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Excess volatility and the cross-section of stock returns

Wang, Yuming; Ma, Jinpeng - In: The North American journal of economics and finance : a … 27 (2014), pp. 1-16

Persistent link: https://www.econbiz.de/10010460922

Excess Volatility and Momentum Effect in the Cross-Section of Stock Returns

Wang, Yuming - 2014

In this note we document interactive relations between the excess volatility and the momentum effect in the cross-section of stock returns over the sample periods of 1963-1989, 1990-2010 and 1963-2010, along the line explored lately in Wang and Ma (2014). The nature of interactive relations...

Persistent link: https://www.econbiz.de/10013052869

Expected returns and expected dividend growth : time to rethink an established empirical literature

Ma, Jun; Wohar, Mark E. - In: Applied economics 46 (2014) 19/21, pp. 2462-2476

Persistent link: https://www.econbiz.de/10010417214

Understanding housing market volatility

Fairchild, Joseph; Ma, Jun; Wu, Shu - In: Journal of money, credit and banking : JMCB 47 (2015) 7, pp. 1309-1337

Persistent link: https://www.econbiz.de/10011402439

Sources of the stock price fluctuations in Chinese market

Su, Zhenhua; Ma, Jun; Wohar, Mark E. - In: The European journal of finance 20 (2014) 7/9, pp. 829-846

Persistent link: https://www.econbiz.de/10010462970

Portfolio reallocation and exchange rate dynamics

Ding, Liang; Ma, Jun - In: Journal of banking & finance 37 (2013) 8, pp. 3100-3124

Persistent link: https://www.econbiz.de/10009777107

Sources of the great moderation : a time-series analysis of GDP subsectors

Enders, Walter; Ma, Jun - In: Journal of economic dynamics & control 35 (2011) 1, pp. 67-79

Persistent link: https://www.econbiz.de/10009127687

Common business cycles and volatilities in US states and MSAs : the role of economic uncertainty

Gupta, Rangan; Ma, Jun; Risse, Marian; Wohar, Mark E. - In: Journal of macroeconomics 57 (2018), pp. 317-337

Persistent link: https://www.econbiz.de/10012127992

Explaining exchange rate anomalies in a model with Taylor-rule fundamentals and consistent expectations

Lansing, Kevin J.; Ma, Jun - In: Journal of international money and finance 70 (2017), pp. 62-87

Persistent link: https://www.econbiz.de/10011752316

Examining the sources of excess return predictability : stochastic volatility or market inefficiency?

Lansing, Kevin J.; LeRoy, Stephen F.; Ma, Jun - 2018

Persistent link: https://www.econbiz.de/10011977460