Similar Search Results

Parametric portfolio policies : exploiting characteristics in the cross-section of equity returns

Brandt, Michael W.; Santa-Clara, Pedro; Valkanov, Rossen I. - In: The review of financial studies 22 (2009) 9, pp. 3411-3447

Persistent link: https://www.econbiz.de/10003885704

Optimal asset allocation in asset liability management

Binsbergen, Jules H. van; Brandt, Michael W. - 2007

Persistent link: https://www.econbiz.de/10003435789

Linear approximations and tests of conditional pricing models

Brandt, Michael W.; Chapman, David A. - 2006

Persistent link: https://www.econbiz.de/10003378379

On the timing and pricing of dividends

Binsbergen, Jules H. van; Brandt, Michael W.; Koijen, … - 2010

"We recover prices of dividend strips on the aggregate stock market using data from derivatives markets. The price of a k-year dividend strip is the present value of the dividend paid in k years. The value of the stock market is the sum of all dividend strip prices across maturities. We study...

Persistent link: https://www.econbiz.de/10008697804

When it cannot get better or worse : the asymmetric impact of good and bad news on bond returns in expansions and recessions

Beber, Alessandro; Brandt, Michael W. - In: Review of finance : journal of the European Finance … 14 (2010) 1, pp. 119-155

Persistent link: https://www.econbiz.de/10003989521

Volatility forecasting with range-based EGARCH models

Brandt, Michael W.; Jones, Christopher S. - In: Journal of business & economic statistics : JBES ; a … 24 (2006) 4, pp. 470-486

Persistent link: https://www.econbiz.de/10003385173

The effect of macroeconomic news on beliefs and preferences : evidence from the options market

Beber, Alessandro; Brandt, Michael W. - In: Journal of monetary economics 53 (2006) 8, pp. 1997-2039

Persistent link: https://www.econbiz.de/10003394391

The idiosyncratic volatility puzzle : time trend or speculative episodes?

Brandt, Michael W.; Brav, Alon; Graham, John R.; Kumar, Alok - In: The review of financial studies 23 (2010) 2, pp. 863-899

Persistent link: https://www.econbiz.de/10003943125

On the timing and pricing of dividends

Binsbergen, Jules H. van; Brandt, Michael W.; Koijen, … - 2011

We recover prices of dividend strips on the aggregate stock market using data from derivatives markets. The price of a k-year dividend strip is the present value of the dividend paid in k years. The value of the stock market is the sum of all dividend strip prices across maturities. We study the...

Persistent link: https://www.econbiz.de/10009009490

What does equity sector orderflow tell us about the economy?

Beber, Alessandro; Brandt, Michael W.; Kavajecz, Kenneth A. - In: The review of financial studies 24 (2011) 11, pp. 3688-3730

Persistent link: https://www.econbiz.de/10009381415