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Publikováno v:
The Review of Financial Studies.
Drawing upon more than 12 million observations over the period from 1996 to 2020, we find that allowing for nonlinearities significantly increases the out-of-sample performance of option and stock characteristics in predicting future option returns.
Publikováno v:
SSRN Electronic Journal.
This paper shows that firm growth potential – representing a firm's yet-unexercised growth opportunities – is associated with option overpricing and low future delta-hedged option returns. We provide an explanation of this phenomenon based on the
Publikováno v:
Journal of Financial Economics. 142:1017-1037
We provide time-series and cross-sectional evidence on the significance of a risk-return tradeoff in the bond and equity markets. We find a significantly positive intertemporal relation between expected return and risk in the bond market. We also pro
Publikováno v:
China Finance Review International.
PurposeThis paper investigates the role of economic disagreement in the cross-sectional pricing of individual stocks. Economic disagreement is quantified with ex ante measures of cross-sectional dispersion in economic forecasts from the Survey of Pro
Publikováno v:
Journal of Financial Economics. 139:656-677
Long-term reversals in corporate bonds are economically and statistically significant in a comprehensive sample spanning the period 1977 to 2017. Such reversals are stronger for bonds with high credit risk and more binding regulatory, capital, and fu
Autor:
G. Balieva, D. Tanchev
Publikováno v:
Bulgarian Journal of Veterinary Medicine, Vol 27, Iss 2, Pp 343-353 (2024)
Wild animals appear to be a key factor in the occurrence, transmission and prevalence of a myriad of contagious animal diseases, being natural reservoirs, vectors or both. This role is played by wild boars in the African swine fever (ASF) transmissio
Externí odkaz:
https://doaj.org/article/dcb74c33a60c4788b6f1365cbbfa397b
Publikováno v:
Journal of Financial and Quantitative Analysis. 56:2136-2169
This paper investigates hedge funds’ ability to time industry-specific returns and shows that funds’ timing ability in the manufacturing industry improves their future performance, probability of survival, and ability to attract more capital. The
Autor:
Arnold Junior Sadio, Akouda Patassi, Ayitévi F.E. Hounou-Adossi, Fifonsi Adjidossi Gbeasor-Komlanvi, Andoche C. Chokpon, Wendpouiré Ida Carine Zida-Compaore, Didier K. Ekouevi, Philippe Lepere, Ephrem Mensah, Léleng G. Bali
Publikováno v:
Santé Publique. 32:253-262
Objectif : Decrire l’acceptabilite de l’utilisation de la telephonie mobile pour ameliorer la prise en charge des personnes vivant avec le VIH (PVVIH) a Lome au Togo.Methode : Une etude transversale a visee descriptive et analytique a ete realise
Publikováno v:
Journal of Financial and Quantitative Analysis. 56:1653-1678
We examine the role of macroeconomic uncertainty in the cross section of corporate bonds and find a significant uncertainty premium for both investment-grade (IG) (0.40% per month) and non-investment-grade (NIG) (0.81% per month) bonds. The economic-