Zobrazeno 1 - 6
of 6
pro vyhledávání: '"Jiening Pan"'
Publikováno v:
Journal of Empirical Finance. 72:232-250
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::1dbb254c0fb51dcdcd6d7e95e8749cf3
https://doi.org/10.1016/j.jempfin.2023.03.011
https://doi.org/10.1016/j.jempfin.2023.03.011
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e7baa128ef9657513972e651c4503eb0
https://doi.org/10.2139/ssrn.4145350
https://doi.org/10.2139/ssrn.4145350
Autor:
Raymond Kan, Jiening Pan
Publikováno v:
SSRN Electronic Journal.
In this paper, we provide an exact finite sample analysis of predictive regressions with overlapping long-horizon returns. This analysis allows us to evaluate the reliability of various asymptotic theories for predictive regressions in finite samples
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::f67d69bdb306b24ec83d4448e37a6aac
https://doi.org/10.2139/ssrn.3790052
https://doi.org/10.2139/ssrn.3790052
Publikováno v:
SSRN Electronic Journal.
We propose that speculative trading arising from the joint effect of investor disagreement and short-sale constraints plays an important role in explaining the idiosyncratic volatility (IVOL) puzzle, the correlation among IVOL, market beta and tradin
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::24e79d5749e76ba8ac540bf26b91f0bf
https://doi.org/10.2139/ssrn.3731011
https://doi.org/10.2139/ssrn.3731011
Publikováno v:
Journal of Applied Econometrics. 33:1026-1043
We propose a modified mutual information measure to capture general asymmetric dependence between two random variables. Based on this measure, we propose a test of asymmetric dependence and examine its finite‐sample performance. We show that our te
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::0caabdf6ebf0d800ab3edda590dd6775
https://doi.org/10.1002/jae.2643
https://doi.org/10.1002/jae.2643
Publikováno v:
Physica A: Statistical Mechanics and its Applications. 391:1395-1399
We address the question as to what extent individuals, when given information in marketing polls on the decisions made by the previous N r individuals questioned, are likely to change their original choices. The processes can be formulated in terms o
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::0d9bf275b5c28d126f35d273cfdd8caf
https://doi.org/10.1016/j.physa.2011.09.030
https://doi.org/10.1016/j.physa.2011.09.030