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When it cannot get better or worse : the asymmetric impact of good and bad news on bond returns in expansions and recessions

Beber, Alessandro; Brandt, Michael W. - In: Review of finance : journal of the European Finance … 14 (2010) 1, pp. 119-155

Persistent link: https://www.econbiz.de/10003989521

Consumption and portfolio choice with option-implied state prices

Aït-Sahalia, Yacine; Brandt, Michael W. - 2008

Persistent link: https://www.econbiz.de/10003680553

Solving dynamic portfolio choice problems by recursing on optimized portfolio weights or on the value function?

Binsbergen, Jules H. van; Brandt, Michael W. - In: Computational economics 29 (2007) 3/4, pp. 355-367

Persistent link: https://www.econbiz.de/10003493819

The effect of macroeconomic news on beliefs and preferences : evidence from the options market

Beber, Alessandro; Brandt, Michael W. - In: Journal of monetary economics 53 (2006) 8, pp. 1997-2039

Persistent link: https://www.econbiz.de/10003394391

A no-arbitrage approach to range-based estimation of return covariances and correlations

Brandt, Michael W.; Diebold, Francis X. - In: The journal of business : B 79 (2006) 1, pp. 61-74

Persistent link: https://www.econbiz.de/10003301931

The idiosyncratic volatility puzzle : time trend or speculative episodes?

Brandt, Michael W.; Brav, Alon; Graham, John R.; Kumar, Alok - In: The review of financial studies 23 (2010) 2, pp. 863-899

Persistent link: https://www.econbiz.de/10003943125

On the timing and pricing of dividends

Binsbergen, Jules H. van; Brandt, Michael W.; Koijen, … - 2011

We recover prices of dividend strips on the aggregate stock market using data from derivatives markets. The price of a k-year dividend strip is the present value of the dividend paid in k years. The value of the stock market is the sum of all dividend strip prices across maturities. We study the...

Persistent link: https://www.econbiz.de/10009009490

What does equity sector orderflow tell us about the economy?

Beber, Alessandro; Brandt, Michael W.; Kavajecz, Kenneth A. - In: The review of financial studies 24 (2011) 11, pp. 3688-3730

Persistent link: https://www.econbiz.de/10009381415

On the timing and pricing of dividends

Binsbergen, Jules H. van; Brandt, Michael W.; Koijen, … - In: The American economic review 102 (2012) 4, pp. 1596-1618

Persistent link: https://www.econbiz.de/10009705780

Distilling the macroeocnomic new flow

Beber, Alessandro; Brandt, Michael W.; Luisi, Maurizio - 2013

Persistent link: https://www.econbiz.de/10009723120

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