Long horizon predictability: An asset allocation perspective
Consider investors with a 10-year investment horizon who rebalance their portfolio at the
monthly frequency. Should they use information from monthly returns, 10-year returns or …
monthly frequency. Should they use information from monthly returns, 10-year returns or …
The exact distribution of the Hansen–Jagannathan bound
R Kan, C Robotti - Management Science, 2016 - pubsonline.informs.org
Under the assumption of multivariate normality of asset returns, this paper presents a
geometric interpretation and the finite-sample distributions of the sample Hansen …
geometric interpretation and the finite-sample distributions of the sample Hansen …
Analytical cyclical price-dividend ratios
F Mignanego, A Sbuelz - Available at SSRN 3006719, 2017 - papers.ssrn.com
How non-linear are log price-dividend ratios in the fundamental state variables? We work
out a novel formula for the price-dividend ratio within a parsimonious affine model to study …
out a novel formula for the price-dividend ratio within a parsimonious affine model to study …
[图书][B] Essays in asset pricing
A Kane - 2024 - search.proquest.com
I investigate determinants of equity and bond returns. In Chapter 2, I link product pricing
behavior to firms' equity returns. Firms with less responsive product pricing earn higher …
behavior to firms' equity returns. Firms with less responsive product pricing earn higher …