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Citations for "Risk, Return, and Equilibrium: Empirical Tests" by Fama, Eugene F & MacBeth, James D
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Cited by (explanations , Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.): Wayne E. Ferson & Campbell R. Harvey, 1996.
"Fundamental Determinants of National Equity Market Returns: A Perspective on Conditional Asset Pricing ,"
NBER Working Papers
5860, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Bossaerts, Peter & Kleiman, Daniel & Plott, Charles, 1998.
"Price Discovery in Financial Markets: The Case of the CAPM ,"
Working Papers
1032, California Institute of Technology, Division of the Humanities and Social Sciences.
[Downloadable!]
Mika Vaihekoski, 1998.
"Short-term returns and the predictability of Finnish stock returns ,"
Finnish Economic Papers ,
Finnish Economic Association, vol. 11(1), pages 19-36, Spring.
[Downloadable!]
Other versions: Raffaella Giacomini & Halbert White, 2004.
"Tests of Conditional Predictive Ability ,"
University of California at San Diego, Economics Working Paper Series
2003-09, Department of Economics, UC San Diego.
[Downloadable!]
Other versions:
Raffaella Giacomini & Halbert White, 2003.
"Tests of Conditional Predictive Ability ,"
Econometrics
0308001, EconWPA.
[Downloadable!] Raffaella Giacomini & Halbert White, 2003.
"Tests of conditional predictive ability ,"
Boston College Working Papers in Economics
572, Boston College Department of Economics.
[Downloadable!] Raffaella Giacomini & Halbert White, 2006.
"Tests of Conditional Predictive Ability ,"
Econometrica ,
Econometric Society, vol. 74(6), pages 1545-1578, November.
[Downloadable!] (restricted) Wayne E. Ferson & Campbell R. Harvey, 1999.
"Conditioning Variables and the Cross-Section of Stock Returns ,"
NBER Working Papers
7009, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Harrison Hong & Terence Lim & Jeremy C. Stein, 1998.
"Bad News Travels Slowly: Size, Analyst Coverage and the Profitability of Momentum Strategies ,"
NBER Working Papers
6553, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Lo, Andrew W. (Andrew Wen-Chuan) & MacKinlay, Archie Craig, 1955-, 1992.
"Maximizing predictability in the stock and bond markets ,"
Working papers
3450-92., Massachusetts Institute of Technology (MIT), Sloan School of Management.
[Downloadable!]
Other versions:
Andrew W. Lo & A. Craig MacKinlay, 1995.
"Maximizing Predictability in the Stock and Bond Markets ,"
NBER Working Papers
5027, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted) Lo, Andrew W. & Mackinlay, A. Craig, 1997.
"Maximizing Predictability In The Stock And Bond Markets ,"
Macroeconomic Dynamics ,
Cambridge University Press, vol. 1(01), pages 102-134, January.
[Downloadable!] Mª Victoria Esteban González & Fernando Tusell Palmer, 2009.
"Predicting Betas: Two new methods ,"
BILTOKI
200901, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
[Downloadable!]
Hui Guo & Robert Savickas, 2003.
"On the cross section of conditionally expected stock returns ,"
Working Papers
2003-043, Federal Reserve Bank of St. Louis.
[Downloadable!]
P. Chelley-Steeley, 2004.
"Serial correlation in the returns of UK capitalization based portfolios ,"
Applied Financial Economics ,
Taylor and Francis Journals, vol. 14(13), pages 975-979, September.
[Downloadable!] (restricted)
Stephen J. Brown & William N. Goetzmann & Takato Hiraki & Noriyoshi Shirishi & Masahiro Watanabe, 2003.
"Investor Sentiment in Japanese and U.S. Daily Mutual Fund Flows ,"
NBER Working Papers
9470, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Paul Gao & Kevin X.D. Huang, 2004.
"Aggregate consumption-wealth ratio and the cross-section of stock returns: some international evidence ,"
Research Working Paper
RWP 04-07, Federal Reserve Bank of Kansas City.
[Downloadable!]
Allard Bruinshoofd & Leo de Haan, 2005.
"Financing the New Economy: Are ICT Firms Really That Different? ,"
DNB Working Papers
077, Netherlands Central Bank, Research Department.
[Downloadable!]
Zoran Ivkovich & Scott Weisbenner, 2007.
"Information Diffusion Effects in Individual Investors' Common Stock Purchases Covet Thy Neighbors' Investment Choices ,"
NBER Working Papers
13201, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Lee, Byung-Joo, 2007.
"Uncovered Interest Parity: Cross-sectional Evidence ,"
MPRA Paper
10360, University Library of Munich, Germany.
[Downloadable!]
Linda Allen & Julapa Jagtiani, 1996.
"Risk and Market Segmentation in Financial Intermediaries’ Returns ,"
Center for Financial Institutions Working Papers
96-36, Wharton School Center for Financial Institutions, University of Pennsylvania.
[Downloadable!]
Bruce N. Lehmann, 1990.
"Residual Risk Revisited ,"
NBER Working Papers
1908, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Campbell R. Harvey, 1994.
"Predictable Risk and Returns in Emerging Markets ,"
NBER Working Papers
4621, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Jonathan Lewellen & Jay Shanken, 2000.
"Estimation Risk, Market Efficiency, and the Predictability of Returns ,"
NBER Working Papers
7699, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Hui Guo & Zijun Wang & Jian Yang, 2006.
"Does aggregate relative risk aversion change countercyclically over time? evidence from the stock market ,"
Working Papers
2006-047, Federal Reserve Bank of St. Louis.
[Downloadable!]
Ayub, Mehar, 1998.
"A simulation model of corporate finances: A study of the companies listed on Karachi stock exchange ,"
MPRA Paper
443, University Library of Munich, Germany, revised 2001.
[Downloadable!]
Peter Pope & David Peel & Mark Clatworthy, 2006.
"Are analysts’ loss functions asymmetric? ,"
Working Papers
003094, Lancaster University Management School, Economics Department.
[Downloadable!]
Other versions: Harrison Hong & Jeffrey D. Kubik & Jeremy C. Stein, 2005.
"The Only Game in Town: Stock-Price Consequences of Local Bias ,"
NBER Working Papers
11488, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Elsas, Ralf & Florysiak, David, 2008.
"Empirical Capital Structure Research: New Ideas, Recent Evidence, and Methodological Issues ,"
Discussion Papers in Business Administration
4743, University of Munich, Munich School of Management.
[Downloadable!]
Joseph Chen & Harrison Hong & Jeremy C. Stein, 2001.
"Breadth of Ownership and Stock Returns ,"
NBER Working Papers
8151, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Adelegan, Olatundun, 2006.
"Effects of taxes financing decisions and firm value in Nigeria ,"
Proceedings of the German Development Economics Conference, Berlin 2006
1, Verein für Socialpolitik, Research Committee Development Economics.
[Downloadable!]
Tobias Adrian & Joshua Rosenberg, 2006.
