Zobrazeno 1 - 10
of 36
pro vyhledávání: '"Timothy T. Simin"'
Autor:
Stephen L. Lenkey, Timothy T. Simin
Publikováno v:
Journal of Finance and Data Science, Vol 9, Iss , Pp 100111- (2023)
We analyze a multi-period model of capital gains taxation with endogenous prices. Relative to an economy without taxation, a capital gains tax tends to lower prices and increase returns. Abstracting from tax redistribution policies, we find that a ta
Externí odkaz:
https://doaj.org/article/04e4722209a84b148d518de0e87bdb17
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::0d5bec087b0f289d66df37522c9aeed5
https://doi.org/10.2139/ssrn.4058468
https://doi.org/10.2139/ssrn.4058468
Publikováno v:
SSRN Electronic Journal.
We investigate the value-growth premium puzzle by merging insights from urban economics and finance that relate firm location to its stock performance. The value-growth premium in locations with high historical house price appreciation is 3.6% larger
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::51d347fa743237f65e7d63938ecbf37a
https://doi.org/10.2139/ssrn.3861819
https://doi.org/10.2139/ssrn.3861819
Publikováno v:
The Journal of Alternative Investments. 21:16-29
Reliable excess returns from active portfolio management derive from informed trading. This article investigates the information content of informed trading in the equity market and the options market. The authors find that informed equity trading an
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::90a521ba5425857cdb8d1ed2ca141fba
https://doi.org/10.3905/jai.2018.1.064
https://doi.org/10.3905/jai.2018.1.064
Publikováno v:
The Review of Financial Studies. 30:2818-2850
State-of-the-art term structure models of commodity prices have serious difficulties extrapolating the prices of long-maturity futures contracts from short-dated contracts. This situation is problematic for valuing real commodity-linked assets. We es
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::f4efaa61299ca8eef3740bd28f897e48
https://doi.org/10.1093/rfs/hhw087
https://doi.org/10.1093/rfs/hhw087
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::bc1e48b112cb0aedd536255b500831b0
https://doi.org/10.2139/ssrn.3352156
https://doi.org/10.2139/ssrn.3352156
Publikováno v:
Journal of Financial Markets. 51:100531
We show that the call-put implied volatility spread (IVS) outperforms many well-known predictors of the U.S. equity premium at return horizons up to six months over the period from 1996:1 to 2017:12. The predictive ability of the IVS is unrelated to
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::3c5d5daac486b74e9262ea6069f8f262
https://doi.org/10.1016/j.finmar.2019.100531
https://doi.org/10.1016/j.finmar.2019.100531
Publikováno v:
Journal of Corporate Finance. 22:345-360
Pending changes in lease accounting standards will require firms to recognize obligations that have historically been kept off-balance-sheet (OBS). We examine the implications of this accounting treatment for a host of common risk and performance met
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::2e8c86082659066086bbb3b6e35c3aee
https://doi.org/10.1016/j.jcorpfin.2013.06.007
https://doi.org/10.1016/j.jcorpfin.2013.06.007
Publikováno v:
Journal of Financial and Quantitative Analysis. 43:331-353
This paper studies the estimation of asset pricing model regressions with conditional alphas and betas, focusing on the joint effects of data snooping and spurious regression. We find that the regressions are reasonably well specified for conditional
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::de5989034824284e7db36fe17d994806
https://doi.org/10.1017/s0022109000003549
https://doi.org/10.1017/s0022109000003549
Publikováno v:
The Review of Financial Studies. 21:2599-2633
While recent studies document increasing idiosyncratic volatility over the past four decades, an explanation for this trend remains elusive. We establish a theoretical link between growth options available to managers and the idiosyncratic risk of eq
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::5ee9172661c272f0cb7799992e7cee93
http://hdl.handle.net/10.1093/rfs/hhl039
http://hdl.handle.net/10.1093/rfs/hhl039