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Dynamic portfolio selection by augmenting the asset space
Brandt, Michael W.; Santa-Clara, Pedro - In: The journal of finance : the journal of the American … 61 (2006) 5, pp. 2187-2217
Persistent link: https://www.econbiz.de/10003378702
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On the timing and pricing of dividends
Binsbergen, Jules H. van; Brandt, Michael W.; Koijen, … - 2010
"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...
Persistent link: https://www.econbiz.de/10008697804
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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
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Consumption and portfolio choice with option-implied state prices
Aït-Sahalia, Yacine; Brandt, Michael W. - 2008
Persistent link: https://www.econbiz.de/10003680553
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Volatility forecasting with range-based EGARCH models
Brandt, Michael W.; Jones, Christopher S. - In: Journal of business & economic statistics : JBES ; a … 24 (2006) 4, pp. 470-486
Persistent link: https://www.econbiz.de/10003385173
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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
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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
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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
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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
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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