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~isPartOf:"NBER Working Paper"
~person:"Hong, Harrison G."
~source:"econis"
~subject:"Börsenkurs"
~subject:"Mathematische Optimierung"
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Börsenkurs
Mathematische Optimierung
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Hong, Harrison G.
Campbell, John Y.
7
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Veronesi, Pietro
5
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4
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4
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1
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Climate Risks and Market Efficiency
Hong, Harrison G.
-
2016
We investigate whether stock markets efficiently price risks brought on or exacerbated by climate change. We focus on drought, the most damaging natural disaster for crops and food-company cash flows. We show that prolonged drought in a country, measured by the Palmer Drought Severity Index...
Persistent link: https://www.econbiz.de/10012978090
Saved in:
2
Speculative Betas
Hong, Harrison G.
-
2012
due to
risk
-sharing. But when it is large, expected return initially increases but then decreases with beta. High beta … stock earnings and economic
uncertainty
, we verify these predictions. A calibration exercise yields reasonable parameter …
Persistent link: https://www.econbiz.de/10013097774
Saved in:
3
Assignment of Stock Market Coverage
Chang, Briana
-
2017
uncertainty
and increasing valuations. We develop an assignment model of this labor market. The value of a match between firms …
Persistent link: https://www.econbiz.de/10012964388
Saved in:
4
A Unified
Theory
of Underreaction, Momentum Trading and Overreaction in Asset Markets
Hong, Harrison G.
-
2008
We assume that the instantaneous riskless rate reverts towards a central tendency which in turn, is changing stochastically over time. As a result, current short-term rates are notquot; sufficient to predict future short-term rates movements, as would be the case if the centralquot; tendency was...
Persistent link: https://www.econbiz.de/10012774922
Saved in:
5
Forecasting Crashes : Trading Volume, Past Returns and Conditional Skewness in Stock Prices
Chen, Joseph
-
2010
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/10012763325
Saved in:
6
Simple Forecasts and Paradigm Shifts
Hong, Harrison G.
-
2009
done better over the same period. This
theory
makes several distinctive predictions, which, for concreteness, we develop in … a stock-market setting. For example, starting with symmetric and homoskedastic fundamentals, the
theory
yields …
Persistent link: https://www.econbiz.de/10012767724
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7
Selection Versus Talent Effects on Firm Value
Chang, Briana
-
2018
Measuring the value of labor-market hires for stock prices, be it underwriters when firms go public (IPOs) or chief executive officers (CEOs), is difficult due to selection. Opaque firms with higher costs of capital benefit more from prestigious underwriters, while productive firms benefit more...
Persistent link: https://www.econbiz.de/10012917596
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