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Intertemporal differences in systematic stock price movements

Francis, Jack Clark - In: Journal of financial and quantitative analysis : JFQA 10 (1975) 2, pp. 205-219

Persistent link: https://www.econbiz.de/10002200220

Investments : analysis and management

Francis, Jack Clark - 1976 - 2. ed.

Persistent link: https://www.econbiz.de/10001601110

Introduction to theories of the pricing of securities

Francis, Jack Clark - In: Handbook of financial markets : securities, options and …, (pp. 34-52). 1986

Persistent link: https://www.econbiz.de/10001259065

Investments : Analysis and management

Francis, Jack Clark - 1986 - 4. ed.

Persistent link: https://www.econbiz.de/10013468803

Pricing futures on geometric indexes : a discrete time approach

Harel, Arie; Harpaz, Giora; Francis, Jack Clark - In: Review of quantitative finance and accounting 28 (2007) 3, pp. 227-240

Persistent link: https://www.econbiz.de/10003492800

Ex day effects of the 1984 and 1986 tax reform acts

Bali, Rakesh; Francis, Jack Clark - In: The empirical economics letters : a monthly … 13 (2014) 1, pp. 53-58

Persistent link: https://www.econbiz.de/10010392601

Analysis of efficient markets

Harel, Arie; Harpaz, Giora; Francis, Jack Clark - In: Review of quantitative finance and accounting 36 (2011) 2, pp. 287-296

Persistent link: https://www.econbiz.de/10009272494

Asset pricing implications of a non-expected recursive utility function : a review

Cho, Jaeho - In: International review of financial analysis 3 (1994) 1, pp. 19-35

Persistent link: https://www.econbiz.de/10001174392

Arbitrage pricing theory factors and their relationship to macroeconomic variables

MacGowan, Carl - In: Advances in quantitative analysis of finance and … 1 (1991), pp. 25-43

Persistent link: https://www.econbiz.de/10001112446

Intertemporal Differences in Systematic Stock Price Movements

Francis, Jack Clark - 2019

The efficient markets hypothesis suggests that no stocks should significantly lead or lag the market. The single index market model is augmented to become a multi-index model that includes several months of stock returns that lead and lag an index that serves as a surrogate for the market...

Persistent link: https://www.econbiz.de/10012904351