Similar Search Results

Jump risk, time-varying risk premia, and technical trading profits

Feng, Chenyang; Smith, Stephen D. - 1997

In this paper we investigate the recently documented trading profits based on technical trading rules in an asset pricing framework that incorporates jump risk and time-varying risk premia. Following Brock, Lakonishok, and LeBaron (1992), we apply popular technical trading rules to the daily S&P...

Persistent link: https://www.econbiz.de/10010397482

Jump risk, time-varying risk premia, and technical trading profits

Feng, Chenyang; Smith, Stephen D. - Federal Reserve Bank of Atlanta - 1997

Persistent link: https://www.econbiz.de/10005401866

Risk neutral valuation, asymmetric information, and the efficient markets hypothesis

Madrigal, Vicente; Smith, Stephen D. - Federal Reserve Bank of Atlanta - 1992

Persistent link: https://www.econbiz.de/10005401894

Some implications of risk neutrality for time variation in stock returns

Best, Ronald W.; Smith, Stephen D. - Federal Reserve Bank of Atlanta - 1993

Persistent link: https://www.econbiz.de/10005514537

Vague preferences, noisy markets, and other parables concerning the informational role of prices

Madrigal, Vicente; Smith, Stephen D. - Federal Reserve Bank of Atlanta - 1993

Persistent link: https://www.econbiz.de/10005721752