Risk Adjustment and Trading Strategies
暂无分享,去创建一个
Dong-Hyun Ahn | Robert F. Dittmar | D. Ahn | Jennifer S. Conrad | Robert F. Dittmar | Jennifer S. Conrad
[1] Robert F. Dittmar. Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross Section of Equity Returns , 2002 .
[2] J. Lewellen,et al. Momentum and Autocorrelation in Stock Returns , 2002 .
[3] Robert F. Dittmar. Nonlinear Pricing Kernels, Kurtosis Preference, and the Cross-Section of Equity Returns , 2001 .
[4] Tarun Chordia,et al. Momentum, Business Cycle and Time Varying Expected Returns , 2001 .
[5] Guofu Zhou,et al. Tests of Mean-Variance Spanning , 2008 .
[6] Mark Grinblatt,et al. Do Industries Explain Momentum , 1999 .
[7] Kent D. Daniel,et al. Presentation Slides for 'Investor Psychology and Security Market Under and Overreactions' , 1998 .
[8] Bruce D. Grundy,et al. Understanding the Nature of the Risks and the Source of the Rewards to Momentum Investing , 1998 .
[9] F. Eugene. FAMA, . Market efficiency, long-term returns, and behavioral finance, Journal of Financial Economics . , 1998 .
[10] N. Barberis,et al. A Model of Investor Sentiment , 1997 .
[11] E. Fama. Market Efficiency, Long-Term Returns, and Behavioral Finance , 1997 .
[12] Zhiwu Chen,et al. Portfolio Performance Measurement: Theory and Applications , 1996 .
[13] E. Fama,et al. Multifactor Explanations of Asset Pricing Anomalies , 1996 .
[14] S. P. Kothari,et al. Problems in measuring portfolio performance An application to contrarian investment strategies , 1995 .
[15] A. Mackinlay,et al. Multifactor Models Do Not Explain Deviations from the CAPM , 1994 .
[16] Ravi Jagannathan,et al. Assessing Specification Errors in Stochastic Discount Factor Models , 1994 .
[17] Narasimhan Jegadeesh,et al. Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency , 1993 .
[18] Sheridan Titman,et al. On Persistence in Mutual Fund Performance , 1997 .
[19] E. Fama,et al. The Cross‐Section of Expected Stock Returns , 1992 .
[20] E. Fama,et al. Efficient Capital Markets : II , 2007 .
[21] Campbell R. Harvey,et al. The Variation of Economic Risk Premiums , 1990, Journal of Political Economy.
[22] Ravi Jagannathan,et al. Implications of Security Market Data for Models of Dynamic Economies , 1990, Journal of Political Economy.
[23] Jay Shanken,et al. Intertemporal asset pricing: An Empirical Investigation , 1990 .
[24] W. Ferson. Changes in Expected Security Returns, Risk, and the Level of Interest Rates , 1989 .
[25] Campbell R. Harvey. Time-Varying Conditional Covariances in Tests of Asset Pricing Models , 1989 .
[26] A. Lo,et al. When are Contrarian Profits Due to Stock Market Overreaction? , 1989 .
[27] E. Fama,et al. Permanent and Temporary Components of Stock Prices , 1988, Journal of Political Economy.
[28] Gur Huberman,et al. Mean-Variance Spanning , 1987 .
[29] A. Mackinlay. On multivariate tests of the CAPM , 1987 .
[30] Lars Peter Hansen,et al. THE ROLE OF CONDITIONING INFORMATION IN DEDUCING TESTABLE RESTRICTIONS IMPLIED BY DYNAMIC ASSET PRICING MODELS1 , 1987 .
[31] P. Schmidt,et al. A Monte Carlo investigation of the accuracy of multivariate CAPM tests , 1985 .
[32] J. Campbell. Stock Returns and the Term Structure , 1985 .
[33] W. Ferson,et al. Testing asset pricing models with changing expectations and an unobservable market portfolio , 1985 .
[34] M. Rothschild,et al. Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets , 1982 .
[35] L. Hansen,et al. Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models , 1982 .
[36] L. Hansen. Large Sample Properties of Generalized Method of Moments Estimators , 1982 .
[37] T. Day. Asset returns and inflation , 1981 .
[38] Douglas T. Breeden. An Intertemporal Asset Pricing Model with Stochastic Consumption and Investment Opportunities , 1979 .
[39] David M. Kreps,et al. Martingales and arbitrage in multiperiod securities markets , 1979 .
[40] Richard Roll,et al. AMBIGUITY WHEN PERFORMANCE IS MEASURED BY THE SECURITIES MARKET LINE , 1978 .
[41] G. William Schwert,et al. Asset returns and inflation , 1977 .
[42] R. C. Merton,et al. AN INTERTEMPORAL CAPITAL ASSET PRICING MODEL , 1973 .
[43] M. C. Jensen. The Performance of Mutual Funds in the Period 1945-1964 , 1967 .
[44] B. King. Market and Industry Factors in Stock Price Behavior , 1966 .