Similar Search Results

Skewness in the conditional distribution of daily equity returns

Harris, Richard D. F.; Küçüközmen, C. Coskun; … - In: Applied financial economics 14 (2004) 3, pp. 195-202

Persistent link: https://www.econbiz.de/10001915495

Analyst optimism and the magnitude of earnings growth

Harris, Richard D. F. - 1997

Persistent link: https://www.econbiz.de/10000966504

The rational expectations hypothesis and the cross-section of bond yields

Harris, Richard D. F. - In: Applied financial economics 14 (2004) 2, pp. 105-112

Persistent link: https://www.econbiz.de/10001909669

Why does the ratio of book to market value of equity explain cross-section stock returns?

Bulkley, George; Harris, Richard D. F. - 1996

Persistent link: https://www.econbiz.de/10000943015

The guilt-equity yield ratio and the predictability of UK and US equity returns

Harris, Richard D. F.; Sanchez-Valle, René - 1998

Persistent link: https://www.econbiz.de/10000998646

The information content of lagged equity and bond yields

Harris, Richard D. F.; Sanchez-Valle, René - In: Economics letters 68 (2000) 2, pp. 179-184

Persistent link: https://www.econbiz.de/10001485066

Bias in the estimation of non-linear transformations of the integrated variance of returns

Harris, Richard D. F.; Guermat, Cherif - In: Journal of forecasting 25 (2006) 7, pp. 481-494

Persistent link: https://www.econbiz.de/10003394896

A simplified approach to modeling the co-movement of asset returns

Harris, Richard D. F.; Stoja, Evarist; Tucker, Jon - In: The journal of futures markets 27 (2007) 6, pp. 575-598

Persistent link: https://www.econbiz.de/10003493113

Financial Market Volatility, Macroeconomic Fundamentals and Investor Sentiment

Chiu, Ching-Wai (Jeremy) - 2019

In this paper, we investigate the dynamic relationship between financial market volatility, macroeconomic fundamentals and investor sentiment, employing a two-factor model to decompose volatility into a persistent long run component and a transitory short run component. Using a structural VAR...

Persistent link: https://www.econbiz.de/10012871617

Financial Market Volatility, Macroeconomic Fundamentals and Investor Sentiment

Chiu, Ching-Wai (Jeremy) - 2016

In this paper, we investigate the dynamic relationship between financial market volatility, macroeconomic fundamentals and investor sentiment, employing a two-factor model to decompose volatility into a persistent long-run component and a transitory short-run component. Using a structural VAR...

Persistent link: https://www.econbiz.de/10012984721