Search Results - isPartOf:"FAME Research Paper Series"

Understanding Default Risk and Ttc Ratings Through Hazard Rates

Couderc, Fabien - 2011

This paper investigates the dynamics of default probabilities implied by Through-The-Cycle (TTC) ratings and default events. Using a Standard amp; Poor's database, we show that aging ereg;ects determine probability changes in the short term after a rating assignment, while the business cycle...

Persistent link: https://www.econbiz.de/10012714737

Geographical Versus Industrial Diversification: A Mean Variance Spanning Approach

Ehling, Paul; Ramos, Sofia B. - 2003

FAME lectures, the Research Day/Annual Meeting, and the Research Paper Series. The FAME Research Paper Series includes … by our name. I am delighted to serve as coordinator of the FAME Research Paper Series. Please contact me if you are …

Persistent link: https://www.econbiz.de/10005843478

False discoveries in mutual fund performance : measuring luck in estimated alphas

Barras, Laurent (contributor); Scaillet, Olivier (contributor) - 2005

Persistent link: https://www.econbiz.de/10003287288

A latent factor model for ordinal data to measure multivariate predictive ability of financial market movements

Huber, Philippe (contributor); Scaillet, Olivier (contributor) - 2005

: Estimated correlations between both latent variables. 38 The FAME Research Paper Series The International Center for …, the Research Day/Annual Meeting, and the Research Paper Series. The FAME Research Paper Series includes three types of …

Persistent link: https://www.econbiz.de/10003287290

Repurchasing shares on a second trading line

Chung, Dennis Y. (contributor); Isakov, Dušan (contributor) - 2005

Persistent link: https://www.econbiz.de/10003287294

Distribution risk and equity returns

Danthine, Jean-Pierre (contributor); … - 2005

Persistent link: https://www.econbiz.de/10003287296

House price changes and idiosyncratic risk : the impact of property characteristics

Bourassa, Steven C.; Haurin, Donald R.; Haurin, Jessica L. - 2005

three areas. 33 The FAME Research Paper Series The International Center for Financial Asset Management and Engineering … Research Paper Series. The FAME Research Paper Series includes three types of contributions: First, it reports on the …