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Sharing R&D Risk in Healthcare Via Fda Hedges

Jørring, Adam - 2017

government risk facing investors in medical innovation. This risk slows down medical innovation because investors must be …&D investors to better share the pipeline risk associated with FDA approval with broader capital markets. Using historical FDA … from offering them. Using various unique data sources, we find that FDA approval risk has a low correlation across drug …

Persistent link: https://www.econbiz.de/10012957388

Trading Volume : Definitions, Data Analysis, and Implications of Portfolio Theory

Lo, Andrew W. - 2001

We examine the implications of portfolio theory for the cross-sectional behavior of equity trading volume. Two …

Persistent link: https://www.econbiz.de/10012788102

Data-Snooping Biases in Tests of Financial Asset Pricing Models

Lo, Andrew W. - 2010

We investigate the extent to which tests of financial asset pricing models may be biased by using properties of the data to construct the test statistics. Specifically, we focus on tests using returns to portfolios of common stock where portfolios are constructed by sorting on some empirically...

Persistent link: https://www.econbiz.de/10012763376

Maximizing Predictability in the Stock and Bond Markets

Lo, Andrew W. - 2010

We construct portfolios of stocks and of bonds that are maximally predictable with respect to a set of ex ante observable economic variables, and show that these levels of predictability are statistically significant, even after controlling for data-snooping biases. We disaggregate the sources...

Persistent link: https://www.econbiz.de/10012763656

Econometric Models of Limit-Order Executions

Lo, Andrew W.; Mackinlay, A. Craig; Zhang, June - 2021

This paper attempts to assess whether money can generate persistent economic" fluctuations in dynamic general equilibrium models of the business cycle. We show that a small" nominal friction in the goods market can make the response of output to monetary shocks large" and persistent if it is...

Persistent link: https://www.econbiz.de/10013248406