"Stock returns and volatility: pricing the short-run and long-run components of market risk ,"
Staff Reports
254, Federal Reserve Bank of New York.
[Downloadable!]
Other versions: Enrique Sentana, 2008.
"The Econometrics Of Mean-Variance Efficiency Tests: A Survey ,"
Working Papers
wp2008_0807, CEMFI.
[Downloadable!]
Lombardo, Davide & Pagano, Marco, 1999.
"Legal Determinants of the Return on Equity ,"
CEPR Discussion Papers
2275, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
Other versions: Joseph Chen & Harrison Hong & Jeremy C. Stein, 2000.
"Forecasting Crashes: Trading Volume, Past Returns and Conditional Skewness in Stock Prices ,"
NBER Working Papers
7687, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions:
Chen, Joseph & Hong, Harrison & Stein, Jeremy C., 2001.
"Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices ,"
Journal of Financial Economics ,
Elsevier, vol. 61(3), pages 345-381, September.
[Downloadable!] (restricted) G. P. Diacogiannis, 1999.
"A three-dimensional risk-return relationship based upon the inefficiency of a portfolio: derivation and implications ,"
European Journal of Finance ,
Taylor and Francis Journals, vol. 5(3), pages 225-235, September.
[Downloadable!] (restricted)
Bruno Biais & Peter Bossaerts & Chester Spatt, 2003.
"Equilibrium Asset Pricing Under Heterogeneous Information ,"
Levine's Bibliography
666156000000000086, UCLA Department of Economics.
[Downloadable!]
Other versions:
Bruno Biais & Peter Bossaerts & Chester Spatt, .
"Equilibrium Asset Pricing Under Heterogeneous Information ,"
GSIA Working Papers
2003-E42, Carnegie Mellon University, Tepper School of Business.
[Downloadable!] Biais, Bruno & Bossaerts, Peter & Spatt, Chester, 2003.
"Equilibrium Asset Pricing Under Heterogenous Information ,"
IDEI Working Papers
159, Institut d'Économie Industrielle (IDEI), Toulouse.
[Downloadable!] Goldreich, David & Hanke, Bernd & Nath, Purnendu, 2003.
"The Price of Future Liquidity: Time-Varying Liquidity in the US Treasury Market ,"
CEPR Discussion Papers
3900, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
Don U.A. Galagedera, 2004.
"A survey on risk-return analysis ,"
Finance
0406010, EconWPA.
[Downloadable!]
Lewellen, Katharina, 2004.
"Financing Decisions When Managers Are Risk Averse ,"
Working papers
4438-03, Massachusetts Institute of Technology (MIT), Sloan School of Management.
[Downloadable!]
Joelle Miffre, 2003.
"The cross section of expected futures returns and the Keynesian hypothesis ,"
Applied Financial Economics ,
Taylor and Francis Journals, vol. 13(10), pages 731-739, October.
[Downloadable!] (restricted)
Riccardo Cesari & Fabio Panetta, 1998.
"Style, Fees and Performance of Italian Equity Funds ,"
Temi di discussione (Economic working papers)
325, Bank of Italy, Economic Research Department.
[Downloadable!]
Other versions: Michael Rothschild, 1985.
"Asset Pricing Theories ,"
NBER Technical Working Papers
0044, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Attiya Y. Javid & Eatzaz Ahmad, 2008.
"Test of Multi-moment Capital Asset Pricing Model: Evidence from Karachi Stock Exchange ,"
PIDE-Working Papers
2008:49, Pakistan Institute of Development Economics.
[Downloadable!]
David Goldreich & Bernd Hanke & Purnendu Nath, 2005.
"The Price of Future Liquidity: Time-Varying Liquidity in the U.S. Treasury Market ,"
Review of Finance ,
Springer, vol. 9(1), pages 1-32, 03.
[Downloadable!] (restricted)
Tobias Adrian & Francesco Franzoni, 2008.
"Learning about beta: time-varying factor loadings, expected returns, and the conditional CAPM ,"
Staff Reports
193, Federal Reserve Bank of New York.
[Downloadable!]
Other versions:
Franzoni, Francesco & Adrian, Tobias, 2005.
"Learning about Beta: time-varying factor loadings, expected returns and the conditional CAPM ,"
Les Cahiers de Recherche
828, HEC Paris.
[Downloadable!] Francesco FRANZONI & Tobias ADRIAN, .
"Learning about Beta: Time-Varying Factor Loadings, Expected Returns,and the Conditional CAPM ,"
Swiss Finance Institute Research Paper Series
08-36, Swiss Finance Institute.
[Downloadable!] Adrian, Tobias & Franzoni, Francesco, 2009.
"Learning about beta: Time-varying factor loadings, expected returns, and the conditional CAPM ,"
Journal of Empirical Finance ,
Elsevier, vol. 16(4), pages 537-556, September.
[Downloadable!] (restricted) Tobias Adrian & Emanuel Moench, 2008.
"Pricing the term structure with linear regressions ,"
Staff Reports
340, Federal Reserve Bank of New York.
[Downloadable!]
Mark Grinblatt & Bing Han, 2002.
"The Disposition Effect and Momentum ,"
NBER Working Papers
8734, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions:
Mark Grinblatt & Bing Han, 2001.
"The Disposition Effect and Momentum ,"
University of California at Los Angeles, Anderson Graduate School of Management
1019, Anderson Graduate School of Management, UCLA.
[Downloadable!] Bing NMI1 Han & Mark Grinblatt, 2001.
"The Disposition Effect and Momentum ,"
Yale School of Management Working Papers
ysm239, Yale School of Management.
[Downloadable!] Grinblatt, Mark & Han, Bing, 2003.
"The Disposition Effect and Momentum ,"
Working Paper Series
2004-3, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
[Downloadable!] Mika Vaihekoski, 2000.
"Unconditional international asset pricing models: empirical tests ,"
Finnish Economic Papers ,
Finnish Economic Association, vol. 13(2), pages 71-88, Autumn.
[Downloadable!]
Zitzewitz, Eric, 2001.
"Measuring Herding and Exaggeration by Equity Analysts and Other Opinion Sellers ,"
Research Papers
1802, Stanford University, Graduate School of Business.
[Downloadable!]
Ilya A. Strebulaev, 2004.
"Do Tests of Capital Structure Theory Mean What They Say? ,"
Econometric Society 2004 North American Summer Meetings
646, Econometric Society.
[Downloadable!]
Octave JOKUNG & Jean-Christophe MEYFREDI, 2004.
"Improving the Market Model: The 4-State Model Alternative ,"
Finance
0403006, EconWPA.
[Downloadable!]
Abhay Abhyankar & Angelica Gonzalez, 2007.
"What Drives Corporate Bond Market Betas? ,"
ESE Discussion Papers
157, Edinburgh School of Economics, University of Edinburgh.
[Downloadable!]
George Bulkley & Richard Holt, 2007.
"Forecasting Cross-Section Stock Returns using The Present Value Model ,"
ESE Discussion Papers
163, Edinburgh School of Economics, University of Edinburgh.
