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Asset pricing with heterogeneous agents and non-normal return distributions
Beddock, Arthur - 2021
Persistent link: https://www.econbiz.de/10012617351
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The behaviour of stock returns under price limits, a truncated time series approach
Errais, Eymen; Albacha, Jawhar - In: American journal of finance and accounting 6 (2021) 3/4, pp. 223-251
Persistent link: https://www.econbiz.de/10012610836
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A modified Corrado test for assessing abnormal security returns
Ataullah, Ali; Song, Xiaojing; Tippett, Mark - In: The European journal of finance 17 (2011) 7/8, pp. 589-601
Persistent link: https://www.econbiz.de/10009509842
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Are the log-returns of Italian open-end mutual funds normally distributed : a risk assessment perspective
Bianchi, Michele Leonardo - In: The journal of asset management 16 (2015) 7, pp. 437-449
Persistent link: https://www.econbiz.de/10011455704
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An empirical study of the interrelationships, integration and the efficiency of stock and foreign exchange markets in Fiji
Paul, Muthucattu Thomas; Uriam, Timiti - In: Journal of quantitative economics : official journal of … 12 (2014) 1, pp. 154-167
Persistent link: https://www.econbiz.de/10011504410
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Risk-return based performance evaluation of stocks in BIST 100 and KOMPAS 100 indices of Borsa Istanbul and Indonesian stock exchange
Öcal, Hüseyin; Kamil, Anton Abdulbasah - In: Scientific papers of the University of Pardubice 29 (2021) 2, pp. 1-13
This study aims to provide empirical insights into stocks' performance in the BIST 100 index of Borsa Istanbul and KOMPAS 100 index of the Indonesian Stock Exchange. The risk-free rates and top 100 stocks closing price data of Borsa Istanbul (BIST) and Indonesia Stock Exchange (IDX) have been...
Persistent link: https://www.econbiz.de/10012517147
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Long-horizon asset and portfolio returns revisited : evidence from US markets
Tri Hoang - In: Cogent business & management 10 (2023) 2, pp. 1-16
This study revisits the widely used assumptions in long-term asset allocation: the normal distribution of long-horizon returns and the negligible impacts of estimation errors on the expected returns. This study uses the innovative simulation method of Fama and French (2018) for horizons of up to...
Persistent link: https://www.econbiz.de/10014503297
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Modeling autoregressive conditional skewness and kurtosis with multi-quantile CAViaR
White, Halbert; Kim, Tae-Hwan; Manganelli, Simone - 2008
new methods to estimate measures of conditional skewness and kurtosis defined in terms of conditional quantiles, analogous … to the unconditional quantile-based measures of skewness and kurtosis studied by Kim and White (2004). We investigate the … performance of our methods by simulation, and we apply MQ-CAViaR to study conditional skewness and kurtosis of S&P 500 daily …
Persistent link: https://www.econbiz.de/10011605003
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The persistence in hedge fund performance : extended analysis
Capocci, Daniel - In: International journal of finance & economics : IJFE 14 (2009) 3, pp. 233-255
Persistent link: https://www.econbiz.de/10003901056
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An alternative conditional asymmetry specification for stock returns
Brännäs, Kurt; Nordman, Niklas - 2001
The paper advances the log-generalized gamma distribution as a suitable generator of conditional skewness. Based on the … NYSE composite daily returns an asMA-asQGARCH model along with skewness dynamics is estimated. The results indicate a … skewness that varies between sizeable negative skewness and almost symmetry. The conditional variance and skewness measures are …
Persistent link: https://www.econbiz.de/10011398115