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A Theory of Firm Characteristics and Stock Returns : The Role of Investment-Specific Shocks
Kogan, Leonid - 2012
the firm's exposure to IST shocks and risk premia. Our calibrated model replicates: i) the predictability of returns by … returns by aggregate investment and valuation ratios; and v) a downward sloping term structure of risk premia for dividend …
Persistent link: https://www.econbiz.de/10013107998
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Macroeconomic risks and asset pricing : evidence from a dynamic stochastic general equilibrium model
Li, Erica X. N.; Li, Haitao; Wang, Shujing; Yu, Cindy - In: Management science : journal of the Institute for … 65 (2019) 8, pp. 3585-3604
Persistent link: https://www.econbiz.de/10012062716
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A Theory of Firm Characteristics and Stock Returns : The Role of Investment-Specific Shocks
Kogan, Leonid - 2012
the firm's exposure to IST shocks and risk premia. Our calibrated model replicates: i) the predictability of returns by … returns by aggregate investment and valuation ratios; and v) a downward sloping term structure of risk premia for dividend …
Persistent link: https://www.econbiz.de/10012460684
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Industry-level analysis of information technology return and risk : what explains the variation?
Ren, Fei; Dewan, Sanjeev - In: Journal of management information systems : JMIS 32 (2015) 2, pp. 71-103
Persistent link: https://www.econbiz.de/10011409374
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Investors' judgments, asset pricing factors and sentiment
Shefrin, Hersh - In: European financial management : the journal of the … 21 (2015) 2, pp. 205-227
Persistent link: https://www.econbiz.de/10010516687
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Dynamic asset allocation
Madhogarhia, Pawan K.; Lam, Marco - In: The journal of asset management 16 (2015) 5, pp. 293-302
Persistent link: https://www.econbiz.de/10011416515
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Measuring volatility persistence and risk in Southern and East African stock markets
Coffie, William - In: International journal of economics and business research 9 (2015) 1, pp. 23-36
Persistent link: https://www.econbiz.de/10011332918
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What drives the value premium? : risk versus mispricing ; evidence from international markets
Chaves, Denis B.; Hsu, Jason C.; Kalesnik, Vitali; … - In: Journal of investment management : JOIM 11 (2013) 4, pp. 22-39
Persistent link: https://www.econbiz.de/10010357098
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Using IT fashion investments to optimize an IT innovation portfolio's risk and return
Fridgen, Gilbert; Moser, Florian - In: Journal of decision systems 22 (2013) 4, pp. 298-318
Persistent link: https://www.econbiz.de/10010239881
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The effect of leverage on the magnitude of risk : can financial market black swan events, 10 sigma events and fat tails be explained by leverage?
Fox, David; Lim, JiEun; Wee, Claudia - In: Economics & finance notes 4 (2015) 1/2, pp. 45-54
Persistent link: https://www.econbiz.de/10011444068