Suchergebnisse

Productivity Gaps and Global Systematic Risk Exposure: Pricing Country-Industry Portfolios

Do Futures Premiums Predict Commodity Producer Returns?

Efficient Factor Selection: Explaining Risk and Mean Returns Jointly

Optimal Transaction Filters Under Transitory Trading Opportunities: Theory and Empirical Illustration

In: Hong Kong Institute for Monetary and Financial Research (HKIMR) Research Paper WP No. 02/2005

Stock Market Integration, Return Forecastability and Implications for Market Efficiency: A Panel Study

In: Hong Kong Institute for Monetary and Financial Research (HKIMR) Research Paper WP No. 11/2002

Distinguishing Factors and Characteristics with Characteristic-Mimicking Portfolios

Social Screens and Systematic Boycott Risk

Reducing the dimensionality of linear quadratic control problems

In: Journal of economic dynamics & control, Band 31, Heft 1, S. 141-159

ISSN: 0165-1889

Efficient gradualism in intertemporal portfolios

In: Journal of economic dynamics & control, Band 24, Heft 1, S. 21-38

ISSN: 0165-1889

Periodic learning about a hidden state variable

In: Journal of economic dynamics & control, Band 17, Heft 5-6, S. 805-827

ISSN: 0165-1889

Actively Learning About Demand and the Dynamics of Price Adjustment

In: The Economic Journal, Band 100, Heft 402, S. 882

Profitability and Stock Returns in Production-Based Asset Pricing with Decreasing Returns to Scale

TRANSITORY MARKET STATES AND THE JOINT OCCURRENCE OF MOMENTUM AND MEAN REVERSION

In: The journal of financial research: the journal of the Southern Finance Association and the Southwestern Finance Association, Band 35, Heft 4, S. 471-495

ISSN: 1475-6803

Beta Uncertainty as an Arbitrage Barrier and the Level of Anomaly Returns