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Informational Content of Open-to-Close Stock Returns
Open-to-Close Returns Opening Returns Stock Price Reversals
2016/1/27
In the present study, I explore interday correlations between open-to-close and opening stock returns. Employing intraday price data on all the stocks that were S&P 500 Index constituents during the p...
Discussion of "The Cross Section and Time Series of Stock and Bond Returns" by Koijen, Lustig & Van Nieuwerburgh
Cross Section Stock and Bond Returns
2015/7/23
A￠ ne model in which:
ñ 3 priced factors explain the cross section of bond and stock returns:
level, CP, DP
ñ 2 factors explain the time variation in bond and stock returns:
CP, DP
The Returns to the Federal Tax Credits for Higher Education
Taxes higher education tuition fees the middle class tax cuts
2015/7/20
Three tax credits benefit households who pay tuition and fees for higher education. The credits have been justified as an investment: generating more educated people and thus more earnings and externa...
Do a Firm's Equity Returns Reflect the Risk of Its Pension Plan?
Equity Profit Risk and Uncertainty Compensation and Benefits
2015/5/13
Do a Firm's Equity Returns Reflect the Risk of Its Pension Plan?
The Maturity of Debt Issues and Predictable Variation in Bond Returns
Borrowing and Debt Bonds Investment Return Financial Markets Forecasting and Prediction
2015/5/13
The maturity of new debt issues predicts excess bond returns. When the share of long term debt issues in total debt issues is high, future excess bond returns are low. This predictive power comes in t...
Traditional cultural practices can play an important role in development, but can also inspire condemnation. The custom of bride price, prevalent throughout sub-Saharan Africa and in parts of Asia as ...
The Small World of Investing:Board Connections and Mutual Fund Returns
Asset Pricing Investment Portfolio Governing and Advisory Boards
2015/4/22
This paper uses social networks to identify information transfer in security markets. We focus on connections between mutual fund managers and corporate board members via shared education networks. We...
Th Effct of Price Postponement on the Coordination of a Two Stage Supply Chain Facing Consumer Returns
Price Postponement on the Coordination a Two Stage Supply Chain Facing Consumer Returns
2014/10/22
In this thesis, we analyze the effect that price p ostp onement has on the p erformance and co ordination of a two-stage supply chain facing consumer returns. In an extended news-vendor setting with a...
IMPACTS OF ASYMMETRIC DECISION POLICIES AND CONSUMER BEHAVIOR ON SUPPLY CHAIN COORDINATION UNDER CONSUMER RETURNS
ASYMMETRIC DECISION POLICIES CONSUMER BEHAVIOR SUPPLY CHAIN COORDINATION CONSUMER RETURNS
2014/10/22
Within this thesis we investigate the effect of asymmetric agent decision making on the coordination of a two echelon supply chain facing consumer returns. On the basis of the classical newsvendor set...
Returns to Education in Taiwan: A Cross-Sectional and Cohort Analysis
A Cross-Sectional Cohort Analysis
2014/3/24
Returns to Education in Taiwan:A Cross-Sectional and Cohort Analysis。
Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data
Analyzing the Spectrum Asset Returns Jump Volatility Components High Frequency Data
2014/3/13
This paper reports some of the recent developments in the econometric analysis of semimartingales estimated using high frequency financial returns. It describes a simple yet powerful methodology to de...
Scaling, stability and distribution of the high-frequency returns of the IBEX35 index
nancial time series high-frequency returns generalized hyperbolic distributions Levy-stable distributions scaling laws tail behaviour
2012/9/14
Abstract.In this paper we perform a statistical analysis of the high-frequency re-turns of theIbex35Madrid stock exchange index. We nd that its probability distri-bution seems to be stable over di er...
Weighted-indexed semi-Markov models for modeling financial returns
rst passage time distribution autocorrelation function exponentially weighted moving average Monte Carlo
2012/6/4
In this paper we propose a new stochastic model based on a generalization of semi-Markov chains to study the high frequency price dynamics of traded stocks. We assume that the financial returns are de...
The Variance of Standard Option Returns
Variance of Standard Option Returns Pricing of Securities
2012/4/28
The vast majority of works on option pricing operate on the assumption of risk neutral valuation, and consequently focus on the expected value of option returns, and do not consider risk parameters, s...
International Stock Returns and Market Integration: A Regional Perspective
global stock market market integration international variation capital markets
2011/9/12
Studies the evolution of country and industry effects at the level of the global stock market in terms of market integration from a regional perspective. Importance of the country effects in explainin...