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CAPM
Prognoseverfahren
40,816
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39,823
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20,729
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2,674
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Grammig, Joachim
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Zhang, Lu
19
Kan, Raymond
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Bottazzi, Giulio
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Guo, Hui
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Schlag, Christian
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Bali, Turan G.
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Pesaran, M. Hashem
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Zhou, Guofu
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Kelly, Bryan T.
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Hollstein, Fabian
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Reeves, Jonathan J.
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Yamagata, Takashi
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Polk, Christopher
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Adrian, Tobias
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Blitz, David
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Branger, Nicole
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Feunou, Bruno
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Jacobs, Kris
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de Oliveira Souza, Thiago
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Barroso, Pedro
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Research paper series / Swiss Finance Institute
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Journal of financial economics
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Journal of risk and financial management : JRFM
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Working papers / Federal Reserve Bank of Atlanta
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IES working paper
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Pacific-Basin finance journal
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The North American journal of economics and finance : a journal of financial economics studies
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FRB of New York Staff Report
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International review of financial analysis
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ECONIS (ZBW)
3,264
RePEc
172
EconStor
75
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1
Diverging roads: theory-based vs. machine learning-implied stock risk premia
Grammig, Joachim
;
Hanenberg, Constantin
;
Schlag, Christian
-
2020
We assess financial theory-based and machine learning-implied measurements of stock risk premia by comparing the quality of their return forecasts. In the low signal-to-noise environment of a one month horizon, we find that it is preferable to rely on a theory-based approach instead of engaging...
Persistent link: https://www.econbiz.de/10012163064
Saved in:
2
How to estimate beta?
Hollstein, Fabian
;
Prokopczuk, Marcel
;
Wese Simen, Chardin
-
2017
.e., betas. We study the effect of different data sampling frequencies,
forecast
adjustments, and model combinations for beta …
Persistent link: https://www.econbiz.de/10011751164
Saved in:
3
Asset Pricing In a World of Imperfect Foresight
Bossaerts, Peter
-
2020
We consider a canonical asset pricing model, where agents with quadratic preferences are allowed to retrade a limited set of securities over multiple periods, after which these securities expire, and agents consume their liquidation values. A key assumption in this model is that agents have...
Persistent link: https://www.econbiz.de/10012833019
Saved in:
4
Does the CAPM Predict Returns?
Hasler, Michael
-
2020
We provide empirical evidence that CAPM-betas positively predict asset returns when market returns are predicted to be high, which occurs about every other month. Consequently, the product of beta and the predicted market return (CAPM) predicts asset returns by combining the out-of-sample...
Persistent link: https://www.econbiz.de/10012849611
Saved in:
5
Predictability of Currency Carry Trades and Asset Pricing Implications
Bakshi, Gurdip
-
2012
This paper studies the time-series predictability of currency carry trades, constructed by selecting currencies to be bought or sold against the U.S. dollar, based on forward discounts. Changes in a commodity index, currency volatility and, to a lesser extent, a measure of liquidity predict...
Persistent link: https://www.econbiz.de/10013113110
Saved in:
6
Earnings Quality and Book-to-Market in the Cross Section of Expected Returns
Athanasakou, Vasiliki E.
-
2019
The purpose of this paper is to examine whether earnings quality contributes to the book-to- market's predictive power in the cross section of stock returns. Earnings quality is embedded in the value-growth effect given that retained earnings is a key part of the book value of equity. Earnings...
Persistent link: https://www.econbiz.de/10012861412
Saved in:
7
Investor Sentiment and Analysts' Earnings
Forecast
Errors
Hribar, Paul
-
2012
We correlate analysts'
forecast
errors with temporal variation in investor sentiment. We find that when sentiment is … “uncertain” or “difficult to value” firms. Adding these
forecast
errors to a regression of stock returns on sentiment absorbs a …
Persistent link: https://www.econbiz.de/10013116864
Saved in:
8
(Presentation Slides) Investor Overconfidence, Covariance Risk, and Predictors of Securities Returns
Daniel, Kent D.
-
2018
to
forecast
returns, and the domination of beta by these variables in some studies. Paper can be found here: "https …
Persistent link: https://www.econbiz.de/10012918741
Saved in:
9
Comparing the market risk premia forecasts in JSE and NYSE equity markets
Oikonomikou, Leoni Eleni
-
2016
-
Corrected version: March 2016
This paper examines the evidence regarding predictability in the market risk premium using artificial neural networks (ANNs), namely the Elman Network (EN) and the Higher Order Neural network (HONN), univariate ARMA and exponential smoothing techniques, such as Single Exponential Smoothing (SES)...
Persistent link: https://www.econbiz.de/10011454082
Saved in:
10
Efficiency of heterogeneity measures : an asset pricing perspective
Qin, Lu
;
Zhu, Hongquan
- In:
China finance review international
5
(
2015
)
4
,
pp. 371-385
Persistent link: https://www.econbiz.de/10011391759
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