[Downloadable!]
Hou, Kewei & Peng, Lin & Xiong, Wei, 2006.
"R2 and Price Inefficiency ,"
Working Paper Series
2006-23, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
[Downloadable!]
Kenneth L. Stanley & Wilbur G. Lewehlen & Gary G. Schlarbau-, 1981.
"Further Evidence on the Value of Professional Investment Research ,"
NBER Working Papers
0536, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Juan Monterrey & Amparo Sánchez-Segura, 2006.
"Las características socioeconómicas como incentivos para la información financiera: evidencia empírica española ,"
Investigaciones Economicas ,
Fundación SEPI, vol. 30(3), pages 611-634, September.
[Downloadable!]
Jiang, Danling, 2006.
"Investor Overreaction, Cross-Sectional Dispersion of Firm Valuations, and Expected Stock Returns ,"
Working Paper Series
2006-8, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
[Downloadable!]
Wayne E. Ferson & Andrew F. Siegel & Pisun (Tracy) Xu, 2005.
"Mimicking Portfolios with Conditioning Information ,"
NBER Working Papers
11020, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Thomas Nitschka, 2008.
"Idiosyncratic Consumption Risk and Predictability of the Carry Trade Premium: Euro Area Evidence ,"
IEW - Working Papers
iewwp387, Institute for Empirical Research in Economics - IEW.
[Downloadable!]
Erdinc Altay, 2003.
"The Effect of Macroeconomic Factors on Asset Returns: A Comparative Analysis of the German and the Turkish Stock Markets in an APT Framework ,"
Finance
0307006, EconWPA.
[Downloadable!]
Louis K. C. Chan & Narasimhan Jegadeesh & Josef Lakonishok, 1995.
"Momentum Strategies ,"
NBER Working Papers
5375, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Bradford Cornell & Simon Cheng, 1995.
"Using the DCF Approach to Analyze Cross- sectional Variation in Expected Returns ,"
University of California at Los Angeles, Anderson Graduate School of Management
1139, Anderson Graduate School of Management, UCLA.
[Downloadable!]
Sergio Mayordomo & Juan Ignacio Peña & Eduardo S. Schwartz, 2009.
"Towards a Common European Monetary Union Risk Free Rate ,"
NBER Working Papers
15353, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Ping Hu & Jayant Kale & Ajay Subramanian, 2003.
"Compensation, Career Concerns, and Relative Risk Choices by Mutual Fund Managers: Theory and Evidence ,"
Levine's Bibliography
666156000000000349, UCLA Department of Economics.
[Downloadable!]
Dwight R. Sanders & Scott H. Irwin & Raymond M. Leuthold, 1997.
"Noise Traders, Market Sentiment, and Futures Price Behavior ,"
Finance
9707001, EconWPA.
[Downloadable!]
Wang, Daxue, 2008.
"Herd behavior towards the market index: Evidence from 21 financial markets ,"
IESE Research Papers
D/776, IESE Business School.
[Downloadable!]
Minardi, Andrea Maria Accioly Fonseca & SANVICENTE, Antônio Zoratto & Monteiro, Rogério, 2006.
"Bid-ask spread and liquidity premium in Brazil ,"
Ibmec Working Papers
wpe_51, Ibmec Working Paper, Ibmec São Paulo.
[Downloadable!]
Javed Iqbal & Robert Brooks & Don U.A. Galagedera, 2008.
"Multivariate tests of asset pricing: Simulation evidence from an emerging market ,"
Monash Econometrics and Business Statistics Working Papers
2/08, Monash University, Department of Econometrics and Business Statistics.
[Downloadable!]
Malcolm Baker & Jeffrey Wurgler, 2004.
"Investor Sentiment and the Cross-Section of Stock Returns ,"
NBER Working Papers
10449, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Alberto Giovannini & Philippe Weil, 1989.
"Risk Aversion and Intertemporal Substitution in the Capital Asset Pricing Model ,"
NBER Working Papers
2824, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Keith Cuthbertson & Dirk Nitzsche & Niall O' Sullivan, 2004.
"UK Mutual Fund Performance: Genuine Stock-Picking Ability or Luck ,"
Money Macro and Finance (MMF) Research Group Conference 2004
55, Money Macro and Finance Research Group.
[Downloadable!]
Davide Lombardo & Marco Pagano, 1999.
"Law and Equity Markets: a Simple Model ,"
CSEF Working Papers
25, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
[Downloadable!]
Other versions: Ravi Jagannathan & Zhenyu Wang, 2001.
"Empirical Evaluation of Asset Pricing Models: A Comparison of the SDF and Beta Methods ,"
NBER Working Papers
8098, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Aidan Corcoran, 2009.
"The Determinants of Carry Trade Risk Premia ,"
The Institute for International Integration Studies Discussion Paper Series
iiisdp287, IIIS.
[Downloadable!]
Piet Eichholtz & Hans Op t Veld & Mark Schweitzer, .
"Outperformance: Does Managerial Specialization Pay? ,"
Center for Financial Institutions Working Papers
97-31, Wharton School Center for Financial Institutions, University of Pennsylvania.
[Downloadable!]
Ugur Lel, 2006.
"Currency hedging and corporate governance: a cross-country analysis ,"
International Finance Discussion Papers
858, Board of Governors of the Federal Reserve System (U.S.).
[Downloadable!]
Richard Sweeney & Arthur Warga, 1984.
"The Pricing of Unanticipated Changes in Expected Inflation: Evidence from the Stock Market ,"
University of California at Los Angeles, Anderson Graduate School of Management
1218, Anderson Graduate School of Management, UCLA.
[Downloadable!]
Rani Hoitash & Murugappa (Murgie) Krishnan, 2008.
"Herding, momentum and investor over-reaction ,"
Review of Quantitative Finance and Accounting ,
Springer, vol. 30(1), pages 25-47, January.
[Downloadable!] (restricted)
George Buckley & Richard Holt, 2004.
"Forecasting Cross-Section Stock Returns using Theoretical Prices Estimated from an Econometric Model ,"
ESE Discussion Papers
47, Edinburgh School of Economics, University of Edinburgh.
[Downloadable!]
Post, G.T., 2005.
"A Test for Mean-Variance Efficiency of a given Portfolio under Restrictions ,"
Research Paper
ERS-2005-032-F&A Revision, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni.
[Downloadable!]
Randolph B. Cohen & Paul A. Gompers & Tuomo Vuolteenaho, 2002.
"Who Underreacts to Cash-Flow News? Evidence from Trading between Individuals and Institutions ,"
NBER Working Papers
8793, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Ajay Subramanian & Jonathan Clarke, 2004.
"Dynamic Forecasting Behavior by Analysts: Theory and Evidence ,"
Econometric Society 2004 North American Winter Meetings
546, Econometric Society.
[Downloadable!]
Other versions: Stefan Ruenzi, 2004.
