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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...
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 ...