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ABSTRACT We propose two data‐based performance measures for asset pricing models and apply them to models with recursive utility and habits. Excess returns on risky securities are reflected ...
We model the time‐series relation between price and intrinsic value as a cointegrated system, so that price and value are long ‐term convergent. In this framework, we compare the performance ...
effect (Harris, 1986). Fama and French (1988) and Poterba and Summers (1988) find that long horizon returns display negative serial correlation. Other researchers have investigated the relationship between ...
—and the market return on the issue date of IPOs are related to their under- or overpricing. The intermediate and long -run performance in the pricing of IPOs are relatively under-researched. Examples of research ...
explains both anomalies. I. Introduction Fama and French (1993) propose a three‐factor model as an alternative to the capital asset pricing model (CAPM) to explain security returns. They show ...
is required to make sharp inferences about risk over long horizons . In this context, asset pricing theory could provide additional guidance about important aspects of the return process for which the sample ...
Abstract I discuss a new method for measuring the deviations between actual transaction prices and implicit efficient prices . The approach decomposes security transaction prices into random-walk ...
by a simple trading strategy that is based on predictions. Selling/buying signals are based on the difference between the current spot price and the forecast for horizon h. Positive returns are executed as long ...
trade to correct relative mispricing, their trades do not correct fundamental mispricing. Thus, in the long term, the prices of both the ETF and the underlying assets exhibit return predictability ...
of COVID-19. We compare the prediction performance pre-COVID-19 with results during COVID-19 to evaluate the ability of Bayesian neural networks given drastic changes in the stock price . We note ...
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