"Mutual Fund Growth in Standard and Specialist Market Segments ,"
Finance
0406005, EconWPA, revised 27 Jun 2004.
[Downloadable!]
Other versions: Fohlin, Caroline & Bossaerts, Peter, 2000.
"The Pricing of Securities Risk in a Universal Banking System: Historical Evidence from Germany ,"
Working Papers
1084, California Institute of Technology, Division of the Humanities and Social Sciences.
[Downloadable!]
Dimitrios Thomakos & Michail Koubouros, 2008.
"The Role of Realized Volatility in the Athens Stock Exchange ,"
Working Papers
0020, University of Peloponnese, Department of Economics.
[Downloadable!]
Wayne E. Ferson & Campbell R. Harvey, 1994.
"Sources of Risk and Expected Returns in Global Equity Markets ,"
NBER Working Papers
4622, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Zhi Da & Re-Jin Guo & Ravi Jagannathan, 2009.
"CAPM for Estimating the Cost of Equity Capital: Interpreting the Empirical Evidence ,"
NBER Working Papers
14889, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Shing-yang Hu, 1997.
"Trading Turnover and Expected Stock Returns: The Trading Frequency Hypothesis and Evidence from the Tokyo Stock Exchange ,"
Finance
9702001, EconWPA.
[Downloadable!]
Richard Kum-yew Lai, 2005.
"Inventory Signals ,"
Microeconomics
0509001, EconWPA.
[Downloadable!]
Other versions: Doran, James & Jiang, Danling & Peterson, David, 2008.
"Gambling Preference and the New Year Effect of Assets with Lottery Features ,"
MPRA Paper
9258, University Library of Munich, Germany, revised 10 Mar 2009.
[Downloadable!]
Robin Brooks & Marco Del Negro, 2003.
"Firm-level evidence on international stock market movement ,"
Working Paper
2003-8, Federal Reserve Bank of Atlanta.
[Downloadable!]
Other versions:
Marco Del Negro & Robin Brooks, 2003.
"Firm-Level Evidence on International Stock Market Comovement ,"
IMF Working Papers
03/55, International Monetary Fund.
[Downloadable!] Brooks, Robin & Del Negro, Marco, 2005.
"Firm-level evidence on international stock market comovement ,"
Discussion Paper Series 1: Economic Studies
2005,11, Deutsche Bundesbank, Research Centre.
[Downloadable!] Robin Brooks & Marco Del Negro, 2006.
"Firm-Level Evidence on International Stock Market Comovement ,"
Review of Finance ,
Oxford University Press for European Finance Association, vol. 10(1), pages 69-98.
[Downloadable!] (restricted) Dimitrios D. Thomakos & Michail S. Koubouros, 2005.
"Realized Volatility and Asymmetries in the A.S.E. Returns ,"
Finance
0504009, EconWPA, revised 17 Jan 2006.
[Downloadable!]
Other versions: Marcello Pericoli & Massimo Sbracia, 2006.
"The CAPM and the risk appetite index; theoretical differences and empirical similarities ,"
Temi di discussione (Economic working papers)
586, Bank of Italy, Economic Research Department.
[Downloadable!]
Peter Bossaerts & Pierre Hillion, 1995.
"Testing the Mean-Variance Efficiency of Well-Diversified Portfolios in Very Large Cross-Sections ,"
Annales d'Economie et de Statistique ,
ADRES, issue 40, pages 07, Octobre-D.
[Downloadable!]
Laura X.L. Liu & Jerold B. Warner & Lu Zhang, 2005.
"Momentum Profits and Macroeconomic Risk ,"
NBER Working Papers
11480, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Stephen J. Brown & William N. Goetzmann & Mark Grinblatt, 1998.
"Positive Portfolio Factors ,"
NBER Working Papers
6412, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Doran, James & Jiang, Danling & Peterson, David, 2007.
"Short-Sale Constraints and the Idiosyncratic Volatility Puzzle: An Event Study Approach ,"
MPRA Paper
4995, University Library of Munich, Germany, revised 02 Feb 2009.
[Downloadable!]
Thomas Nitschka, 2009.
"Momentum in stock market returns, risk premia on foreign currencies and international financial integration ,"
IEW - Working Papers
iewwp405, Institute for Empirical Research in Economics - IEW.
[Downloadable!]
Attiya Y. Javid & Eatzaz Ahmad, 2008.
"The Conditional Capital Asset Pricing Model: Evidence from Karachi Stock Exchange ,"
PIDE-Working Papers
2008:48, Pakistan Institute of Development Economics.
[Downloadable!]
Peter Christoffersen & Kris Jacobs & Gregory Vainberg, 2007.
"Forward-Looking Betas ,"
CREATES Research Papers
2007-39, School of Economics and Management, University of Aarhus.
[Downloadable!]
John Ammer, 1993.
"Macroeconomic risk and asset pricing: estimating the apt with observable factors ,"
International Finance Discussion Papers
448, Board of Governors of the Federal Reserve System (U.S.).
[Downloadable!]
Jonathan Reuter & Eric Zitzewitz, 2005.
"Do Ads Influence Editors? Advertising and Bias in the Financial Media ,"
Finance
0501003, EconWPA.
[Downloadable!]
Other versions: Peter Hecht & Tuomo Vuolteenaho, 2005.
"Explaining Returns with Cash-Flow Proxies ,"
NBER Working Papers
11169, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Hirshleifer, David & Hou, Kewei & Teoh, Siew Hong & Zhang, Yinglei, 2004.
"Do Investors Overvalue Firms with Bloated Balance Sheets? ,"
Working Paper Series
2004-18, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
[Downloadable!]
Other versions:
David Hirshleifer & KEWEI HOU & Siew Hong Teoh & YINGLEI ZHANG, 2004.
"Do Investors Overvalue Firms With Bloated Balance Sheets? ,"
Finance
0412001, EconWPA.
[Downloadable!] Hirshleifer, David & Kewei Hou & Teoh, Siew Hong & Yinglei Zhang, 2004.
"Do investors overvalue firms with bloated balance sheets? ,"
Journal of Accounting and Economics ,
Elsevier, vol. 38(1), pages 297-331, December.
[Downloadable!] (restricted) Post, G.T. & Levy, H., 2002.
"Does Risk Seeking Drive Asset Prices? A stochastic dominance analysis of aggregate investor preferences ,"
Research Paper
ERS-2002-50-F&A Revision_, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni.
[Downloadable!]
Juan-Pedro Gómez & Richard Priestly & Fernando Zapatero, 2003.
"Keeping Up with the Joneses: An International Asset Pricing Model ,"
Economics Working Papers
694, Department of Economics and Business, Universitat Pompeu Fabra.
[Downloadable!]
R.N. Agarwal, 2000.
"Financial integration and capital markets in developing countries: A study of growth, volatility and efficiency in the Indian capital market ,"
Institute of Economic Growth, Delhi Discussion Papers
21, Institute of Economic Growth, Delhi, India.
[Downloadable!]
