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Multifrequency news and stock returns

Calvet, Laurent E.; Fisher, Adlai J. - In: Journal of Financial Economics 86 (2007) 1, pp. 178-212

Persistent link: https://www.econbiz.de/10005376966

A multivariate model of strategic asset allocation

Campbell, John Y.; Chan, Yeung Lewis; Viceira, Luis M. - In: Journal of Financial Economics 67 (2003) 1, pp. 41-80

Persistent link: https://www.econbiz.de/10005362563

Caught on tape: Institutional trading, stock returns, and earnings announcements

Campbell, John Y.; Ramadorai, Tarun; Schwartz, Allie - In: Journal of Financial Economics 92 (2009) 1, pp. 66-91

Many questions about institutional trading can only be answered if one tracks high-frequency changes in institutional ownership. In the United States, however, institutions are only required to report their ownership quarterly in 13-F filings. We infer daily institutional trading behavior from...

Persistent link: https://www.econbiz.de/10005362734

Stock returns and the term structure

Campbell, John Y. - In: Journal of Financial Economics 18 (1987) 2, pp. 373-399

Persistent link: https://www.econbiz.de/10005478133

Efficient tests of stock return predictability

Campbell, John Y.; Yogo, Motohiro - In: Journal of Financial Economics 81 (2006) 1, pp. 27-60

Persistent link: https://www.econbiz.de/10005210609

No news is good news *1: An asymmetric model of changing volatility in stock returns

Campbell, John Y.; Hentschel, Ludger - In: Journal of Financial Economics 31 (1992) 3, pp. 281-318

Persistent link: https://www.econbiz.de/10005372499