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Globalization and Asset Returns
Annual Review of Financial Economics, 2016We provide a comprehensive analysis of the impact of economic and financial globalization on asset return comovements over the past 35 years. Our globalization indicators draw a distinction between de jure openness that results from changes in the regulatory environment and de facto or realized openness, as well as between capital market restrictions ...
Geert Bekaert +3 more
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Labour Relations and Asset Returns
Review of Economic Studies, 2002zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Jean-Pierre Danthine, John B. Donaldson
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Sunspots and predictable asset returns
Journal of Economic Theory, 2004zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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A Multifractal Model of Asset Returns [PDF]
, 1997 This paper presents the multifractal model of asset returns ("MMAR"), based upon the pioneering research into multifractal measures by Mandelbrot (1972, 1974). The multifractal model incorporates two elements of Mandelbrot's past research that are now well-known in finance.
Laurent Calvet +2 more
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The Journal of Alternative Investments, 2008
This article reviews research on momentum in asset markets, with an emphasis on research involving momentum in commodity markets. Commodity markets are different than the markets for financial assets, such as stocks and bonds. Storage costs, inventory levels, and hedging demand by suppliers and producers influence commodity prices in ways that may not ...
Thomas Schneeweis +2 more
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This article reviews research on momentum in asset markets, with an emphasis on research involving momentum in commodity markets. Commodity markets are different than the markets for financial assets, such as stocks and bonds. Storage costs, inventory levels, and hedging demand by suppliers and producers influence commodity prices in ways that may not ...
Thomas Schneeweis +2 more
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Martingale Analysis for Assets with Discontinuous Returns
Mathematics of Operations Research, 1995The equivalent martingale measure approach is applied to a financial market subject to jump-diffusion uncertainty. The uncertainty in the market is caused by a multidimensional Brownian motion process and a multidimensional point process of jumps admitting stochastic intensity.
Indrajit Bardhan, Xiuli Chao
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Journal of Financial Economics, 1977
Abstract We estimate the extent to which various assets were hedges against the expected and unexpected components of the inflation rate during the 1953–1971 period. We find that U.S. government bonds and bills were a complete hedge against expected inflation, and private residential real estate was a complete hedge against both expected and ...
Eugene F. Fama, G.William Schwert
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Abstract We estimate the extent to which various assets were hedges against the expected and unexpected components of the inflation rate during the 1953–1971 period. We find that U.S. government bonds and bills were a complete hedge against expected inflation, and private residential real estate was a complete hedge against both expected and ...
Eugene F. Fama, G.William Schwert
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2019
Abstract This section is about Article 57 of the United Nations Convention Against Corruption (UNCAC), dealing with Return and Disposal of ...
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Abstract This section is about Article 57 of the United Nations Convention Against Corruption (UNCAC), dealing with Return and Disposal of ...
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