[PDF] Top 20 The fine structure of asset returns: an empirical investigation
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The fine structure of asset returns: an empirical investigation
... We conclude that the statistical and risk-neutral processes for equity prices are pure jump processes of infinite activity and finite variation.... Journal of BiLslness.[r] ... See full document
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Essays on Fine Structure of Asset Returns, Jumps, and Stochastic Volatility
... Interesting feature unexploited yet is that I can show theoretically whether VG or NIG processes can mimic the role of stochastic volatility, at least, in high-frequency data such as daily or weekly time horizons. If so, ... See full document
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An empirical investigation of UK option returns: overpricing and the role of higher systematic moments
... Capital Asset Pricing Model (CAPM) assumes either that all asset returns are normally distributed or that investors have mean-variance ...Given empirical observations of asset ... See full document
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Essays in empirical asset pricing
... affine asset pricing framework with a parsimonious mix of macro variables and bond factors for the joint pricing of bonds and ...bond returns that jointly accommodate the mean and volatility of equity and ... See full document
182
An empirical investigation of changes in asset ownership patterns: Microeconomic aspects and macroeconomic consequences
... financial structure and on the portfolio composition of households and firms, as well as liquidity constraints affecting consumption ...financial structure have differed over recent years, with a rapid ... See full document
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What Does Rebalancing Really Achieve?
... such empirical regularities is very different from the claim made in the theoretical literature that rebalancing strategies automatically outperform even when asset returns follow a geometric ... See full document
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Benchmark models of expected returns in U.K. portfolio performance : an empirical investigation
... gross returns of the three-month U.K. Treasury Bill, monthly excess returns of eighteen portfolios sorted by size and DY, and the scaled monthly excess returns of the size/DY portfolios between ... See full document
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Dynamic Relationship Between Capital Structure and Quoted Manufacturing Firms’ Performance in Nigeria
... includes returns on asset (ROA) measured as net income divided by asset, profit margin (PRM) measured as earnings before tax divided by total asset, short term loan (STD) measured as loans ... See full document
6
Time varying volatility and returns on ordinary shares: An empirical investigation
... autocorrelation structure, temporal and contemporaneous aggregation, forecasting, ...the empirical success of ARCH models, since it avoids some of its criticisms without departing significantly from the ... See full document
204
Asset prices and international spillovers: an empirical investigation
... improving empirical models of stock ...stock returns for a particular index respond not only to the disequilibrium in the relevant stock index market but also to disequilibria in stock index markets that ... See full document
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Bayesian estimation of the fractional Ornstein- Uhlenbeck instantaneous rate of asset return process: Evidence from high-frequency stock price data
... in asset returns and a stochastic trending behavior for log prices, a well-known stylized feature of asset prices generated by competitive ...and empirical evidence of long ... See full document
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Empirical modeling of the fine particle fraction for carrier-based pulmonary delivery formulations
... Abstract: In vitro study of the deposition of drug particles is commonly used during development of formulations for pulmonary delivery. The assay is demanding, complex, and depends on: properties of the drug and carrier ... See full document
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Predictability in international asset returns : a re examination
... excess returns in equity and foreign exchange markets are assumed to be constant, and are therefore ...excess returns is equivalent to imposing a constant risk premium, and is consistent with the standard ... See full document
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Essays on empirical asset pricing
... This table reports regressions of earnings announcement day returns, and SEO and M&A activities on primary industry classification changes. The dependent variable in columns 1 and 2 is an 𝐸𝑞𝑢𝑖𝑡𝑦 𝐼𝑠𝑠𝑢𝑎𝑛𝑐𝑒 dummy ... See full document
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The predictability of asset returns in the BRICS countries: a nonparametric approach
... The empirical results provide mixed results in the determination of a more accurate model. Unfortunately, there is no exact methodology to determine which comparative technique is the best at distinguishing ... See full document
26
An Empirical Investigation of Color Temperature and Gender Effects on Web Aesthetics
... Furthermore, while there was limited literature regarding the hypothesis that classical aesthetics directly impact expressive aesthetics, this study offers strong support for this relationship. A significant implication ... See full document
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Empirical Relation of the Fine Structure Constant with the Transference Number Concept
... [13] Jarzynski, C. (2012) Work and Information Processing in a Solvable Model of Maxwell’s Demon. Proceedings of National Academy of Sciences of the United States of America , 109, 11641-11645. ... See full document
8
Moderation of Information Systems in The Effect of Asset Inventory on Regional Government Asset Optimization
... that asset management itself can be divided into five stages of work, the first is ...inventory. Asset inventory consists of two aspects, namely physical and juridical / legal ... See full document
8
Groll, Christian (2018): Dynamic risk management of multi-asset portfolios. Dissertation, LMU München: Fakultät für Mathematik, Informatik und Statistik
... risk-free asset will extend existing investment ...risk-free asset and the tangency portfolio ...risk-free asset, the single-period portfolio choice does not need to be made robust against estimation ... See full document
151
Essays In Empirical Asset Pricing
... The institutional organization of the financial market in a particular country may be infor- mative about the perspective predictors. For some countries, such as France and Germany, banks play a central role in financial ... See full document
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