject:"CAPM"
~subject:"Dynamisches Gleichgewicht"
~subject:"Germany"
~subject:"Spekulation"
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Al-Azzam, Moh’d
Fernandes, Marcelo
Frühwirth-Schnatter, Sylvia
Gallant, A. Ronald
Gorton, Gary
Hong, Harrison
Stambaugh, Robert F.
Campbell, John Y.
14
Bekaert, Geert
13
Lo, Andrew W.
13
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12
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11
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10
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10
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9
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9
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9
Aït-Sahalia, Yacine
8
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8
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8
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6
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6
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6
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6
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5
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5
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1
Stock Market
Efficiency
and Economic
Efficiency
: Is There a Connection?
Dow, James
-
1995
discretion in determining the level of investment. What is the link between stock price informational
efficiency
and economic …
efficiency
? We present a model of the stock market in which: (i) managers have discretion in making investments and must be given …
Persistent link: https://www.econbiz.de/10012473644
Saved in:
2
Dissecting Green Returns
Pástor, Ľuboš
;
Stambaugh, Robert F.
;
Taylor, Lucian A.
-
National Bureau of Economic Research
-
2021
a month. A
theory
-driven two-factor model featuring the green factor explains much of the recent underperformance of …
Persistent link: https://www.econbiz.de/10012585424
Saved in:
3
Class Struggle Inside the Firm : A Study of German Codetermination
Gorton, Gary
-
2000
the unification of East
Germany
and West
Germany
, a shock that may have caused employees in the former West to resist …
Persistent link: https://www.econbiz.de/10012470791
Saved in:
4
Universal Banking and the Performance of German Firms
Gorton, Gary
-
1996
investment, and for contesting corporate governance. In
Germany
, where the stock market has historically been small, banks hold …
Persistent link: https://www.econbiz.de/10012473409
Saved in:
5
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:
6
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
Saved in:
7
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
Saved in:
8
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
Saved in:
9
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
Saved in:
10
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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