Javier DePeña & Luis A. Gil-Alana, 2003.
"The explaining role of the Earning-Price Ratio in the Spanish Stock Market ,"
Faculty Working Papers
03/03, School of Economics and Business Administration, University of Navarra.
[Downloadable!]
Kie Wong & Ruth Tan & Wei Liu, 2006.
"The Cross-Section of Stock Returns on The Shanghai Stock Exchange ,"
Review of Quantitative Finance and Accounting ,
Springer, vol. 26(1), pages 23-39, February.
[Downloadable!] (restricted)
Douglas J. Hodgson & Keith Vorkink, 2001.
"Efficient Estimation of Conditional Asset Pricing Models ,"
Cahiers de recherche CREFE / CREFE Working Papers
144, CREFE, Université du Québec à Montréal.
[Downloadable!]
Other versions: Geoffrey Shuetrim, 1998.
"Systematic Risk Characteristics of Corporate Equity ,"
RBA Research Discussion Papers
rdp9802, Reserve Bank of Australia.
[Downloadable!]
Christopher S. Armstrong & Mary E. Barth & Alan D. Jagolinzer & Edward J. Riedl, 2008.
"Market Reaction to the Adoption of IFRS in Europe ,"
Harvard Business School Working Papers
09-032, Harvard Business School.
[Downloadable!]
Chowdhry, Bhagwan & Roll, Richard & Xia, Yihong, 2004.
"Extracting Inflation from Stock Returns to Test Purchasing Power Parity ,"
Working Papers
04-2, University of Pennsylvania, Wharton School, Weiss Center.
[Downloadable!]
Joos, Peter & Plesko, George, 2004.
"Costly Dividend Signaling: The Case of Loss Firms with Negative Cash Flows ,"
Working papers
Costly Dividend Signaling, Massachusetts Institute of Technology (MIT), Sloan School of Management.
[Downloadable!]
Young-Hye Cho & Robert F. Engle, 1999.
"Time-Varying Betas and Asymmetric Effect of News: Empirical Analysis of Blue Chip Stocks ,"
NBER Working Papers
7330, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Luis Muga & Rafael Santamaría, 2009.
"Momentum, market states and investor behavior ,"
Empirical Economics ,
Springer, vol. 37(1), pages 105-130, September.
[Downloadable!] (restricted)
Li, Qing & Vassalou, Maria & Xing, Yuhang, 2001.
"An Investment-Growth Asset Pricing Model ,"
CEPR Discussion Papers
3058, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
Hanno Lustig & Adrien Verdelhan, 2006.
"The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk ,"
Boston University - Department of Economics - Working Papers Series
WP2006-045, Boston University - Department of Economics.
[Downloadable!]
Other versions:
Lustig, H. & Verdelhan, A., 2006.
"The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk ,"
Documents de Travail
155, Banque de France.
[Downloadable!] Adrien Verdelhan & Hanno Lustig, 2005.
"The Cross-Section Of Foreign Currency Risk Premia And Consumption Growth Risk ,"
Boston University - Department of Economics - Working Papers Series
WP2005-019, Boston University - Department of Economics.
[Downloadable!] Hanno Lustig & Adrien Verdelhan, 2007.
"The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk ,"
American Economic Review ,
American Economic Association, vol. 97(1), pages 89-117, March.
[Downloadable!] Bhagwan Chowdhry & Richard Roll & Yihong Xia, 2005.
"Extracting Inflation from Stock Returns to Test Purchasing Power Parity ,"
American Economic Review ,
American Economic Association, vol. 95(1), pages 255-276, March.
[Downloadable!]
Carolyn Sherwood-Call, 1990.
"Assessing regional economic stability: a portfolio approach ,"
Economic Review ,
Federal Reserve Bank of San Francisco, issue Win, pages 17-26.
[Downloadable!]
Zhang, Ge, 2004.
"Market valuation and employee stock options ,"
Working Papers
2003-13, University of New Orleans, Department of Economics and Finance.
[Downloadable!]
Raymond Kan & Cesare Robotti & Jay Shanken, 2009.
"Pricing model performance and the two-pass cross-sectional regression methodology ,"
Working Paper
2009-11, Federal Reserve Bank of Atlanta.
[Downloadable!]
Peter Bossaerts & Caroline Fohlin, 2000.
"Universal Banking and the Pricing of Securities Risk: Historical Evidence from Germany ,"
Econometric Society World Congress 2000 Contributed Papers
1596, Econometric Society.
[Downloadable!]
Gabriel Hawawini & Donald B. Keim, .
"The Cross Section of Common Stock Returns: A Review of the Evidence and Some New Findings ,"
Rodney L. White Center for Financial Research Working Papers
08-99, Wharton School Rodney L. White Center for Financial Research.
[Downloadable!]
Other versions:
Gabriel Hawawini & Donald B. Keim, .
"The Cross Section of Common Stock Returns: A Review of the Evidence and Some New Findings ,"
Rodney L. White Center for Financial Research Working Papers
07-97, Wharton School Rodney L. White Center for Financial Research.
Hawawini, G. & Keim, D.B., 1997.
"The Cross Section of Common Stock Returns: A Review of the Evidence and Some New Findings ,"
INSEAD
97/66, INSEAD, Centre for the Management of Environmental Resources. The European Institute of Business Administration..
Gabriel Hawawini & Donald B. Keim, .
"The Cross Section of Common Stock Returns: A Review of the Evidence and Some New Findings ,"
Rodney L. White Center for Financial Research Working Papers
8-99, Wharton School Rodney L. White Center for Financial Research.
[Downloadable!] Gabriel Hawawini & Donald B. Keim, .
"The Cross Section of Common Stock Returns: A Review of the Evidence and Some New Findings ,"
Rodney L. White Center for Financial Research Working Papers
7-97, Wharton School Rodney L. White Center for Financial Research.
Gentry, James A. & Whitford, David T. & Sougiannis, Theodore & Aoki, Shigeo, 2002.
"Do Accounting Earnings or Free Cash Flows Provide a Better Estimate of Capital Gain Rates of Return on Stocks? ,"
Working Papers
02-0111, University of Illinois at Urbana-Champaign, College of Business.
[Downloadable!]
Robert P. Flood & Andrew K. Rose, 2004.
"Estimating the Expected Marginal Rate of Substitution: Exploiting Idiosyncratic Risk ,"
NBER Working Papers
10805, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Claessens, Stijn & Moon-Whoan Rhee & DEC, 1994.
"The effects of barriers on equity investment in developing countries ,"
Policy Research Working Paper Series
1263, The World Bank.
[Downloadable!]
Andrew Ang & Joseph Chen & Yuhang Xing, 2005.
"Downside Risk ,"
NBER Working Papers
11824, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Cronqvist, Henrik & Heyman, Fredrik & Nilsson, Mattias & Svaleryd, Helena & Vlachos, Jonas, 2006.
"Do Entrenched Managers Pay Their Workers More? ,"
Working Paper Series
2005-23, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
[Downloadable!]
