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Predictability of asset returns and the efficient market hypothesis
Pesaran, M. Hashem - 2010
expectations ; forecast averaging ; equity ; premium puzzle …
Persistent link: https://www.econbiz.de/10003983206
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Predictability of asset returns and the efficient market hypothesis
Pesaran, M. Hashem - 2010
expectations ; forecast averaging ; equity premium puzzle …
Persistent link: https://www.econbiz.de/10003985756
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Predictability of Asset Returns and the Efficient Market Hypothesis
Pesaran, M. Hashem - 2010
This paper is concerned with empirical and theoretical basis of the Efficient Market Hypothesis (EMH). The paper begins with an overview of the statistical properties of asset returns at different frequencies (daily, weekly and monthly), and considers the evidence on return predictability, risk...
Persistent link: https://www.econbiz.de/10013141185
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Predictability of Asset Returns and the Efficient Market Hypothesis
Pesaran, M. Hashem - 2010
This paper is concerned with empirical and theoretical basis of the Efficient Market Hypothesis (EMH). The paper begins with an overview of the statistical properties of asset returns at different frequencies (daily, weekly and monthly), and considers the evidence on return predictability, risk...
Persistent link: https://www.econbiz.de/10013141228
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Learning, Structural Instability and Present Value Calculations
Pesaran, M. Hashem - 2016
Persistent link: https://www.econbiz.de/10012991185
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Arbitrage Pricing Theory, the Stochastic Discount Factor and Estimation of Risk Premia from Portfolios
Pesaran, M. Hashem; Smith, Ron - 2021
The arbitrage pricing theory (APT) attributes differences in expected returns to exposure to systematic risk factors …
Persistent link: https://www.econbiz.de/10013233142
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Predictability of Asset Returns and the Efficient Market Hypothesis
Pesaran, M. Hashem - CESifo - 2010
This paper is concerned with empirical and theoretical basis of the Efficient Market Hypothesis (EMH). The paper begins with an overview of the statistical properties of asset returns at different frequencies (daily, weekly and monthly), and considers the evidence on return predictability, risk...
Persistent link: https://www.econbiz.de/10008572494
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Double-Question Survey Measures for the Analysis of Financial Bubbles and Crashes
Pesaran, M. Hashem - 2016
between the agents expectations of price changes and their asset valuation. Double question surveys on equity, gold and house …
Persistent link: https://www.econbiz.de/10012978031
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Double-Question Survey Measures for the Analysis of Financial Bubbles and Crashes
Pesaran, M. Hashem - 2017
between the agents expectations of price changes and their asset valuation. Double question surveys on equity, gold and house …
Persistent link: https://www.econbiz.de/10012963776
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Testing CAPM with a large number of assets
Pesaran, M. Hashem; Yamagata, Takashi - 2012
during episodes of market inefficiencies. -- CAPM ; testing for alpha ; market efficiency ; long/short equity returns ; large …This paper is concerned with testing the time series implications of the capital asset pricing model (CAPM) due to … evidence against Sharpe-Lintner CAPM is found mainly during the recent financial crisis. Furthermore, a strong negative …
Persistent link: https://www.econbiz.de/10009535779