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Białkowski, Je̜drzej; Wagner, Moritz; Wei, Xiaopeng - 2023

Persistent link: https://www.econbiz.de/10014469900

Sluggish news reactions: a combinatorial approach for synchronizing stock jumps

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Internet, noise trading and commodity prices

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Risk, Gordon's growth model, and the predictability of stock market returns

Attanasio, Orazio P.; Wadhwani, Sushil B. - 1989 - Rev

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Evaluating density forecasts with an application to stock market returns

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The contribution of frictions to expected returns

Hirakiy, Kazuhiro; Skiadopoulos, George - 2018

We derive a model-free option-based formula to estimate the contribution of market frictions to expected returns (CFER) within an asset pricing setting. We estimate CFER for the U.S. optionable stocks. We document that CFER is sizable, it predicts stock returns and it subsumes the effect of...

Persistent link: https://www.econbiz.de/10011932555