Other versions:
Cronqvist, Henrik & Heyman, Fredrik & Nilsson, Mattias & Svaleryd, Helena & Vlachos, Jonas, 2006.
"Do Entrenched Manager Pay Their Workers More? ,"
SIFR Research Report Series
47, Institute for Financial Research.
[Downloadable!] Cronqvist, Henrik & Heyman, Fredrik & Nilsson, Mattias & Svaleryd, Helena & Vlachos, Jonas, 2005.
"Do Entrenched Managers Pay Their Workers More? ,"
CEPR Discussion Papers
5371, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted) Cronqvist, Henrik & Heyman, Fredrik & Nilsson, Mattias & Svaleryd, Helena & Vlachos, Jonas, 2007.
"Do Entrenched Managers Pay Their Workers More? ,"
Working Paper Series
2007-7, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
[Downloadable!] Henrik Cronqvist & Fredrik Heyman & Mattias Nilsson & Helena Svaleryd & Jonas Vlachos, 2009.
"Do Entrenched Managers Pay Their Workers More? ,"
Journal of Finance ,
American Finance Association, vol. 64(1), pages 309-339, 02.
[Downloadable!] (restricted) Shiyi Chen & Wolfgang Härdle & Rouslan Moro, 2006.
"Estimation of Default Probabilities with Support Vector Machines ,"
SFB 649 Discussion Papers
SFB649DP2006-077, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
[Downloadable!]
Katsuhiko Muramiya & Kazuhisa Otogawa & Tomomi Takada, 2008.
"Abnormal Accrual, Informed Trader, and Long-Term Stock Return: Evidence from Japan ,"
Discussion Paper Series
233, Research Institute for Economics & Business Administration, Kobe University.
[Downloadable!]
Lo, Andrew W. (Andrew Wen-Chuan) & MacKinlay, Archie Craig, 1955-, 1989.
"Data-snooping biases in tests of financial asset pricing models ,"
Working papers
3020-89., Massachusetts Institute of Technology (MIT), Sloan School of Management.
[Downloadable!]
Other versions:
Andrew W. Lo & A. Craig MacKinlay, 1991.
"Data-Snooping Biases in Tests of Financial Asset Pricing Models ,"
NBER Working Papers
3001, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted) Lo, Andrew W & MacKinlay, A Craig, 1990.
"Data-Snooping Biases in Tests of Financial Asset Pricing Models ,"
Review of Financial Studies ,
Oxford University Press for Society for Financial Studies, vol. 3(3), pages 431-67.
[Downloadable!] (restricted) Belén Nieto & Rosa Rodríguez, 2004.
"Modelos De Valoracion De Activos Condicionales: Un Panorama Comparativo Con Datos Españoles ,"
Documentos de Trabajo de EconomÃa de la Empresa
db040202, Universidad Carlos III, Departamento de Economía de la Empresa.
[Downloadable!]
Jonathan B. Berk & Ian Tonks, 2007.
"Return Persistence and Fund Flows in the Worst Performing Mutual Funds ,"
NBER Working Papers
13042, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Bo-Young Chang & Peter Christoffersen & Kris Jacobs & Gregory Vainberg, 2009.
"Option-Implied Measures of Equity Risk ,"
CIRANO Working Papers
2009s-33, CIRANO.
[Downloadable!]
Allan Timmerman & Luis Catão, 2003.
"Country and Industry Dynamics in Stock Returns ,"
IMF Working Papers
03/52, International Monetary Fund.
[Downloadable!]
Other versions: Rajan, Madhav & Reichelstein, Stefan J. & Soliman, Mark T., 2006.
"Conservatism, Growth, and Return on Investment ,"
Research Papers
1956, Stanford University, Graduate School of Business.
[Downloadable!]
Hirshleifer, David & Hou, Kewei & Teoh, Siew Hong, 2006.
"The Accrual Anomaly: Risk or Mispricing? ,"
Working Paper Series
2006-3, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
[Downloadable!]
Other versions: M. Victoria Esteban, 1997.
"Variabilidad predecible en los rendimientos de los activos: Evidencia e implicaciones ,"
Investigaciones Economicas ,
Fundación SEPI, vol. 21(3), pages 523-542, September.
[Downloadable!]
Driscoll, John & Kraay, Aart, 1995.
"Spatial correlations in panel data ,"
Policy Research Working Paper Series
1553, The World Bank.
[Downloadable!]
Dmitry Livdan & Horacio Sapriza & Lu Zhang, 2006.
"Financially Constrained Stock Returns ,"
NBER Working Papers
12555, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Doidge, Craig & Karolyi, G. Andrew & Stulz, Rene, 2007.
"Has New York Become Less Competitive in Global Markets? Evaluating Foreign Listing Choices over Time ,"
Working Paper Series
2007-9, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
[Downloadable!]
Acharya, Viral V & Johnson, Tim, 2005.
"Insider Trading in Credit Derivatives ,"
CEPR Discussion Papers
5180, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
Other versions: A. Craig Burnside, 2007.
"Empirical Asset Pricing and Statistical Power in the Presence of Weak Risk Factors ,"
NBER Working Papers
13357, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Zhilan Feng & Chinmoy Ghosh & C. Sirmans, 2007.
"On the Capital Structure of Real Estate Investment Trusts (REITs) ,"
The Journal of Real Estate Finance and Economics ,
Springer, vol. 34(1), pages 81-105, January.
[Downloadable!] (restricted)
Javier Gómez Biscarri & Germán López Espinosa, .
"Fundamentals and the accruals puzzle ,"
Faculty Working Papers
02/08, School of Economics and Business Administration, University of Navarra.
[Downloadable!]
Yu-chin Chen & Kwok Ping Tsang, 2009.
"What Does the Yield Curve Tell Us About Exchange Rate Predictability? ,"
Working Papers
UWEC-2009-04, University of Washington, Department of Economics.
[Downloadable!]
Other versions: Schrimpf, Andreas & Schröder, Michael & Stehle, Richard, 2006.
"Evaluating conditional asset pricing models for the German stock market ,"
ZEW Discussion Papers
06-43, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
[Downloadable!]
Patrick Coggi & Bogdan Manescu, 2004.
"A multifactor model of stock returns with endogenous regime switching ,"
University of St. Gallen Department of Economics working paper series 2004
2004-01, Department of Economics, University of St. Gallen.
[Downloadable!]
Hanno Lustig & Stijn Van Nieuwerburgh, 2002.
"Housing Collateral, Consumption Insurance and Risk Premia ,"
Macroeconomics
0211008, EconWPA.
[Downloadable!]
Viktor Todorov & Tim Bollerslev, 2007.
"Jumps and Betas: A New Framework for Disentangling and Estimating Systematic Risks ,"
CREATES Research Papers
2007-15, School of Economics and Management, University of Aarhus.
[Downloadable!]
Pandey I M, 2001.
