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Does an intertemporal tradeoff between risk and return explain mean reversion in stock prices?
Kim, Chang-Jin; Morley, James C.; Nelson, Charles R. - In: Journal of Empirical Finance 8 (2001) 4, pp. 403-426
Persistent link: https://www.econbiz.de/10005152384
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Testing for mean reversion in heteroskedastic data based on Gibbs-sampling-augmented randomization1
Kim, Chang-Jin; Nelson, Charles R.; Startz, Richard - In: Journal of Empirical Finance 5 (1998) 2, pp. 131-154
Persistent link: https://www.econbiz.de/10005194293
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Why are stock returns and volatility negatively correlated?
Bae, Jinho; Kim, Chang-Jin; Nelson, Charles R. - In: Journal of Empirical Finance 14 (2007) 1, pp. 41-58
Persistent link: https://www.econbiz.de/10005198989
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Testing for mean reversion in heteroskedastic data II: Autoregression tests based on Gibbs-sampling-augmented randomization1
Kim, Chang-Jin; Nelson, Charles R. - In: Journal of Empirical Finance 5 (1998) 4, pp. 385-396
Persistent link: https://www.econbiz.de/10005199021
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The forward discount anomaly and the risk premium: A survey of recent evidence
Engel, Charles - In: Journal of Empirical Finance 3 (1996) 2, pp. 123-192
Persistent link: https://www.econbiz.de/10005152449
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Tests of conditional mean-variance efficiency of the U.S. stock market
Engel, Charles; Frankel, Jeffrey A.; Froot, Kenneth A.; … - In: Journal of Empirical Finance 2 (1995) 1, pp. 3-18
Persistent link: https://www.econbiz.de/10005198987