Zobrazeno 1 - 10
of 72
pro vyhledávání: '"Schaumburg, Ernst"'
Publikováno v:
Review of Economics and Statistics, 102(3), 531--551, 2020
Portfolio sorting is ubiquitous in the empirical finance literature, where it has been widely used to identify pricing anomalies. Despite its popularity, little attention has been paid to the statistical properties of the procedure. We develop a gene
Externí odkaz:
http://arxiv.org/abs/1809.03584
Autor:
Jagannathan, Ravi, Pelizzon, Loriana, Schaumburg, Ernst, Sherman, Mila Getmansky, Yuferova, Darya
Publikováno v:
In Journal of Financial Markets June 2022 59 Part B
Publikováno v:
Management Science, 2014 Mar 01. 60(3), 658-674.
Externí odkaz:
http://dx.doi.org/10.1287/mnsc.2013.1766
Publikováno v:
Econometric Theory, 2014 Feb 01. 30(1), 3-59.
Externí odkaz:
http://www.jstor.org/stable/24534503
Publikováno v:
In Journal of Financial Intermediation January 2013 22(1):4-29
Publikováno v:
In Journal of Econometrics July 2012 169(1):75-93
Publikováno v:
Annual Review of Financial Economics, 2010 Jan 01. 2, 49-74.
Externí odkaz:
https://www.jstor.org/stable/42940210
Autor:
Da, Zhi, Schaumburg, Ernst
Publikováno v:
In Journal of Financial Markets 2011 14(1):161-192
Autor:
Jagannathan, Ravi, Pelizzon, Loriana, Schaumburg, Ernst, Getmansky Sherman, Mila, Yuferova, Darya
We study the role mutual funds play in the recovery from fast intraday crashes based on data from the National Stock Exchange of India for a single large stock. During normal times, trading activity and liquidity provision by mutual funds is negligib
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______1687::6b57986c12835a1950ba78e60909567a
https://hdl.handle.net/10419/230681
https://hdl.handle.net/10419/230681
Publikováno v:
In Journal of Economic Dynamics and Control 2008 32(11):3397-3414