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Cross-sectional alpha dispersion and performance evaluation

Harvey, Campbell R.; Liu, Yan - In: Journal of financial economics 134 (2019) 2, pp. 273-296

Persistent link: https://www.econbiz.de/10012166855

Stock and bond returns with moody investors

Bekaert, Geert; Engstrom, Eric; Grenadier, Steven R. - 2006

Persistent link: https://www.econbiz.de/10003328105

Stock and bond returns with moody investors

Bekaert, Geert; Engstrom, Eric; Grenadier, Steven R. - 2006

Persistent link: https://www.econbiz.de/10003395326

Stock and bond returns with Moody Investors

Bekaert, Geert; Engstrom, Eric; Grenadier, Steven R. - In: Journal of empirical finance 17 (2010) 5, pp. 867-894

Persistent link: https://www.econbiz.de/10009267237

Stock and bond returns with moody investors

Bekaert, Geert; Engstrom, Eric; Grenadier, Steven R. - 2004

Persistent link: https://www.econbiz.de/10002200413

Stock and Bond Returns with Moody Investors

Bekaert, Geert - 2006

We present a tractable, linear model for the simultaneous pricing of stock and bond returns that incorporates stochastic risk aversion. In this model, analytic solutions for endogenous stock and bond prices and returns are readily calculated. After estimating the parameters of the model by the...

Persistent link: https://www.econbiz.de/10012780054