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Testing for negative expected market return premia
Eleswarapu, Venkat R.; Thompson, Rex - In: Journal of banking & finance 31 (2007) 6, pp. 1755-1770
Persistent link: https://www.econbiz.de/10003483296
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The conditional relation between Fama-French betas and return
Koch, Stefan; Westheide, Christian - In: Schmalenbach business review : sbr 65 (2013) 4, pp. 334-358
Persistent link: https://www.econbiz.de/10010196962
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Market sentiment and the Fama-French factor premia
Shamsuddin, Abdul; Kim, Jae H. - In: Economics letters 136 (2015), pp. 129-132
Persistent link: https://www.econbiz.de/10011435995
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The double power law in consumption and implications for testing Euler equations
Akira Toda, Alexis; Walsh, Kieran - In: Journal of political economy 123 (2015) 5, pp. 1177-1200
Persistent link: https://www.econbiz.de/10011409373
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The Double Power Law in Consumption and Implications for Testing Euler Equations
Toda, Alexis Akira - 2015
We provide evidence suggesting that the cross-sectional distributions of U.S. consumption and its growth rate obey the power law in both the upper and lower tails, with exponents approximately equal to 4. Consequently, high order moments are unlikely to exist, and the GMM estimation of Euler...
Persistent link: https://www.econbiz.de/10013035123
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Derivative pricing with collateralization and FX market dislocations
Moreni, Nicola; Pallavicini, Andrea - In: International journal of theoretical and applied finance 20 (2017) 6, pp. 1-27
Persistent link: https://www.econbiz.de/10011734332
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Empirical asset pricing with functional factors
Nadler, Philip; Sancetta, Alessio - In: Journal of financial econometrics 21 (2023) 4, pp. 1258-1281
Persistent link: https://www.econbiz.de/10014391457
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Does knowing the volatility states affect the market risk premium?
Bae, Jinho - In: Annals of finance 7 (2011) 1, pp. 83-94
Persistent link: https://www.econbiz.de/10008840222
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Erklärung von "Mean Reversion" auf internationalen Aktienmärkten
Tolksdorf, Norbert - 2002
Trotz jahrzehntelanger Forschung zur Gültigkeit der Hypothese informationseffizienter Kapitalmärkte (EMH) sind wesentliche damit verbundene Fragestellungen noch immer ungeklärt. Eine ist diejenige nach der Existenz und der Erklärung von zeitvariablen Überrenditen ("Time Varying Excess...
Persistent link: https://www.econbiz.de/10011402080
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Testing conditional factor models
Ang, Andrew; Kristensen, Dennis - In: Journal of financial economics 106 (2012) 1, pp. 132-156
Persistent link: https://www.econbiz.de/10009666667