Zobrazeno 1 - 6
of 6
pro vyhledávání: '"Georgios Sakoulis"'
Publikováno v:
SSRN Electronic Journal.
We relate valuation multiples to fundamentals through a new framework. Starting with a standard Gordon dividend discount model and applying a Dupont decomposition, we investigate how changes in fundamentals affect pricing in the cross section of glob
Publikováno v:
SSRN Electronic Journal.
We develop a model of equity expected returns based on the idea that, on average, price equals replacement cost. Our main innovation is to allow for time-varying mean reversion speed in the dynamics of valuation. This time varying mean reversion spee
Autor:
Marco Aiolfi, Georgios Sakoulis
Publikováno v:
SSRN Electronic Journal.
The decision to manage currencies in international equity portfolios is a complex one, and is intrinsically related to the final objective of the investor, whether it is risk reduction, or improvement in risk adjusted returns. In the absence of a con
Structural change in the forward discount: Implications for the forward rate unbiasedness hypothesis
Publikováno v:
Journal of Empirical Finance. 17:957-966
It is a well-accepted empirical result that forward exchange rate unbiasedness is rejected in tests using the “differences regression” of the change in the logarithm of the spot exchange rate on the forward discount. We model the forward discount
Autor:
Lorne D. Johnson, Georgios Sakoulis
Publikováno v:
Computational Statistics & Data Analysis. 52:3083-3106
The Kalman filter methodology is employed to develop a dynamic sector allocation model for US equities. Bayesian parameter estimation and model selection criteria result in significantly improved sector return predictability over static or rolling pa
We contrast the effects of a transfer tied to investment in public infrastructure from a traditional pure transfer. The latter has no growth or dynamic consequences; it is always welfare improving, the gains increasing with the stock of government de
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::9e4b001a5942b0be1241eb4833120c37
http://students.washington.edu/santanu/finalp~2.pdf
http://students.washington.edu/santanu/finalp~2.pdf