Similar Search Results

Testing mean-variance efficiency in CAPM with possibly non-gaussian errors: an exact simulation-based approach

Dufour, Jean-Marie; Beaulieu, Marie-Claude; Khalaf, Lynda - 2003

In this paper we propose exact likelihood-based mean-variance efficiency tests of the market portfolio in the context of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a special case. These tests are developed in the framework of...

Persistent link: https://www.econbiz.de/10010295747

Sectoral Connectedness : New Evidence from US Stock Market during COVID-19 Pandemics

Costa, Antonio; Matos, Paulo Rogério; da Silva, Cristiano - 2021

We examine volatility connectedness of 11 sectoral indices in the US using daily data from January 01, 2013 to December 31, 2020. We employ the connectedness measures of Diebold and Yilmaz (2009, 2012, 2014), unveiling changes in the US sectoral connectedness and stylized facts regarding...

Persistent link: https://www.econbiz.de/10013239057

Testing mean-variance efficiency in CAPM with possibly non-gaussian errors : an exact simulation-based approach

Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - 2003

Persistent link: https://www.econbiz.de/10001731828

Testing mean-variance efficiency in CAPM with possibly non-gaussian errors : an exact simulation-based approach

Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - 2003

Persistent link: https://www.econbiz.de/10011431982

When constraints bind

Diether, Karl B.; Werner, Ingrid M. - 2009 - Rev.

We create proxies for constrained supply of lendable shares by combining unique data on loan fees, stock lending activity, and failures to deliver to examine how contrarian short-sale strategies are affected by constraints. Constraints affect roughly one-third of the cross- section of stocks and...

Persistent link: https://www.econbiz.de/10003930552

Has There Been Excessive Speculation in the U.S. Oil Futures Markets? What Can We (Carefully) Conclude from New CFTC Data?

Till, Hilary - 2015

remains much uncertainty on how much to ascribe this rally to speculation, given the lack of transparency in the global oil … markets. Was there excessive speculation in the oil markets?Many facets of the world oil markets are, indeed, too opaque …

Persistent link: https://www.econbiz.de/10013022469

Speculative Growth : Hints from the U.S. Economy

Caballero, Ricardo J.; Farhi, Emmanuel; Hammour, Mohamad L. - 2004

We propose a framework for understanding recurrent historical episodes of vigorous economic expansion accompanied by extreme asset valuations, as exhibited by the U.S. in the 1990s. We interpret this phenomenon as a high-valuation equilibrium with a low effective cost of capital based on...

Persistent link: https://www.econbiz.de/10014100918

Have we been here before? : phases of financialization within the twentieth century in the US

Fasianos, Apostolos; Guevara, Diego; Pierros, Christos - In: Review of Keynesian economics 6 (2018) 1, pp. 34-61

Persistent link: https://www.econbiz.de/10011868125

Das Wall Street Komplott : Banker und Politiker - Poker um Geld und Macht

Höll, Ernst - 2009

Persistent link: https://www.econbiz.de/10003853800

Have we been here before? : phases of financialization within the 20th century in the United States

Fasianos, Apostolos; Guevara, Diego; Pierros, Christos - 2016

This paper explores from a historical perspective the process of financialization over the course of the 20th century …. We identify four phases of financialization: the first, from the 1900s to 1933 (early financialization); the second, from … early 1970s and leads to the Great Recession (complex financialization). Our findings indicate that the main features of the …

Persistent link: https://www.econbiz.de/10011509478

1
2
3
4
5
6
7
8
9
10
Next
Last