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The smallest stocks are not just smaller : global evidence
Moor, Lieven de; Sercu, Piet - In: The European journal of finance 21 (2015) 1/3, pp. 51-70
Persistent link: https://www.econbiz.de/10010519976
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Gene Fama’s Impact : a quantitative analysis
Schwert, George William; Stulz, René M. - 2014
This paper provides a quantitative perspective on Gene Fama's influence on the scholarly community. He has more than …,792. Gene Fama has published highly-cited papers in six decades. His most impactful theoretical work took place earlier than his … most impactful empirical work. While Gene Fama's most impactful empirical asset pricing work was published in the Journal …
Persistent link: https://www.econbiz.de/10010483663
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Central bank communication or the media's interpretation : what moves markets?
Hendry, Scott - 2012
The goal of this paper is to investigate what type of information from Bank of Canada communication statements or the market commentary based on these statements has a significant effect on the volatility or level of returns in a short-term interest rate market. Two different text mining methods...
Persistent link: https://www.econbiz.de/10009504648
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Investor competition over information and the pricing of information asymmetry
Akins, Brian K.; Ng, Jeffrey; Verdi, Rodrigo S. - In: The accounting review : a publication of the American … 87 (2012) 1, pp. 35-58
Persistent link: https://www.econbiz.de/10009506473
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The US-dollar supranational zero-coupon curve
Rivadeneyra, Francisco - 2012
The author describes the construction of the U.S.-dollar-denominated zero-coupon curve for the supranational asset class from 1995 to 2010. He uses yield data from a crosssection of bonds issued by AAA-rated supranational entities to fit the Svensson (1995) term-structure model. Results show the...
Persistent link: https://www.econbiz.de/10009545246
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Back to fundamentals : the role of expected cash flows in equity valuation
Foerster, Stephen Robert; Sapp, Stephen G. - In: The North American journal of economics and finance : a … 22 (2011) 3, pp. 320-343
Persistent link: https://www.econbiz.de/10009427377
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Fooled by search : housing prices, turnover and bubbles
Peterson, Brian M. - 2012
This paper develops and estimates a model to explain the behaviour of house prices in the United States. The main finding is that over 70% of the increase in house prices relative to trend during the increase of house prices in the United States from 1995 to 2006 can be explained by a pricing...
Persistent link: https://www.econbiz.de/10009487808
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Ambiguity in the cross-section of expected returns : an empirical assessment
Thimme, Julian; Völkert, Clemens - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 3, pp. 418-429
Persistent link: https://www.econbiz.de/10011390409
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Changes in risk and asset prices
Schlesinger, Harris; Gollier, Christian - 2001
We examine asset prices in a representative-agent model of general equilibrium. Assuming only that individuals are risk averse, we determine conditions on the changes in asset risk that are both necessary and sufficient for the asset price to fall. We show that these conditions neither imply,...
Persistent link: https://www.econbiz.de/10011398103
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Household stockholding behavior during the great financial crisis
Zhou, Jie - 2015
Using the Panel Study of Income Dynamics, this paper studies household stock market participation and trading behavior in 2007 - 09, a period that saw a major stock market downswing. The stock market participation rate fell after the market crash. We find evidence that less-educated households,...
Persistent link: https://www.econbiz.de/10010514033