Ditapis dengan
Do Hot hands exist among hedge fund managers? an empirical evaluation
In measuring performance persistence, we use hedge fund style benchmarks. This allows us to identify managers with valuable skills, and also to control for option-like features inherent in returns from hedge fund strategies. We take into account the possibility that reported asset values may be based on stale prices. We develop a statistical model that relates a hedge fund's performance to its …
- Edisi
- -
- ISBN/ISSN
- 221082
- Deskripsi Fisik
- -
- Judul Seri
- -
- No. Panggil
- -
Lazy investors, discretionary consumption, and the cross-section of stock ret…
When consumption betas of stocks are computed using year-over-year consumption growth based upon the fourth quarter, the consumption-based asset pricing model (CCAPM) explains the cross-section of stock returns as well as the Fama and French (1993) three-factor model. The CCAPM's performance deteriorates substantially when consumption growth is measured based upon other quarters. For the CCAPM …
- Edisi
- -
- ISBN/ISSN
- 221082
- Deskripsi Fisik
- -
- Judul Seri
- -
- No. Panggil
- -
Empirical evaluation of asset-pricing models : a comparison of the SDF and be…
The stochastic discount factor ( SDF ) method provides a unified general framework for econometric analysis of asset-pricing models. There have been concerns that, compared to the classical beta method, the generality of the SDF method comes at the cost of efficiency in parameter estimation and power in specification tests. We establish the correct framework for comparing the two methods and sh…
- Edisi
- -
- ISBN/ISSN
- 00221082
- Deskripsi Fisik
- -
- Judul Seri
- -
- No. Panggil
- -
The stock market's reaction to unemploymant news : why bad news is usually go…
We find that on average, an announcement of rising unemployment is good news for stocks during economic expansions and bad news during economic contractions. Unemployment news bundles three types of primitive information relevant for valuing stocks : information about future interest rates, the equity risk premium, and corporate earnings and dividends. The nature of the information bundle, and …
- Edisi
- -
- ISBN/ISSN
- 00221082
- Deskripsi Fisik
- -
- Judul Seri
- -
- No. Panggil
- -
Karya Umum 
Filsafat 
Agama 
Ilmu-ilmu Sosial 
Bahasa 
Ilmu-ilmu Murni 
Ilmu-ilmu Terapan 
Kesenian, Hiburan, dan Olahraga 
Kesusastraan 
Geografi dan Sejarah