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The predictability of stock returns
Zhou, Zong-guo - 1993
Persistent link: https://www.econbiz.de/10000902613
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A reexamination of finite- and infinite-variance distributions as models of daily stock returns
Tucker, Alan L. - In: Journal of business & economic statistics : JBES ; a … 10 (1992) 1, pp. 73-81
Persistent link: https://www.econbiz.de/10001120243
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Testing CAPM with a large number of assets
Pesaran, M. Hashem; Yamagata, Takashi - 2012
This paper is concerned with testing the time series implications of the capital asset pricing model (CAPM) due to … evidence against Sharpe-Lintner CAPM is found mainly during the recent financial crisis. Furthermore, a strong negative … during episodes of market inefficiencies. -- CAPM ; testing for alpha ; market efficiency ; long/short equity returns ; large …
Persistent link: https://www.econbiz.de/10009535779
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Testing CAPM with a large number of assets
Pesaran, M. Hashem; Yamagata, Takashi - 2012
Persistent link: https://www.econbiz.de/10009535935
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Macroeconomic factors strike back : a Bayesian change-point model of time-varying risk exposures and premia in the U.S. cross-section
Bianchi, Daniele; Guidolin, Massimo; Ravazzolo, Francesco - 2015 - This version: June 6, 2015
Persistent link: https://www.econbiz.de/10011809314
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The time series behavior of stock market volatility and returns
Nelson, Daniel B. - 1988
Persistent link: https://www.econbiz.de/10000815335
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Stochastic seasonality and daily financial time series
Andrade, Isabel C. (contributor) - 1996
Persistent link: https://www.econbiz.de/10000563148
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An empirical assessment of the premium associated with meeting or beating both time-series earnings expectations and analysts' forecasts
Dopuch, Nicholas; Seethamraju, Chandra; Xu, Weihong - In: Review of quantitative finance and accounting 31 (2008) 2, pp. 147-166
Persistent link: https://www.econbiz.de/10003727911
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Asymmetrical effects of expected inflation on stock returns
Kolluri, Bharat R.; Wahab, Mamoud S. - 2007
Persistent link: https://www.econbiz.de/10003753443