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Working paper
Do Futures Premiums Predict Commodity Producer Returns?
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Working paper
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Working paper
Optimal Transaction Filters Under Transitory Trading Opportunities: Theory and Empirical Illustration
In: Hong Kong Institute for Monetary and Financial Research (HKIMR) Research Paper WP No. 02/2005
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Stock Market Integration, Return Forecastability and Implications for Market Efficiency: A Panel Study
In: Hong Kong Institute for Monetary and Financial Research (HKIMR) Research Paper WP No. 11/2002
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Social Screens and Systematic Boycott Risk
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Reducing the dimensionality of linear quadratic control problems
In: Journal of economic dynamics & control, Volume 31, Issue 1, p. 141-159
ISSN: 0165-1889
Efficient gradualism in intertemporal portfolios
In: Journal of economic dynamics & control, Volume 24, Issue 1, p. 21-38
ISSN: 0165-1889
Periodic learning about a hidden state variable
In: Journal of economic dynamics & control, Volume 17, Issue 5-6, p. 805-827
ISSN: 0165-1889
Actively Learning About Demand and the Dynamics of Price Adjustment
In: The Economic Journal, Volume 100, Issue 402, p. 882
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Working paper
TRANSITORY MARKET STATES AND THE JOINT OCCURRENCE OF MOMENTUM AND MEAN REVERSION
In: The journal of financial research: the journal of the Southern Finance Association and the Southwestern Finance Association, Volume 35, Issue 4, p. 471-495
ISSN: 1475-6803
AbstractIn this article we derive and investigate the implications of the Fama–French and Poterba–Summers model—in which the market price of equity contains permanent and temporary components—to explain cross‐sectional differences in equity risk premia and returns. Shocks to the transitory component are regarded a Merton risk factor. We obtain estimates from a simple Kalman decomposition of the market price. The transitory component estimate is used in a conditional capital asset pricing model to test implications of the model related to predictability, cross‐sectional performance, and the existence of momentum and mean reversion.
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