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Citations for "Economic tracking portfolios"

by Lamont, Owen A.

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  1. Bruno, Salvatore & Chincarini, Ludwig, 2010. "A historical examination of optimal real return portfolios for non-US investors," Review of Financial Economics, Elsevier, vol. 19(4), pages 161-178, October.
  2. Motohiro Yogo & Leonid Kogan & Joao Gomes, 2007. "Durability of Output and Expected Stock Returns," 2007 Meeting Papers 432, Society for Economic Dynamics.
  3. Igor Makarov & D. Papanikolaou, 2008. "Sources of systematic risk," LSE Research Online Documents on Economics 53906, London School of Economics and Political Science, LSE Library.
  4. Bange, Mary M. & Miller, Thomas Jr., 2004. "Return momentum and global portfolio allocations," Journal of Empirical Finance, Elsevier, vol. 11(4), pages 429-459, September.
  5. Apergis, Nicholas & Artikis, Panagiotis & Sorros, John, 2011. "Asset pricing and foreign exchange risk," Research in International Business and Finance, Elsevier, vol. 25(3), pages 308-328, September.
  6. Aretz, Kevin & Bartram, Söhnke M. & Pope, Peter F., 2010. "Macroeconomic Risks and Characteristic-Based Factor Models," MPRA Paper 47344, University Library of Munich, Germany.
  7. Anthony W. Lynch, 2000. "Portfolio Choice and Equity Characteristics: Characterizing the Hedging Demands Induced by Return Predictability," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-073, New York University, Leonard N. Stern School of Business-.
  8. Kapadia, Nishad, 2011. "Tracking down distress risk," Journal of Financial Economics, Elsevier, vol. 102(1), pages 167-182, October.
  9. Grammig, Joachim & Jank, Stephan, 2013. "Creative destruction and asset prices," University of Tuebingen Working Papers in Economics and Finance 61, University of Tuebingen, Faculty of Economics and Social Sciences.
  10. Junttila, Juha, 2007. "Forecasting the macroeconomy with contemporaneous financial market information: Europe and the United States," Review of Financial Economics, Elsevier, vol. 16(2), pages 149-175.
  11. Locarno, Alberto & Massa, Massimo, 2005. "Monetary Policy Uncertainty and the Stock Market," CEPR Discussion Papers 4828, C.E.P.R. Discussion Papers.
  12. Balduzzi, Pierluigi & Robotti, Cesare, 2010. "Asset pricing models and economic risk premia: A decomposition," Journal of Empirical Finance, Elsevier, vol. 17(1), pages 54-80, January.
  13. Hong, Harrison & Torous, Walter & Valkanov, Rossen, 2002. "Do Industries Lead the Stock Market? Gradual Diffusion of Information and Cross-Asset Return Predictability," University of California at Los Angeles, Anderson Graduate School of Management qt6x49x543, Anderson Graduate School of Management, UCLA.
  14. Christopher T. Downing & Francis A. Longstaff & Michael A. Rierson, 2012. "Inflation Tracking Portfolios," NBER Working Papers 18135, National Bureau of Economic Research, Inc.
  15. Ron Balvers & Ding Du & Xiaobing Zhao, 2009. "What Do Financial Markets Reveal about Global Warming?," Working Papers 09-04, Department of Economics, West Virginia University.
  16. Mu-Shun Wang, 2013. "Idiosyncratic Volatility and the Expected Stock Returns for Exploring the Relationship with Panel Threshold Regression," Asia-Pacific Financial Markets, Springer, vol. 20(2), pages 113-129, May.
  17. Roll, Richard & Schwartz, Eduardo & Subrahmanyam, Avanidhar, 2014. "Trading activity in the equity market and its contingent claims: An empirical investigation," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 13-35.
  18. Nikolaos Sgouropoulos & Qiwei Yao & Claudia Yastremiz, 2014. "Matching a distribution by matching quantiles estimation," LSE Research Online Documents on Economics 57221, London School of Economics and Political Science, LSE Library.