"The Expected Stock Returns of Malaysian Firms: A Panel Data Analysis ,"
IIMA Working Papers
2001-09-01, Indian Institute of Management Ahmedabad, Research and Publication Department.
[Downloadable!]
Hsiu-Lang Chen, 2006.
"On Russell index reconstitution ,"
Review of Quantitative Finance and Accounting ,
Springer, vol. 26(4), pages 409-430, June.
[Downloadable!] (restricted)
Kris Jacobs & Kevin Q. Wang, 2002.
"Idiosyncratic Consumption Risk and the Cross-Section of Asset Returns ,"
CIRANO Working Papers
2002s-11, CIRANO.
[Downloadable!]
Kent Daniel & Sheridan Titman, 2003.
"Market Reactions to Tangible and Intangible Information ,"
NBER Working Papers
9743, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Weber, Martin & Welfens, Frank, 2007.
"How do Markets React to Fundamental Shocks? An Experimental Analysis on Underreaction and Momentum ,"
Sonderforschungsbereich 504 Publications
07-42, Sonderforschungsbereich 504, Universität Mannheim & Sonderforschungsbereich 504, University of Mannheim.
[Downloadable!]
Bernard Dumas & Bruno Solnik, 1993.
"The World Price of Foreign Exchange Risk ,"
NBER Working Papers
4459, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Stijn Claessens & Moon-Whoan Rhee, 1993.
"The Effect of Equity Barriers on Foreign Investment in Developing Countries ,"
NBER Working Papers
4579, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Carl Chen & Peter Lung & F. Wang, 2009.
"Mispricing and the cross-section of stock returns ,"
Review of Quantitative Finance and Accounting ,
Springer, vol. 32(4), pages 317-349, May.
[Downloadable!] (restricted)
Jon A. Christopherson & Wayne E. Ferson & Debra A. Glassman, 1996.
"Conditioning Manager Alphas on Economic Information: Another Look at the Persistence of Performance ,"
NBER Working Papers
5830, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Chang, Xin & Dasgupta, Sudipto & Hilary, Gilles, 2005.
"The Effect of Auditor Choice on Financing Decisions ,"
CEI Working Paper Series
2005-10, Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University.
[Downloadable!]
Muradoglu, Gulnur & Zaman, Asad & Orhan, Mehmet, 2003.
"Measuring the Systematic Risk of IPO’s Using Empirical Bayes Estimates in the Thinly Traded Istanbul Stock Exchange ,"
MPRA Paper
13879, University Library of Munich, Germany.
[Downloadable!]
Joseph Chen & Harrison Hong & Ming Huang & Jeffrey D. Kubik, 2004.
"Does Fund Size Erode Mutual Fund Performance? The Role of Liquidity and Organization ,"
American Economic Review ,
American Economic Association, vol. 94(5), pages 1276-1302, December.
[Downloadable!]
Mª Victoria Esteban González & Susan Orbe Mandaluniz, 2006.
"Nonparametric estimation betas in the Market Model ,"
BILTOKI
200603, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
[Downloadable!]
Tuomo Vuolteenaho, 2001.
"What Drives Firm-Level Stock Returns? ,"
NBER Working Papers
8240, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Haim H. Bau & Yochanan Shachmurove, 2002.
"Chaos Theory And Its Application ,"
Penn CARESS Working Papers
6a7863cdd8e575c9e635b060c, Penn Economics Department.
[Downloadable!]
Claudio Morana, 2008.
"Realized Betas and the Cross-Section of Expected Returns ,"
ICER Working Papers - Applied Mathematics Series
15-2008, ICER - International Centre for Economic Research.
[Downloadable!]
Raymond Kan & Cesare Robotti & Jay Shanken, 2009.
"Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology ,"
NBER Working Papers
15047, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Belén Nieto & Rosa Rodriguez, 2005.
"Modelos de valoración de activos condicionales: Un panorama comparativo ,"
Investigaciones Economicas ,
Fundación SEPI, vol. 29(1), pages 33-71, January.
[Downloadable!]
Ericsson, Johan & Karlsson, Sune, 2003.
"Choosing Factors in a Multifactor Asset Pricing Model: A Bayesian Approach ,"
Working Paper Series in Economics and Finance
524, Stockholm School of Economics, revised 12 Feb 2004.
[Downloadable!]
Bartram, Söhnke M. & Bodnar, Gordon M., 2006.
"Crossing the Lines: The Conditional Relation between Exchange Rate Exposure and Stock Returns in Emerging and Developed Markets ,"
MPRA Paper
14018, University Library of Munich, Germany, revised 02 Nov 2008.
[Downloadable!]
Gerald T. Garvey & Todd T. Milbourn, 2001.
"Do Stock Prices Incorporate the Potential Dilution of Employee Stock Options? ,"
Claremont Colleges Working Papers
2001-09, Claremont Colleges.
[Downloadable!]
Malcolm Baker & Jeremy C. Stein & Jeffrey Wurgler, 2002.
"When Does the Market Matter? Stock Prices and the Investment of Equity-Dependent Firms ,"
NBER Working Papers
8750, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Bjorn Wahlroos & Tom Berglund, 1984.
"Anomalies and Equilibrium Returns in a Small Stock Market ,"
Discussion Papers
589, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
[Downloadable!]
Bruce N. Lehmann & David M. Modest, 2003.
"Diversification and the Optimal Construction of Basis Portfolios ,"
NBER Working Papers
9461, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Sheridan Titman & K.C. John Wei & Feixue Xie, 2003.
"Capital Investments and Stock Returns ,"
NBER Working Papers
9951, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Andreas Reschreiter, 2004.
"Risk factors of inflation-indexed and conventional government bonds and the APT ,"
Money Macro and Finance (MMF) Research Group Conference 2003
79, Money Macro and Finance Research Group.
[Downloadable!]
Mitchell A. Petersen, 2005.
"Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches ,"
NBER Working Papers
11280, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Canegrati, Emanuele, 2008.
"A Non-Random Walk down Canary Wharf ,"
MPRA Paper
9871, University Library of Munich, Germany.
[Downloadable!]
Suwina Cheng & Michael Firth, 2006.
"Family ownership, corporate governance, and top executive compensation ,"
Managerial and Decision Economics ,
John Wiley & Sons, Ltd., vol. 27(7), pages 549-561.
[Downloadable!]
Maria Giduskova & Borja Larrain, 2006.
"International risk-taking, volatility, and consumption growth ,"
Communities and Banking ,
Federal Reserve Bank of Boston.
[Downloadable!]
Dusan Isakov, 1999.
"Is beta still alive? Conclusive evidence from the Swiss stock market ,"
European Journal of Finance ,
Taylor and Francis Journals, vol. 5(3), pages 202-212, September.
[Downloadable!] (restricted)
Other versions: Shaun K. Roache, 2008.
"Commodities and the Market Price of Risk ,"
IMF Working Papers
08/221, International Monetary Fund.
[Downloadable!]
Fernando Rubio, 2004.
"Data Mining Sobre El Beta En España ,"
Finance
0410011, EconWPA.
