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Spanning analysis of stock market anomalies under prospect stochastic dominance

Arvanitis, Stelios; Scaillet, Olivier; Topaloglou, Nikolas - 2020 - This version: April 2020

We develop and implement methods for determining whether introducing new securities or relaxing investment constraints improves the investment opportunity set for prospect investors. We formulate a new testing procedure for prospect spanning for two nested portfolio sets based on subsampling and...

Persistent link: https://www.econbiz.de/10012219063

Optimal execution : a review

Donnelly, Ryan - In: Applied mathematical finance 29 (2022) 3, pp. 181-212

Persistent link: https://www.econbiz.de/10013554798

Optimal liquidation under stochastic price impact

Barger, Weston; Lorig, Matthew - In: International journal of theoretical and applied finance 22 (2019) 2, pp. 1-28

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Contractual Private Disclosure in Supply Chain and Managerial Learning from Stock Price

Pandey, Vivek - 2023

after suppliers enter a DF contract for the first time, compared to the corresponding change for control firms over the same … measured by return on assets, significantly improves after entering a DF contract, and the improvement is greater for suppliers … notion that suppliers, after entering a DF contract, increase the reliance on private demand forecasts from customers and, in …

Persistent link: https://www.econbiz.de/10014348988