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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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Mandelbrot, Fama and the emergence of econophysics
Salazar, Boris - In: Cuadernos de economía 35 (2016) 69, pp. 637-662
Persistent link: https://www.econbiz.de/10011649334
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Efficient market theorists in the early nineteenth century : the Earl of Lauderdale (1759-1839) and Yamagata Bantō (1748-1821)
Takatsuki, Yasuo; Hisamatsu, Taro - 2022
Persistent link: https://www.econbiz.de/10013531073
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Conditional certainty equivalent
Frittelli, Marco; Maggis, Marco - In: International journal of theoretical and applied finance 14 (2011) 1, pp. 41-59
Persistent link: https://www.econbiz.de/10008908394
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The critical role of conditioning information in determining if value is really riskier than growth
Cooper, Michael J.; Gubellini, Stefano - In: Journal of empirical finance 18 (2011) 2, pp. 289-305
Persistent link: https://www.econbiz.de/10009301119
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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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Information and capital asset pricing
Li, Baibing; Yin, Xiangkang - In: The European journal of finance 17 (2011) 7/8, pp. 505-523
Persistent link: https://www.econbiz.de/10009509857
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An approach to asset-pricing under incomplete and diverse perceptions
Eyster, Erik; Piccione, Michele - 2011
Persistent link: https://www.econbiz.de/10009544932
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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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House price dynamics : fundamentals and expectations
Granziera, Eleonora; Kozicki, Sharon - 2012
We investigate whether expectations that are not fully rational have the potential to explain the evolution of house prices and the price-to-rent ratio in the United States. First, a Lucas type asset-pricing model solved under rational expectations is used to derive a fundamental value for house...
Persistent link: https://www.econbiz.de/10009532586