搜索结果: 1-10 共查到“货币银行学 Stock Returns”相关记录10条 . 查询时间(0.054 秒)
The Effects of Credit Ratings on Stock Returns in China
Domestic credit-rating agencies decisions of investors credit ratings rating outlooks
2011/9/2
Domestic credit-rating agencies in China have been criticized for having no effect on the decisions of investors. We examine whether credit ratings and rating outlooks of the listed companies that are...
The joint distribution of stock returns is not elliptical
joint distribution stock returns elliptical
2010/10/21
Using a large set of daily US and Japanese stock returns, we test in detail the relevance of Student models, and of more general elliptical models, for describing the joint distribution of returns. W...
Investigating Causal Relationships in Stock Returns with Temporal Logic Based Methods
Investigating Stock Returns Temporal Logic Based Methods
2010/10/20
We describe a new framework for causal inference and its application to return time series. In this system, causal relationships are represented as logical formulas, allowing us to test arbitrarily co...
The Impact of Credit Risk and Implied Volatility on Stock Returns
Credit Risk Implied Volatility Stock Returns
2010/10/20
This paper examines the possibility of using derivative-implied risk premia to explain stock returns. The rapid development of derivative markets has led to the possibility of trading various kinds of...
Intraday Patterns in the Cross-section of Stock Returns
Intraday Patterns Cross-section Stock Returns
2010/10/20
Motivated by the literature on investment flows and optimal trading, we examine intraday predictability in the cross-section of stock returns. We find a striking pattern of return continuation at hal...
Stock prices are known to exhibit non-Gaussian dynamics, and there is much interest in under-
standing the origin of this behavior. Here, we present a model that explains the shape and scaling of the...
Portfolio optimization when expected stock returns are determined by exposure to risk
1/n strategy Black–Scholes model expected stock returns Markowitz’ problem portfolio optimization ranks
2010/11/1
It is widely recognized that when classical optimal strategies are applied with parameters estimated from data, the resulting portfolio weights are remarkably volatile and unstable over time.The predo...
Stock Returns, Order Imbalances, and Commonality: Evidence on Individual, Institutional, and Proprietary Investors in China主讲人 Prof. Jun CaiCity University of Hong Kong
Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation
asymmetric correlations market portfolios felicity function
2011/4/6
In this paper, we provide a model-free test for asymmetric correlations in which stocks move
more often with the market when the market goes down than when it goes up. We also provide
such tests for...
Breadth of Ownership and Stock Returns
Differences of opinion Short-sales constraints Return predictability
2014/3/18
We develop a stock market model with differences of opinion and short-sales constraints.When breadth is low—i.e., when few investors have long positions—this signals that the shortsales constraint is ...