they estimate liquidity betas, controlling for other factors (size and book-to-market). Pástor/Stambaugh find that returns of stocks with high liquidity betas are about 7. 5%

• Multiply the number of students being tested by 20 Kbps to get an estimate of bandwidth needed, and compare that estimate with a network speed test..

This model suggests that the variance premium of a leader country plays a dominant role in predicting returns for all other countries; a key implication for which I provide

Tilts in the optimal asset allocation in response to changes in bond risk premia exhibit pronounced life-cycle patterns that are markedly different for the real interest rate

any investor with any utility function (which increases with expected return) will prefer

This figure plots the slope of the implied variance term structure which is defined as the di ff erence between the one-year and one-month implied variance together with the Chicago

However, the positive correlation is net of the effect of other factors, which affect both the stock market liquidity and options liquidity, such as VIX and the TED

Since the payoff of both products increases in the value of the underlying asset, financing with RSPs is only beneficial when the correlation is high, i.e., when the values of

Meanwhile, more recent empirical evidence pertaining to the equity risk premium and the pricing of risk at the aggregate market level suggests that the expected returns variation

Point-like sources in the Galactic central region were searched for by ANTARES [ 9 ] and upper limits as a function of the source declination were derived assuming a spectral index

Quantitatively, I find that the optimal Ramsey policy requires pro-cyclical capital ratios that mostly vary between 4% and 6% and depend on the output and bank credit growth, as well

I analyze in greater detail the relationship between the return on the stock and bond turnover hedging portfolio and credit spread changes, and show that the return on the bond

The proposed model of rare events and long-run risks is estimated using a Bayesian Markov-chain Monte-Carlo method, and the estimates for the disaster process are closer to the

While maintaining that probabilities are fully general, recovery is possible if we can parameterize the stochastic discount factor by a number of parameters which is no greater than

Lustig, Roussanov, and Verdelhan (2011) divide the sample in two time subsamples and sort currencies into portfolios on the second subsample based on the time-series average

In the first essay, Effective Monetary Policy at the Zero-Lower-Bound , I show that permanent open market operations (POMOs), defined as financial market interventions that

The first row of each panel reports the average proportion of sector mutual funds and analysts from the segment in question for all firms in each bin, the second and

The documented time-variation in expected futures returns or risk premiums is an- alyzed and confronted with three asset pricing models: the CAPM, the Fama-French three-factor model