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Consumption and portfolio choice with option-implied state prices
Aït-Sahalia, Yacine; Brandt, Michael W. - 2008
Persistent link: https://www.econbiz.de/10003680553
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Cyclical asset returns in the consumption and investment goods sector
Heer, Burkhard; Maussner, Alfred; Süssmuth, Bernd - 2013
We document the empirical fact that asset prices in the consumption-goods and investment-goods sector behave almost …
Persistent link: https://www.econbiz.de/10009786095
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Profitability and investment factors for UK asset pricing models
Nichol, Eoghan; Dowling, Michael - In: Economics letters 125 (2014) 3, pp. 364-366
Persistent link: https://www.econbiz.de/10010506019
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Cyclical asset returns in the consumption and investment goods sector : conference paper
Heer, Burkhard; Maußner, Alfred; Süssmuth, Bernd - 2014
We document the empirical fact that asset prices in the consumption-goods and investment-goods sector behave almost …
Persistent link: https://www.econbiz.de/10010482490
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On investing in the long run when stock returns are mean-reverting
Giannetti, Antoine - In: Applied financial economics 15 (2005) 14, pp. 1037-1040
Persistent link: https://www.econbiz.de/10003177501
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Common stocks as long term investments
Smith, Edgar Lawrence - 1928
Persistent link: https://www.econbiz.de/10001428788
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Deep Value Investing and Unexplained Returns
Oxman, Jeffrey - 2012
The strategy of buying and holding “net nets” has been advocated by deep value investors for decades, but systematic studies of the returns to such a strategy are few. We detail the returns generated from a net nets strategy implemented from 1984 - 2008, and then attempt to explain the...
Persistent link: https://www.econbiz.de/10013114061
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Static Fund Separation of Long Term Investments
Guasoni, Paolo - 2012
relative risk aversion, and with stochastic investment opportunities. An optimal portfolio decomposes as a constant mix of a …
Persistent link: https://www.econbiz.de/10013114549
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Consumption and Portfolio Choice with Option-Implied State Prices
Ait-Sahalia, Yacine - 2008
We propose an empirical implementation of the consumption-investment problem using the martingale representation … simplifies the investor's task of specifying the investment opportunity set and inherits the computational convenience of the …
Persistent link: https://www.econbiz.de/10012772381
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The Formation Process of Winners and Losers in Momentum Investing
Chen, Li-Wen - 2015
a joint effect on future expected returns. The empirical evidence shows that the zero-investment portfolio, including …
Persistent link: https://www.econbiz.de/10013022151