Isthmin-1 (Ism1) modulates renal branching morphogenesis and mesenchyme condensation during early kidney development. [PDF]
Nat Commun, 2023 Gao G +7 more
europepmc +1 more source
Research on interaction of innovation spillovers in the AI, Fin-Tech, and IoT industries: considering structural changes accelerated by COVID-19. [PDF]
Financ Innov, 2023 Ho CM.
europepmc +1 more source
Efficient Estimation of Conditional Asset Pricing Models [PDF]
A semiparametric efficient estimation procedure is developed for the parameters of multivariate GARCH-in-mean models when the disturbances have a distribution that is assumed to be elliptically symmetric but is otherwise unrestricted.
Douglas J. Hodgson, Keith Vorkink
core
Changing vulnerability in Asia: contagion and spillovers. [PDF]
Empir Econ, 2023 Kangogo M, Dungey M, Volkov V.
europepmc +1 more source
C-CAPM and the Cross-Section of Sharpe Ratios [PDF]
This paper studies if the consumption-based asset pricing model can explain the cross-section of Sharpe ratios. The CRRA model and several extensions (habit persistence, recursive utility and idiosyncratic shocks) all imply that the Sharpe ratio is ...
Söderlind, Paul
core
Conditional CAPM: Time-varying Betas in the Brazilian Market
Revista Brasileira de Finanças, 2014 The conditional CAPM is characterized by time-varying market beta. Based on state-space models approach, beta behavior can be modeled as a stochastic process dependent on conditioning variables related to business cycle and estimated using Kalman filter. This paper studies alternative models for portfolios sorted by size and book-to-market ratio in the
Frances Fischberg Blank +3 more
openaire +1 more source
Impact of consumer confidence on the expected returns of the Tokyo Stock Exchange: A comparative analysis of consumption and production-based asset pricing models. [PDF]
PLoS One, 2020 Rojo-Suárez J, Alonso-Conde AB.
europepmc +1 more source
RAISE YOUR GLASS: WINE INVESTMENT AND THE FINANCIAL CRISIS [PDF]
This paper uses auction hammer prices over the period 1996-2009, with a special emphasis on periods of economic downturns, to examine risk, return and diversification benefits of fine wine.
Masset, Philippe +1 more
core +1 more source
Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Behavior [PDF]
This paper studies the ability of a general class of habit-based asset pricing models to match the conditional moment restrictions implied by asset pricing theory.
Sydney C. Ludvigson, Xiaohong Chen
core
The relation between time-series and cross-sectional effects of idiosyncratic variance on stock returns in G7 countries [PDF]
This paper suggests that CAPM-based idiosyncratic variance (IV) correlates negatively with future stock returns because it is a proxy for loadings on discount-rate shocks in Campbell*s (1993) ICAPM.
Hui Guo, Robert Savickas
core