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Risk and valuation under an intertemporal capital asset pricing model

Brennan, Michael J. (contributor); Xia, Yihong (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002024580

Assessing asset pricing anomalies

Brennan, Michael J.; Xia, Yihong - 1999

Persistent link: https://www.econbiz.de/10001641297

Dynamic asset allocation under inflation

Brennan, Michael J. (contributor); Xia, Yihong (contributor) - 2000 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002000801

A simple model of intertemporal capital asset pricing and its implications for the Fama-French three-factor model

Brennan, Michael J. (contributor); … - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002016401

Persistence, predictability, and portfolio planning

Brennan, Michael J. (contributor); Xia, Yihong (contributor) - 2005

We use a model of stock price behavior in which the expected rate of return on stocks follows an Ornstein-Uhlenbeck process to show that levels of return predictability that cause large variation in valuation ratios and offer significant benefits to dynamic portfolio strategies are hard to...