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What does equity sector orderflow tell us about the economy?
Beber, Alessandro; Brandt, Michael W.; Kavajecz, Kenneth A. - 2010
"Investors rebalance their portfolios as their views about expected returns and risk change. We use empirical measures of portfolio rebalancing to back out investors' views, specifically their views about the state of the economy. We show that aggregate portfolio rebalancing across equity...
Persistent link: https://www.econbiz.de/10008757614
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Flight-to-quality or flight-to-liquidity? : evidence from the Euro-area bond market
Beber, Alessandro; Brandt, Michael W.; Kavajecz, Kenneth A. - In: The review of financial studies 22 (2009) 3, pp. 925-957
Persistent link: https://www.econbiz.de/10003827624
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Price discovery in the treasury futures market
Brandt, Michael W.; Kavajecz, Kenneth A.; Underwood, … - In: The journal of futures markets 27 (2007) 11, pp. 1021-1051
Persistent link: https://www.econbiz.de/10003627040
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Distilling the macroeconomic news flow
Beber, Alessandro; Brandt, Michael W.; Luisi, Maurizio - In: Journal of financial economics 117 (2015) 3, pp. 489-507
Persistent link: https://www.econbiz.de/10011480308
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A no-arbitrage approach to range-based estimation of return covariances and correlations
Brandt, Michael W. (contributor);  … - 2002
Persistent link: https://www.econbiz.de/10003349886
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Bayesian range-based estimation of stochastic volatility models
Brandt, Michael W.; Jones, Christopher S. - In: Finance research letters 2 (2005) 4, pp. 201-209
Persistent link: https://www.econbiz.de/10003219463
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Dynamic portfolio selection by augmenting the asset space
Brandt, Michael W. (contributor);  … - 2004 - rev.
Persistent link: https://www.econbiz.de/10003229529
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A simulation approach to dynamic portfolio choice with an application to learning about return predictability
Brandt, Michael W.; Goyal, Amit; Santa-Clara, Pedro; … - 2004
Persistent link: https://www.econbiz.de/10002485076
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Parametric portfolio policies : exploiting characteristics in the cross-section of equity returns
Brandt, Michael W.; Santa-Clara, Pedro; Valkanov, Rossen I. - 2004
Persistent link: https://www.econbiz.de/10002499370
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Equilibrium stock return dynamics under alternative rules of learning about hidden states
Brandt, Michael W.; Zeng, Qi; Zhang, Lu - In: Journal of economic dynamics & control 28 (2004) 10, pp. 1925-1954
Persistent link: https://www.econbiz.de/10002099538