Zobrazeno 1 - 10
of 29
pro vyhledávání: '"Andreas Neuhierl"'
Publikováno v:
SSRN Electronic Journal.
Publikováno v:
SSRN Electronic Journal.
Publikováno v:
Journal of Financial Economics. 140:101-126
The anomaly zoo has caused many to question whether researchers are using the right tests of statistical significance. But even if researchers are using the right tests, they will still draw the wrong conclusions from their econometric analyses if th
Publikováno v:
The Review of Financial Studies. 34:2813-2856
We propose a new methodology for forming arbitrage portfolios that utilizes the information contained in firm characteristics for both abnormal returns and factor loadings. The methodology gives maximal weight to risk-based interpretations of charact
Publikováno v:
SSRN Electronic Journal.
Autor:
Michael Weber, Andreas Neuhierl
Publikováno v:
Journal of Monetary Economics. 108:140-155
The slope factor is constructed from changes in federal funds futures of different horizons and predicts stock returns at the weekly frequency: faster policy easing positively predicts returns. It contains information about the speed of future moneta
Autor:
Andreas Neuhierl, Rasmus T. Varneskov
Publikováno v:
Neuhierl, A & Varneskov, R T 2021, ' Frequency dependent risk ', Journal of Financial Economics, vol. 140, no. 2, pp. 644-675 . https://doi.org/10.1016/j.jfineco.2021.01.007
We provide a model-free framework for studying the dynamics of the state vector and its risk prices. Specifically, we derive a frequency domain decomposition of the unconditional asset return premium in a general setting with a log-affine stochastic
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a21afa4d4ff157eaf2040235e224ae99
https://pure.au.dk/portal/da/publications/frequency-dependent-risk(2a9e1fbd-9e83-4221-b43b-f21cc87e0896).html
https://pure.au.dk/portal/da/publications/frequency-dependent-risk(2a9e1fbd-9e83-4221-b43b-f21cc87e0896).html
Publikováno v:
SSRN Electronic Journal.
Missing data for return predictors is a common problem in cross sectional asset pricing studies. Most papers do not explicitly discuss how they treat missing data but conventional treatments focus on complete cases for all predictors or impute the un
Publikováno v:
SSRN Electronic Journal.
Autor:
Günter Bamberg, Andreas Neuhierl
The strategy to maximize the long-term growth rate of final wealth (maximum expected log strategy, maximum geometric mean strategy, Kelly criterion) is based on probability theoretic underpinnings and has asymptotic optimality properties. This articl
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e84c3bf50b47746c7470ca90850067af
https://opus.bibliothek.uni-augsburg.de/opus4/frontdoor/index/index/docId/79461
https://opus.bibliothek.uni-augsburg.de/opus4/frontdoor/index/index/docId/79461