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Lassen sich CAPM, HCAPM und CCAPM durch konsumbasierte zeitvariable Parameterspezifikation rehabilitieren?
Auer, Benjamin R. - In: Jahrbücher für Nationalökonomie und Statistik 232 (2012) 5, pp. 518-544
Persistent link: https://www.econbiz.de/10009614768
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Firm level return-volatility analysis using dynamic panels
Smith, L. Vanessa; Yamagata, Takashi - In: Journal of empirical finance 18 (2011) 5, pp. 847-867
Persistent link: https://www.econbiz.de/10009492528
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Performance drivers of German institutional property funds
Heuvel, Tom van den; Morawski, Jaroslaw - In: Journal of property investment & finance 32 (2014) 2, pp. 154-167
Persistent link: https://www.econbiz.de/10010256696
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Banks, Eurozone, human capital efficiency and return on equity : an approach via panel econometrics
Piget, Patrick; Roussel, Josse - In: Vie & sciences de l'entreprise : VSE ; la revue de … 207 (2019), pp. 187-205
Persistent link: https://www.econbiz.de/10012385437
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Hedge fund performance under misspecified models
Ardia, David; Barras, Laurent; Gagliardini, Patrick; … - 2020 - This version: July 27, 2020
We develop a new approach for evaluating performance across hedge funds. Our approach allows for performance comparisons between models that are misspecified – a common feature given the numerous factors that drive hedge fund returns. The empirical results show that the standard models used in...
Persistent link: https://www.econbiz.de/10012419384
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Three essays on empirical asset pricing
Zhang, Xiaoyan - 2002
Persistent link: https://www.econbiz.de/10003777584
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Option pricing under stochastic volatility and trading volume
Ono, Sadayuki (contributor) - 2007
Persistent link: https://www.econbiz.de/10003428523
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Three essays on modeling conditional correlation
Sheppard, Kevin - 2004
Persistent link: https://www.econbiz.de/10003550225
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Time-varying risk premium in large cross-sectional equidity datasets
Gagliardini, Patrick; Ossola, Elisa; Scaillet, Olivier - 2011
We develop an econometric methodology to infer the path of risk premia from large unbalanced panel of individual stock … address consistent estimation of the asymptotic variance, and testing for asset pricing restrictions induced by the no … for the usual unconditional four-factor model capturing market, size, value and momentum effects. large panel, factor …
Persistent link: https://www.econbiz.de/10009313026
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Missing mean does no harm to volatility!
Anatolyev, Stanislav; Tarasyuk, Irina - In: Economics letters 134 (2015), pp. 62-64
Persistent link: https://www.econbiz.de/10011432253