Výsledky vyhledávání - "Robert Hodrick"

How big is the premium for currency risk?1We thank Geert Bekaert, Tim Bollerslev, Peter Bossaerts, Mark Carhart, John Cochrane, Magnus Dahlquist, Wayne Ferson, Linda Goldberg, Campbell Harvey, Pierre Hillion, Robert Hodrick (the referee), Olivier Ledoit, John Matsusaka, Hans Mikkelsen, Angel Serrat and Ivo Welch, as well as workshop participants at INSEAD, University of California at Los Angeles, University of Southern California, University of Rochester, Southern Methodist University, University of California – Irvine, Koc University and participants at the 1996 UBC Global Investment Conference (Whistler, BC), 1996 Western Finance Association meetings (Sunriver, OR), 1996 European Finance Association meetings (Oslo, Norway), 1996 NBER Asset Pricing meeting (Evanston, IL), and the 1997 Econometric Society winter meetings (New Orleans, LA) for their comments. The paper was written while the second author was visiting the Anderson School at UCLA. Both authors acknowledge the financial support of a CIBEAR grant.1

Autor: Giorgio De Santis, Bruno Gerard

Publikováno v: Journal of Financial Economics. 49:375-412

We estimate and test the conditional version of an International Capital Asset Pricing Model using a parsimonious multivariate GARCH process. Since our approach is fully parametric, we can recover any quantity that is a function of the first two cond

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::0af94c7c0ac08f3954076799f1f9ce74
https://doi.org/10.1016/s0304-405x(98)00029-4

Zobrazit plný text záznamu

Akademický článek

Is There Smart Money? How Information in the Commodity Futures Market Is Priced into the Cross Section of Stock Returns with Delay.

Autor: Ho, Steven Wei¹ (AUTHOR) steven.ho@unlv.edu, Lauwers, Alexandre R.² (AUTHOR) alexandre.lauwers@graduateinstitute.ch

Publikováno v: Journal of Financial & Quantitative Analysis. Dec2023, Vol. 58 Issue 8, p3201-3230. 30p.

Zobrazit plný text záznamu

Vyhledávací nástroje:

Upřesnit hledání