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Data-snooping, technical trading rule performance, and the bootstrap
Sullivan, Ryan; Timmermann, Allan; White, Halbert - In: The journal of finance : the journal of the American … 54 (1999) 5, pp. 1647-1691
Persistent link: https://www.econbiz.de/10001430863
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Be greedy when others are fearful : evidence from a two-decade assessment of the NDX 100 and S&P 500 indexes
Day, Min-Yuh; Ni, Yensen - In: International review of financial analysis 90 (2023), pp. 1-13
Persistent link: https://www.econbiz.de/10014468853
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Measuring Risk Aversion From Excess Returns on a Stock Index
Chou, Ray - 1991
We distinguish the measure of risk aversion from the slope coefficient in the linear relationship between the mean … excess return on a stock index and its variance. Even when risk aversion is constant, the latter can vary significantly with …
Persistent link: https://www.econbiz.de/10012475371
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Temporal aggregation of the Aumann-Serrano and Foster-Hart performance indexes
Hodoshima, Jiro; Yamawake, Toshiyuki - In: International review of financial analysis 83 (2022), pp. 1-13
Persistent link: https://www.econbiz.de/10013454995
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The performance effects of composition changes on sector specific stock indices : the case of European listed real estate
Brooks, Chris; Kappou, Konstantina; Stevenson, Simon; … - In: International review of financial analysis 29 (2013), pp. 132-142
Persistent link: https://www.econbiz.de/10010244117
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U.S. monetary policy indicators and international stock returns : 1970 - 2001
Mann, Thomas; Atra, Robert J.; Dowen, Richard J. - In: International review of financial analysis 13 (2004) 4, pp. 543-558
Persistent link: https://www.econbiz.de/10002224949
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Behavioralize This! International Evidence on Autocorrelation Patterns of Stock Index and Futures Returns
Ahn, Dong-Hyun - 1999
This paper investigates the relation between returns on stock indices and their corresponding futures contracts in order to evaluate potential explanations for the pervasive yet anomalous evidence of positive, short-horizon portfolio autocorrelations. Using a simple theoretical framework, we...
Persistent link: https://www.econbiz.de/10012471575
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Harnessing the power of real-time forum opinion : unveiling its impact on stock market dynamics using intraday high-frequency data in China
Tang, Zhenpeng; Lin, Qiaofeng; Cai, Yi; Chen, Kaijie; … - In: International review of financial analysis 93 (2024), pp. 1-18
Persistent link: https://www.econbiz.de/10014543482
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Parameter estimation risk in asset pricing and risk management : a Bayesian approach
Tunaru, Radu; Zheng, Teng - In: International review of financial analysis 53 (2017), pp. 80-93
Persistent link: https://www.econbiz.de/10011877849
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Estimating portfolio and consumption choice : a conditional Euler equations approach
Brandt, Michael W. - In: The journal of finance : the journal of the American … 54 (1999) 5, pp. 1609-1645
Persistent link: https://www.econbiz.de/10001430862