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Labor income dynamics at business-cycle frequencies : implications for portfolio choice
Lynch, Anthony W.; Tan, Sinan - 2004
Persistent link: https://www.econbiz.de/10002503182
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Labor income dynamics at business-cycle frequencies : implications for portfolio choice
Lynch, Anthony W.; Tan, Sinan - In: Journal of financial economics 101 (2011) 2, pp. 333-359
Persistent link: https://www.econbiz.de/10009242850
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Explaining the magnitude of liquidity premia : the roles of return predictability, wealth shocks and state-dependent transaction costs
Lynch, Anthony W.; Tan, Sinan - 2004
Persistent link: https://www.econbiz.de/10002499194
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Explaining the magnitude of liquidity premia : the roles of return predictability, wealth shocks, and state-dependent transaction costs
Lynch, Anthony W.; Tan, Sinan - In: The journal of finance : the journal of the American … 66 (2011) 4, pp. 1329-1368
Persistent link: https://www.econbiz.de/10009267672
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Labor Income Dynamics at Business-Cycle Frequencies : Implications for Portfolio Choice
Lynch, Anthony W. - 2004
A large recent literature has focused on multiperiod portfolio choice with labor income, and while the models are elaborate along several dimensions, they all assume that the joint distribution of shocks to labor income and asset returns is i.i.d.. Calibrating this joint distribution to U.S....
Persistent link: https://www.econbiz.de/10012467677
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Explaining the Magnitude of Liquidity Premia : The Roles of Return Predictability, Wealth Shocks and State-Dependent Transaction Costs
Lynch, Anthony W. - 2004
, the impact of transaction costs on per-annum liquidity premia is an order of magnitude smaller than the cost rate itself …. A number of recent papers have formed portfolios sorted on liquidity measures and found a spread in expected per … empirical magnitude of the liquidity premium by examining dynamic portfolio choice with transaction costs in a variety of more …
Persistent link: https://www.econbiz.de/10012467693
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Correlations
Ehling, Paul; Heyerdahl-Larsen, Christian - 2014
Persistent link: https://www.econbiz.de/10011788857
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Large scale mean-variance strategies in the U.S. stock market
Pezzo, Luca; Wang, Lei; Zirek, Duygu - In: Research in international business and finance 66 (2023), pp. 1-20
Persistent link: https://www.econbiz.de/10014462513
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Paper profits from value, size and momentum : Evidence from the Polish market
Zaremba, Adam; Konieczka, Przemysław - In: E-Finanse : finansowy kwartalnik internetowy 11 (2015) 3, pp. 58-69
factor premiums are present after accounting for liquidity constraints. Fourth, we check whether the factor premiums are …, but they disappear after accounting for transaction costs and liquidity. …
Persistent link: https://www.econbiz.de/10011455379
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The time variation of liquidity risk in US stock markets
Ludwig, Michael - In: Credit and capital markets : Kredit und Kapital 51 (2018) 2, pp. 205-225
Persistent link: https://www.econbiz.de/10011946201