[Downloadable!]
Shihe Fu & Liwei Shan, 2009.
"Corporate Equality and Equity Prices: Doing Well While Doing Good? ,"
EERI Research Paper Series
EERI_RP_2009_09, Economics and Econometrics Research Institute (EERI).
[Downloadable!]
Other versions: Richard Kum-yew Lai, 2005.
"Inventory and the Stock Market ,"
Finance
0509006, EconWPA.
[Downloadable!]
Other versions: Craig Burnside & Alexandra Tabova, 2009.
"Risk, Volatility, and the Global Cross-Section of Growth Rates ,"
NBER Working Papers
15225, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Joos, Peter & Plesko, George, 2004.
"Valuing Loss Firms ,"
Working papers
562043, Massachusetts Institute of Technology (MIT), Sloan School of Management.
[Downloadable!]
Kothari, S.P. & Lewellen, Jonathan & Warner, Jerold, 2003.
"Stock Returns, Aggregate Earnings Surprises, And Behavioral Finance ,"
Working papers
4284-03, Massachusetts Institute of Technology (MIT), Sloan School of Management.
[Downloadable!]
Anusha Chari & Wenjie Chen & Kathryn M.E. Dominguez, 2009.
"Foreign Ownership and Firm Performance: Emerging-Market Acquisitions in the United States ,"
NBER Working Papers
14786, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Benjamin M. Friedman, 1983.
"The Substitutability Of Debt And Equity Securities ,"
NBER Working Papers
1130, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Javier Gil-Bazo & Pablo Ruiz-Verdu, 2006.
"Yet Another Puzzle? The Relation Between Price And Performance In The Mutual Fund Industry ,"
Business Economics Working Papers
wb066519, Universidad Carlos III, Departamento de Economía de la Empresa.
[Downloadable!]
Michailidis, G., 2009.
"Multivariate methods in examining macroeconomic variables effect on Greek stock market returns, 1997-2004 ,"
Applied Econometrics and International Development ,
Euro-American Association of Economic Development, vol. 9(1).
[Downloadable!] (restricted)
Diether, Karl B. & Lee, Kuan-Hui & Werner, Ingrid M., 2007.
"Can Short-Sellers Predict Returns? Daily Evidence ,"
Working Paper Series
2005-15, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
[Downloadable!]
Bernard Dumas, 1993.
"Partial- Vs. General-Equilibrium Models of the International Capital Market ,"
NBER Working Papers
4446, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
William C. Brainard & Matthew D. Shapiro & John B. Shoven, 1990.
"Fundamental Value and Market Value ,"
NBER Working Papers
3452, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Farah, N. & Satchell, S.E., 2003.
"A Loss Aversion Performance Measure ,"
Cambridge Working Papers in Economics
0333, Faculty of Economics, University of Cambridge.
[Downloadable!]
Juan-Pedro Gómez & Fernando Zapatero, 2001.
"Asset Pricing Implications of Benchmarking: A Two-Factor CAPM ,"
Economics Working Papers
693, Department of Economics and Business, Universitat Pompeu Fabra.
[Downloadable!]
Ana Paula Serra, 2002.
"The Cross-Sectional Determinants of Returns: Evidence from Emerging Markets' Stocks ,"
FEP Working Papers
120, Universidade do Porto, Faculdade de Economia do Porto.
[Downloadable!]
Dahlquist, Magnus & Sallstrom, Torbjorn, 2002.
"An Evaluation of International Asset Pricing Models ,"
CEPR Discussion Papers
3145, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
John M. Griffin & G. Andrew Karolyi, .
"Another Look at the Role of the Industrial Structure of Markets for International Diversification Strategies ,"
Research in Financial Economics
9608, Ohio State University.
[Downloadable!]
Other versions: Yang Ni & Shasha Guo & David E. Giles, 2009.
"Capital Structures in an Emerging Market: A Duration Analysis of the Time Interval Between IPO and SEO in China ,"
Econometrics Working Papers
0905, Department of Economics, University of Victoria.
[Downloadable!]
Bansal, Ravi & Dahlquist, Magnus, 2001.
"Sovereign Risk and Return in Global Equity Markets ,"
CEPR Discussion Papers
3034, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
Andrew Ang & Vineer Bhansali & Yuhang Xing, 2008.
"Taxes on Tax-Exempt Bonds ,"
NBER Working Papers
14496, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Pedro L. Sánchez-Torres & Enrique Sentana, 1998.
"Mean-variance-skewness analysis: an application to risk premia in the Spanish stock market ,"
Investigaciones Economicas ,
Fundación SEPI, vol. 22(1), pages 5-17, January.
[Downloadable!]
Araceli Mora & Ana Gisbert & Beatriz García Osma & Juan M. García Lara, 2004.
"La Comparabilidad De La Información Contable En Europa: Efectos De La Manipulación Contable Sobre El Nivel De Conservadurismo ,"
Working Papers. Serie EC
2004-14, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
[Downloadable!]
Post, G.T. & Vliet, P. van, 2004.
"Conditional Downside Risk and the CAPM ,"
Research Paper
ERS-2004-048-F&A Revision, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni.
[Downloadable!]
Joos, Peter R. & Plesko, George A., 2003.
"Reporting Conservatism, Loss Reversals, and Earnings-based Valuation ,"
Working papers
4262-02, Massachusetts Institute of Technology (MIT), Sloan School of Management.
[Downloadable!]
Gagnon, Louis & Karolyi, G. Andrew, 2007.
"Information, Trading Volume, and International Stock Return Comovements: Evidence from Cross-Listed Stocks ,"
Working Paper Series
2006-11, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
[Downloadable!]
Menkhoff, Lukas & Sarno, Lucio & Schmeling, Maik & Schrimpf, Andreas, 2009.
"Carry Trades and Global FX Volatility ,"
MPRA Paper
14728, University Library of Munich, Germany.
[Downloadable!]
Gur Huberman & Zhenyu Wang, 2005.
"Arbitrage pricing theory ,"
Staff Reports
216, Federal Reserve Bank of New York.
[Downloadable!]
David Schröder, 2005.
"The Implied Equity Risk Premium - An Evaluation of Empirical Methods ,"
Bonn Econ Discussion Papers
bgse13_2005, University of Bonn, Germany.
[Downloadable!]
Richard Sweeney & Arthur Warga, 1984.
"Estimating the Risk Premium on the Market, and Discriminating between the CAPM and APT ,"
University of California at Los Angeles, Anderson Graduate School of Management
1217, Anderson Graduate School of Management, UCLA.
[Downloadable!]
Begoña Basarrate Urizar & Gonzalo Rubio, 1990.
"A note on the seasonality in the risk-return relationship ,"
Investigaciones Economicas ,
Fundación SEPI, vol. 14(2), pages 311-318, May.
[Downloadable!]
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This page was last updated on 2009-12-12.
This information is provided to you by IDEAS at the Department of Economics , College of Liberal Arts and Sciences , University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics .