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1
The Measurement of Firm-Specific Organization Capital
Lev, Baruch
-
2010
We develop a firm-specific measure of organization capital and estimate it for a sample of approximately 250 companies. We test the validity of the organization capital measure within a widely used investment valuation model and show that our organization capital estimate contributes...
Persistent link: https://www.econbiz.de/10012762839
Saved in:
2
The New Fama Puzzle
Bussière, Matthieu
-
2018
correlated, contrary to what
theory
suggests – for eight advanced country exchange rates against the US dollar, over the period …
Persistent link: https://www.econbiz.de/10012927015
Saved in:
3
On Forecasting Interest Rates : An Efficient Markets Perspective
Pesando, James E.
-
2010
This paper reviews, from an applied forecasting perspective, the properties of short- and long-term interest rates in an efficient market. The paper emphasizes that efficient markets do not preclude economic agents from successfully forecasting movements in short-term interest rates. For brief...
Persistent link: https://www.econbiz.de/10012763198
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4
Answering the Critics : Yes, Arch Models Do Provide Good Volatility Forecasts
Andersen, Torben G.
-
2008
Volatility permeates modern financial theories and decision making processes. As such, accurate measures and good forecasts of future volatility are critical for the implementation and evaluation of asset pricing theories. In response to this, a voluminous literature has emerged for modeling the...
Persistent link: https://www.econbiz.de/10012774886
Saved in:
5
Modeling and Forecasting Realized Volatility
Andersen, Torben G.
-
2002
and forecasting. Building on the
theory
of continuous-time arbitrage-free price processes and the
theory
of quadratic …
Persistent link: https://www.econbiz.de/10012787458
Saved in:
6
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
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7
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
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8
Growth Expectations, Dividend Yields, and Future Stock Returns
Da, Zhi
-
2014
According to the dynamic version of the Gordon growth model, the long-run expected return on stocks, stock yield, is the sum of the dividend yield on stocks plus some weighted average of expected future growth rates in dividends. We construct a measure of stock yield based on sell-side analysts'...
Persistent link: https://www.econbiz.de/10013044614
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9
Cointegration and Tests of Present Value Models
Campbell, John Y.
-
2010
In a model where a variable Y[sub t] is proportional to the present value, with constant discount rate, of expected future values of a variable y[sub t] the quot;spreadquot; S[sub t]= Y[sub t] - [theta sub t] will be stationary for some [theta] whether or not y[sub t]must be differenced to...
Persistent link: https://www.econbiz.de/10012763269
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10
Heterogeneous Expectations and Tests of Efficiency in the Yen/Dollar Forward Foreign Exchange Rate Market
Elliott, Graham
-
2010
This paper examines the efficiency of the forward yen/dollar market using micro survey data. We first argue that the conventional tests of efficiency (unbiasedness) of the forward rate or of the survey forecasts do not correspond directly to the zero-profit condition. Instead, we use the survey...
Persistent link: https://www.econbiz.de/10012763699
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