The predictability of the US-based international mutual fund returns has receivedrenewed consideration in recent academic studies. This dissertation extends recent research byexploring the 2,479 daily return observations covering the period from January 4, 1993 toOctober 31, 2002 for all...

Diese Dissertation setzt sich zusammen aus drei separaten Aufsätzen, welche sich aus empirischer Sicht mit verschiedenen Aspekten der Zusammenhänge zwischen Finanzmärkten und der Makroökonomie beschäftigen. Kapitel 1 ("Long Horizon Consumption Risk and the Cross-Section of Returns: New...

Lettau and Ludvigson [Lettau, M., Ludvigson, S, 2001. Consumption, aggregate wealth and expected stock returns. Journal of Finance 56, 815849] argue that fluctuations from the equilibrium ratio of consumption to wealth (cy) reflect changing expectations of asset returns and document significant...

The predictability of the US-based international mutual fund returns has received renewed consideration in recent academic studies. This dissertation extends recent research by exploring the 2,479 daily return observations covering the period from January 4, 1993 to October 31, 2002 for all...

Evidence of dividend yield return predictability has been presented so widely and consistently that the result has tended to be generally accepted. This paper shows that return predictability of the dividend yield is a spurious result that is due to dividend persistence and finds that standard...

This dissertation consists of two essays investigating the trading by institutions and its impact on the stock market. In the first essay, I investigate why changes in institutional breadth predict return. I first show that changes in breadth are positively associated with abnormal returns over...

Este trabajo evalúa la estimación de la prima de riesgo de la renta variable, es decir, el rendimiento esperado de la renta variable por encima del tipo libre de riesgo, utilizando el modelo de descuento de dividendos como marco organizativo. Comparo las estimaciones de la prima de riesgo de...

The finding of reversals in weekly returns has been attributed to a combination of microstructure issues and overreaction to information. I provide new evidence eliminating overreaction as a source of reversal. I show that well-known weekly contrarian profits are followed by a long run of...

This research involves the design, development, and theoretical demonstration of models resulting in integrated misbehavior resolution protocols for ad hoc networked devices. Game theory was used to analyze strategic interaction among independent devices with conflicting interests. Packet...

Mutualisms provide benefits to those who participate in them. As a mutualism evolves, how will these benefits come to be allocated among the participants? We approach this question using evolutionary game theory and explore the ways in which the coevolutionary process determines the allocation...