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Tests of the CAPM with time-varying covariances : a multivariate GARCH approach
Ng, Lilian K. - In: The journal of finance : the journal of the American … 46 (1991) 4, pp. 1507-1521
Persistent link: https://www.econbiz.de/10001112556
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Conditioning variables and the cross section of stock returns
Ferson, Wayne E.; Harvey, Campbell R. - In: The journal of finance : the journal of the American … 54 (1999) 4, pp. 1325-1360
Persistent link: https://www.econbiz.de/10001395766
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Heteroskedasticity in stock returns
Schwert, George William - In: The journal of finance : the journal of the American … 45 (1990) 4, pp. 1129-1155
Persistent link: https://www.econbiz.de/10001098069
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The equity premium and structural breaks
Pástor, Ľuboš; Stambaugh, Robert F. - In: The journal of finance : the journal of the American … 56 (2001) 4, pp. 1207-1239
Persistent link: https://www.econbiz.de/10001662218
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Momentum, business cycle, and time-varying expected returns
Chordia, Tarun; Shivakumar, Lakshmanan - In: The journal of finance : the journal of the American … 57 (2002) 2, pp. 985-1019
Persistent link: https://www.econbiz.de/10001684740
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Empirical analysis of the yield curve : the information in the data viewed through the window of Cox, Ingersoll, and Ross
Lamoureux, Christopher G.; Witte, H. Douglas - In: The journal of finance : the journal of the American … 57 (2002) 3, pp. 1479-1520
Persistent link: https://www.econbiz.de/10001685013
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Momentum and reversals in equity-index returns during periods of abnormal turnover and return dispersion
Connolly, Robert A.; Stivers, Christopher T. - In: The journal of finance : the journal of the American … 58 (2003) 4, pp. 1521-1556
Persistent link: https://www.econbiz.de/10001781162
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What is the intrinsic value of the Dow?
Lee, Charles M. C.; Myers, James; Swaminathan, Bhaskaran - In: The journal of finance : the journal of the American … 54 (1999) 5, pp. 1693-1741
Persistent link: https://www.econbiz.de/10001430865
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Order flow, transaction clock, and normality of asset returns
Ané, Thierry; Geman, Hélyette - In: The journal of finance : the journal of the American … 55 (2000) 5, pp. 2259-2284
Persistent link: https://www.econbiz.de/10001524433
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Hostility in takeovers : in the eyes of the beholder?
Schwert, George William - In: The journal of finance : the journal of the American … 55 (2000) 6, pp. 2599-2640
Persistent link: https://www.econbiz.de/10001537338