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Long-term discount rates do not vary across firms
Keloharju, Matti; Linnainmaa, Juhani; Nyberg, Peter - In: Journal of financial economics 141 (2021) 3, pp. 946-967
Persistent link: https://www.econbiz.de/10012873077
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Time-series efficient factors
Ehsani, Sina; Linnainmaa, Juhani - 2020
Factors in prominent asset pricing models are positively autocorrelated. We derive a transformation that turns an autocorrelated factor to a ``time-series efficient'' factor. Time-series efficient factors earn significantly higher Sharpe ratios than the original factors and contain all the...
Persistent link: https://www.econbiz.de/10012244867
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The history of the cross section of stock returns
Linnainmaa, Juhani; Roberts, Michael R. - 2016
Persistent link: https://www.econbiz.de/10011581450
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The history of the cross section of stock returns
Linnainmaa, Juhani; Roberts, Michael R. - 2016
Persistent link: https://www.econbiz.de/10011843943
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The history of the cross-section of stock returns
Linnainmaa, Juhani; Roberts, Michael R. - In: The review of financial studies 31 (2018) 7, pp. 2606-2649
Persistent link: https://www.econbiz.de/10011927146
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Long-term discount rates do not vary across firms
Keloharju, Matti; Linnainmaa, Juhani; Nyberg, Peter - 2019
Persistent link: https://www.econbiz.de/10011996819
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Adaptive markets : financial evolution at the speed of thought
Lo, Andrew W. - 2017
Persistent link: https://www.econbiz.de/10013503329
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Preface to the Annual Review of Financial Economics
Lo, Andrew W.; Merton, Robert C. - In: Annual review of financial economics 1 (2009), pp. 1-17
Persistent link: https://www.econbiz.de/10003924489
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Spectral factor models
Bandi, Federico M.; Chaudhuri, Shomesh E.; Lo, Andrew W.; … - In: Journal of financial economics 142 (2021) 1, pp. 214-238
Persistent link: https://www.econbiz.de/10012650703
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A personal tribute to Professor Harry Markowitz on the occasion of the JOIM special achievement award
Fong, H. Gifford; Das, Sanjiv R.; Leibowitz, Martin L.; … - In: Journal of investment management : JOIM 18 (2020) 4, pp. 6-13
Persistent link: https://www.econbiz.de/10012589176