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The inventory-sales ratio and homebuilder return predictability
Chinloy, Peter; Wu, Zhonghua - In: The journal of real estate finance and economics 46 (2013) 3, pp. 397-423
Persistent link: https://www.econbiz.de/10009727573
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Some statistics for testing the influence of the number of transactions on the distributions of returns
Satchell, Stephen; Yoon, Joungjun - 1993
Persistent link: https://www.econbiz.de/10000142720
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On the estimation of bid-ask spreads and their implications for stock volatility and return distributions
Choi, Jong-yeon - 1987
Persistent link: https://www.econbiz.de/10000786453
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The price of correlation risk : evidence from equity options
Driessen, Joost; Maenhout, Pascal J.; Vilkov, Grigory - In: The journal of finance : the journal of the American … 64 (2009) 3, pp. 1377-1406
Persistent link: https://www.econbiz.de/10003871954
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Trading costs and returns for US equities : estimating effective costs from daily data
Hasbrouck, Joel - In: The journal of finance : the journal of the American … 64 (2009) 3, pp. 1445-1477
Persistent link: https://www.econbiz.de/10003871960
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Technical trading revisited : false discoveries, persistence tests, and transaction costs
Bajgrowicz, Pierre; Scaillet, Olivier - 2009 - This version July 2009
Persistent link: https://www.econbiz.de/10003936746
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Essays on stock momentum and asset liquidity
Sadka, Ronnie - 2003
Persistent link: https://www.econbiz.de/10003624563
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Technical trading revisited : false discoveries, persistence tests, and transaction costs
Bajgrowicz, Pierre; Scaillet, Olivier - 2009 - This version: Sept. 2009
We revisit the apparent historical success of technical trading rules on daily prices of the DJIA index from 1897 to 2011, and use the False Discovery Rate as a new approach to data snooping. The advantage of the FDR over existing methods is that it selects more outperforming rules which allows...
Persistent link: https://www.econbiz.de/10003961414
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Three essays in dynamic portfolio choice
Tan, Sinan - 2006
Persistent link: https://www.econbiz.de/10009374264