  19. Pierluigi Balduzzi & Cesare Robotti, 2005. "Mimicking portfolios, economic risk premia, and tests of multi-beta models," Working Paper 2005-04, Federal Reserve Bank of Atlanta.
  20. Chou, Pin-Huang & Ho, Po-Hsin & Ko, Kuan-Cheng, 2012. "Do industries matter in explaining stock returns and asset-pricing anomalies?," Journal of Banking & Finance, Elsevier, vol. 36(2), pages 355-370.
  21. Andreas Reschreiter, 2010. "Indexed bonds and revisions of inflation expectations," Annals of Finance, Springer, vol. 6(4), pages 537-554, October.
  22. Belo, Frederico & Gala, Vito D. & Li, Jun, 2013. "Government spending, political cycles, and the cross section of stock returns," Journal of Financial Economics, Elsevier, vol. 107(2), pages 305-324.
  23. Vassalou, Maria, 2001. "News Related to Future GDP Growth as a Risk Factor in Equity Returns," CEPR Discussion Papers 3057, C.E.P.R. Discussion Papers.
  24. Owen Lamont, 1999. "Economic Tracking Portfolios," NBER Working Papers 7055, National Bureau of Economic Research, Inc.
  25. Kim, Dongcheol & Kim, Tong Suk & Min, Byoung-Kyu, 2011. "Future labor income growth and the cross-section of equity returns," Journal of Banking & Finance, Elsevier, vol. 35(1), pages 67-81, January.
  26. Andrew Ang & Robert J. Hodrick & Yuhang Xing & Xiaoyan Zhang, 2004. "The Cross-Section of Volatility and Expected Returns," NBER Working Papers 10852, National Bureau of Economic Research, Inc.
  27. Junttila, Juha, 2002. "Forecasting the macroeconomy with current financial market information: Europe and the United States," Research Discussion Papers 2/2002, Bank of Finland.
  28. Peter Christoffersen & Eric Ghysels & Norman R. Swanson, 2001. "Let's Get "Real"" about Using Economic Data"," CIRANO Working Papers 2001s-44, CIRANO.
  29. Jank, Stephan, 2012. "Mutual fund flows, expected returns, and the real economy," Journal of Banking & Finance, Elsevier, vol. 36(11), pages 3060-3070.
  30. Mark J. Flannery & Aris A. Protopapadakis, 2002. "Macroeconomic Factors Do Influence Aggregate Stock Returns," Review of Financial Studies, Society for Financial Studies, vol. 15(3), pages 751-782.
  31. Christopher Malloy & Tobias Moskowitz, 2005. "Human Capital Risk, Stockholder Consumption, and Asset Returns," 2005 Meeting Papers 123, Society for Economic Dynamics.
  32. Hsu, Po-Hsuan & Huang, Dayong, 2010. "Technology prospects and the cross-section of stock returns," Journal of Empirical Finance, Elsevier, vol. 17(1), pages 39-53, January.
  33. Lim, G.C., 2005. "Currency risk in excess equity returns: a multi time-varying beta approach," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 15(3), pages 189-207, July.
  34. Lynch, Anthony W., 2001. "Portfolio choice and equity characteristics: characterizing the hedging demands induced by return predictability," Journal of Financial Economics, Elsevier, vol. 62(1), pages 67-130, October.
  35. Harju, Kari & Hussain, Mujahid, 2006. "Intraday Seasonalities and Macroeconomic News Announcements," Working Papers 512, Hanken School of Economics.
  36. Khaled Hussainey & Le Khanh Ngoc, 2009. "The impact of macroeconomic indicators on Vietnamese stock prices," Journal of Risk Finance, Emerald Group Publishing, vol. 10(4), pages 321-332, August.
