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Pricing the deflation protection option in TIPS using and HJM model with inflation- and interest-rate jumps
Chuang, Ming-Che; Lin, Shih-kuei; Chiang, Mi-Hsiu - In: The journal of derivatives : the official publication … 26 (2018) 2, pp. 50-69
Persistent link: https://www.econbiz.de/10011968699
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Investment horizon and the cross section of expected returns : evidence from the Tokyo Stock Exchange
Chou, Pin-huang; Hsu, Yuan-lin; Zhou, Guofu - In: Annals of economics and finance 1 (2000) 1, pp. 79-100
Persistent link: https://www.econbiz.de/10001731829
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Investment Horizon and the Cross Section of Expected Returns: Evidence from the Tokyo Stock Exchange
Chou, Pin-Huang; Hsu, Yuan-Lin; Zhou, Guofu - In: Annals of Economics and Finance 1 (2000) 1, pp. 79-100
Using data from the Tokyo Stock Exchange, we study how beta, size, and ratio of book to market equity (BE/ME) account for the cross-section of expected stock returns over different lengths of investment horizons. We find that $\beta$, adjusted for infrequent trading or not, fails to explain the...
Persistent link: https://www.econbiz.de/10009131590
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Investment Horizon and the Cross Section of Expected Returns: Evidence from the Tokyo Stock Exchange
Chou, Pin-Huang; Hsu, Yuan-Lin; Zhou, Guofu - China Economics and Management Academy, Central … - 1999
Using data from the Tokyo Stock Exchange, we study how beta, size, and ratio of book to market equity (BE/ME) account for the cross-section of expected stock returns over different lengths of investment horizons. We find that $\beta$, adjusted for infrequent trading or not, fails to explain the...
Persistent link: https://www.econbiz.de/10009131620