affected returns of real estate companies. The three reforms are aimed at regulating different segments of the market – Basel … employ an event study methodology using daily stock returns of real estate companies and identify the regulatory events … responses in average abnormal returns (AARs) than loosening regulation news …

This research starts from the observation that common desmoothing models are likely to generate some extreme returns …. Such returns will distort risk measurement and hence can lead to investment decisions that are suboptimal relative to those …

based on averages of past futures returns, normalized by their volatility. We test these strategies on a universe of 64 … asset class, realized futures volatility is contemporaneously negatively related to the Fama and French (1987) market (MKT …), value (HML), and momentum (UMD) factors. As a result, RAMOM returns have a natural, built-in exposure to the MKT, HML, and …

predictive variance. We show theoretically how this adjustment factor affects both average and volatility of excess returns. We …Variance after-effect is a perceptual bias in the dynamic assessment of variance. Experimental evidence shows that … related to excess volatility as predicted by the model. Further confirming the model's implications, we also show how stock …

returns. To test our model empirically, we relate the size of the value premium in 41 countries to the degree of hyperbolic …

- and out-of-sample, using predictive variables such as the dividend yield or the volatility risk premium …

model in several ways, it allows for all the primary stylized facts of financial asset returns, including volatility … volatility, but without the estimation problems associated with the latter, and being applicable in the multivariate setting for …