Zobrazeno 1 - 10
of 15
pro vyhledávání: '"Maria Vassalou"'
Autor:
Anna Dosiou, Ioannis Athinelis, Efstratios Katris, Maria Vassalou, Alexandros Kyrkos, Pavlos Krassakis, Issaak Parcharidis
Publikováno v:
Fire, Vol 7, Iss 1, p 20 (2024)
In 2023, Greece faced its worst wildfire season, with nine major fires causing unprecedented environmental damage of 1470.31 km2. This article uses Copernicus Land Monitoring Service and Sentinel-2 data, employing advanced remote sensing and GIS tech
Externí odkaz:
https://doaj.org/article/5cfa1f37c9b44a7f850adfe69b838d1e
Autor:
Lars Tyge Nielsen, Maria Vassalou
Publikováno v:
Economic Theory. 28:651-664
We show that if the intercept and slope of the instantaneous capital market line are deterministic, then investors will not hold any hedge portfolios in the sense of Merton [1973, 1990]. They will choose portfolios that plot on the capital market lin
Publikováno v:
Journal of Business. 79:1637-1665
We examine the importance of the information contained in sector investment growth rates for explaining the cross section of equity returns. We propose an empirical specification that outperforms the capital asset pricing model and Cochrane’s (1996
Autor:
Yuhang Xing, Maria Vassalou
Publikováno v:
The Journal of Finance. 59:831-868
This is the first study that uses Merton’s (1974) option pricing model to compute default measures for individual firms and assess the effect of default risk on equity returns. The size effect is a default effect, and this is also largely true for
Autor:
Lars Tyge Nielsen, Maria Vassalou
Publikováno v:
Journal of Financial and Quantitative Analysis. 39:103-114
This paper proposes modified versions of the Sharpe ratio and Jensen's alpha, which are appropriate in a simple continuous-time model. Both are derived from optimal portfolio selection. The modified Sharpe ratio equals the ordinary Sharpe ratio plus
Autor:
Maria Vassalou
Publikováno v:
Journal of Financial Economics. 68:47-73
A model that includes a factor that captures news related to future Gross Domestic Product (GDP) growth along with the market factor can explain the cross-section of equity returns about as well as the Fama-French model can. Furthermore, the Fama-Fre
Do we need multi-country models to explain exchange rate and interest rate and bond return dynamics?
Autor:
Robert J. Hodrick, Maria Vassalou
Publikováno v:
Journal of Economic Dynamics and Control. 26:1275-1299
This paper examines characterizations of the dynamics for the first and second moments of the one-month interest rate, the 12-month excess bond return and exchange rates. The countries considered are the US, Germany, Japan, and the UK. Our tests are
Autor:
Maria Vassalou, Jim Kyung-Soo Liew
Publikováno v:
Journal of Financial Economics. 57:221-245
We test whether the profitability of HML, SMB, and WML can be linked to future Gross Domestic Product (GDP) growth. Using data from ten countries, we find that HML and SMB contain significant information about future GDP growth. This information is t
Autor:
Kodjo Apedjinou, Maria Vassalou
Publikováno v:
SSRN Electronic Journal.
We define corporate innovation (CI) as the proportion of a firm's change in gross profit margin not explained by the change in the capital and labor it utilizes. We show that CI contains important information about expected equity returns. This infor
Autor:
Yuhang Xing, Maria Vassalou
Publikováno v:
SSRN Electronic Journal.
Previous studies report the existence of persistent abnormal negative equity returns following downgrades, and the absence of an equity reaction following upgrades. The above result is viewed as a puzzling anomaly, and there are attempts to explain i