Holding Period Return-Risk Modeling: Ambiguity in Estimation [PDF]
In this paper we explore the theoretical and empirical problems of estimating average(excess) return and risk of US equities over various holding periods and sampleperiods.
Hallerbach, W.G.P.M.
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Spanning and Intersection: a stochastic dominance approach [PDF]
We propose linear programming tests for spanning and intersection based on stochasticdominance rather than mean-variance analysis. An empirical application investigates thediversification benefits to US investors from emerging equity markets.stochastic ...
Post, G.T.
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Two Curves, One Price :Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves [PDF]
We revisit the problem of pricing and hedging plain vanilla single-currency interest rate derivatives using multiple distinct yield curves for market coherent estimation of discount factors and forward rates with dierent underlying rate tenors.
Bianchetti, Marco
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Prime property institutions for a subprime era: Toward innovative models of homeownership [PDF]
This Article breaks new ground toward contractual and institutional innovation in models of homeownership, equity building, and mortgage enforcement. Inspired by recent developments in the affordable housing sector and other types of public financing ...
Amnon Lehavi, Benito Arruñada
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Stock Market Predictability in the MENA: Evidence from New Variance Ratio Tests and Technical Trade Analysis [PDF]
The objective of this paper is to test for predictability in the Middle-Eastern North African (MENA) markets by investigating both the weak-form efficiency hypothesis (WFEMH) and the presence of abnormal returns.
Brian M Lucey, Thomas Lagoarde Segot
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, 2019 This study examines the causal link between financial development and economic growth in the High Performance Asian Economies (HPAEs). The newly developed panel causality testing approach of Emirmahmutoglu and Kose (2011) which controls for both cross-sectional dependency and heterogeneity across countries is applied to the 7 HPAEs for the period 1989 ...
openaire +1 more source
Research on Forecasting: A Quarter-Century Review, 1960-1984 [PDF]
Before 1960, little empirical research was done on forecasting methods. Since then, the literature has grown rapidly, especially in the area of judgmental forecasting.
JS Armstrong
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Asymmetric connectedness of stocks: How does bad and good volatility spill over the U.S. stock market? [PDF]
, 2014 Asymmetries in volatility spillovers are highly relevant to risk valuation and portfolio diversification strategies in financial markets. Yet, the large literature studying information transmission mechanisms ignores the fact that bad and good volatility
Barunik, Jozef +2 more
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ROLE OF ACCOUNTING INFORMATION SYSTEM DIGITALIZATION ON OPERATIONAL EFFICIENCY OF SMEs IN ILORIN
Malete Journal of Accounting and FinanceThis study examines how the operational efficiency of small and medium-sized businesses (SMEs) in Ilorin, Nigeria, is affected by digitalized accounting information systems.
Azeez Abiodun Ajibola +2 more
doaj
Robust Bartlett adjustment for hypotheses testing on cointegrating vectors: A bootstrap approach [PDF]
, 2012 Johansen's (2000) Bartlett correction factor for the LR test of linear restrictions on cointegrated vectors is derived under the i.i.d. Gaussian assumption for the innovation terms.
Canepa, A
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