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Comments on: Nonparametric tail risk, stock returns and the macroeconomy
Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - 2016
Persistent link: https://www.econbiz.de/10011518800
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Spanning analysis of stock market anomalies under prospect stochastic dominance
Arvanitis, Stelios; Scaillet, Olivier; Topaloglou, Nikolas - 2020 - This version: April 2020
We develop and implement methods for determining whether introducing new securities or relaxing investment constraints improves the investment opportunity set for prospect investors. We formulate a new testing procedure for prospect spanning for two nested portfolio sets based on subsampling and...
Persistent link: https://www.econbiz.de/10012219063
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A tale of three schools : insights on autocorrelations of short-horizon stock returns
Boudoukh, Jacob - In: The review of financial studies 7 (1994) 3, pp. 539-573
Persistent link: https://www.econbiz.de/10001169079
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Estimating the effects of information surprises and trading on stock returns using a mixed jump-diffusion model
Nimalendran, Mahendrarajah - In: The review of financial studies 7 (1994) 3, pp. 451-473
Persistent link: https://www.econbiz.de/10001169085
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Temporary components of stock returns : what do the data tell us?
Lamoureux, Christopher G. - In: The review of financial studies 9 (1996) 4, pp. 1033-1059
Persistent link: https://www.econbiz.de/10001212394
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Measuring the predictable variation in stock and bond returns
Kirby, Chris - In: The review of financial studies 10 (1997) 3, pp. 579-630
Persistent link: https://www.econbiz.de/10001227982
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Estimation of the bid-ask spread and its components : a new approach
George, Thomas J. - In: The review of financial studies 4 (1991) 4, pp. 623-656
Persistent link: https://www.econbiz.de/10001120546
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Investor protection and asset prices
Başak, Suleyman; Chabakauri, Georgy; Yavuz, Mehmet Deniz - In: The review of financial studies 32 (2019) 12, pp. 4905-4946
Persistent link: https://www.econbiz.de/10012135513
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Risk, unemployment, and the stock market : a rare-event-based explanation of labor market volatility
Kilic, Mete; Wachter, Jessica - In: The review of financial studies 31 (2018) 12, pp. 4762-4814
Persistent link: https://www.econbiz.de/10012005228
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Jumps in financial markets : a new nonparametric test and jump dynamics
Lee, Suzanne S.; Mykland, Per A. - In: The review of financial studies 21 (2008) 6, pp. 2535-2563
Persistent link: https://www.econbiz.de/10003805074