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Simple formulas for standard errors that cluster by both firm and time

Thompson, Samuel B. - In: Journal of financial economics 99 (2011) 1, pp. 1-10

Persistent link: https://www.econbiz.de/10009241579

Volatility comovement : a multifrequency approach

Calvet, Laurent E.; Fisher, Adlai J.; Thompson, Samuel B. - 2004

Persistent link: https://www.econbiz.de/10002195944

Volatility comovement: a multifrequency approach

Calvet, Laurent E.; Fisher, Adlai; Thompson, Samuel B. - In: Journal of econometrics 131 (2006) 1/2, pp. 179-215

Persistent link: https://www.econbiz.de/10003298573

Predicting the equity premium out of sample : can anything beat the historical average?

Campbell, John Y. (contributor); … - 2005

Persistent link: https://www.econbiz.de/10003179316

Predicting the equity premium out of sample : can anything beat the historical average?

Campbell, John Y.; Thompson, Samuel B. - 2005

Persistent link: https://www.econbiz.de/10003029692

New Forecasts of the Equity Premium

Polk, Christopher - 2004

If investors are myopic mean-variance optimizers, a stock's expected return is linearly related to its beta in the cross section. The slope of the relation is the cross-sectional price of risk, which should equal the expected equity premium. We use this simple observation to forecast the...

Persistent link: https://www.econbiz.de/10012468287