  37. Du, Ding & Denning, Karen & Zhao, Xiaobing, 2012. "Real aggregate activity and stock returns," Journal of Economics and Business, Elsevier, vol. 64(5), pages 323-337.
  38. Cesare Robotti, 2001. "The price of inflation and foreign exchange risk in international equity markets," Working Paper 2001-26, Federal Reserve Bank of Atlanta.
  39. William Barnett & Shu Wu, 2004. "On user costs of risy monetary assets," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 200404, University of Kansas, Department of Economics, revised Jun 2004.
  40. 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.
  41. Hong, Harrison & Torous, Walter & Valkanov, Rossen, 2007. "Do industries lead stock markets?," Journal of Financial Economics, Elsevier, vol. 83(2), pages 367-396, February.
  42. Du, Ding & Hu, Ou, 2012. "Exchange rate risk in the US stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(1), pages 137-150.
  43. Rangvid, Jesper, 2002. "Output and Expected Returns - a multicountry study," Working Papers 2002-8, Copenhagen Business School, Department of Finance.
  44. George M. Korniotis & Alok Kumar, 2008. "Do behavioral biases adversely affect the macro-economy?," Finance and Economics Discussion Series 2008-49, Board of Governors of the Federal Reserve System (U.S.).
  45. William Goetzmann & Akiko Watanabe & Masahiro Watanabe, 2008. "Investor Expectations, Business Conditions, and the Pricing of Beta-Instability Risk," Yale School of Management Working Papers amz2656, Yale School of Management, revised 01 Jan 2009.
  46. Annette Nguyen & Robert Faff & Philip Gharghori, 2009. "Are the Fama–French factors proxying news related to GDP growth? The Australian evidence," Review of Quantitative Finance and Accounting, Springer, vol. 33(2), pages 141-158, August.
  47. Nico Valckx, 2004. "The decomposition of US and Euro area stock and bond returns and their sensitivity to economic state variables," The European Journal of Finance, Taylor & Francis Journals, vol. 10(2), pages 149-173.
  48. Balvers, Ronald & Du, Ding & Zhao, Xiaobing, 2012. "The Adverse Impact of Gradual Temperature Change on Capital Investment," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 124676, Agricultural and Applied Economics Association.
  49. Pierluigi Balduzzi & Cesare Robotti, 2001. "Minimum-variance kernels, economic risk premia, and tests of multi-beta models," Working Paper 2001-24, Federal Reserve Bank of Atlanta.
  50. Xiao, Yuchao & Faff, Robert & Gharghori, Philip & Min, Byoung-Kyu, 2013. "Pricing innovations in consumption growth: A re-evaluation of the recursive utility model," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4465-4475.
  51. Junttila, Juha & Kinnunen, Heli, 2004. "The performance of economic tracking portfolios in an IT-intensive stock market," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(4), pages 601-623, September.
  52. Rapach, David E. & Wohar, Mark E. & Rangvid, Jesper, 2005. "Macro variables and international stock return predictability," International Journal of Forecasting, Elsevier, vol. 21(1), pages 137-166.
  53. Yee Loon, 2011. "Model uncertainty, performance persistence and flows," Review of Quantitative Finance and Accounting, Springer, vol. 36(2), pages 153-205, February.
  54. Du, Ding, 2014. "Persistent exchange-rate movements and stock returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 28(C), pages 36-53.
  55. Junttila, Juha & Korhonen, Marko, 2011. "Utilizing financial market information in forecasting real growth, inflation and real exchange rate," International Review of Economics & Finance, Elsevier, vol. 20(2), pages 281-301, April.
  56. Sharma, Susan Sunila & Narayan, Paresh Kumar, 2014. "New evidence on turn-of-the-month effects," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 29(C), pages 92-108.
  57. Vassalou, Maria, 2003. "News related to future GDP growth as a risk factor in equity returns," Journal of Financial Economics, Elsevier, vol. 68(1), pages 47-73, April.
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