Similar Search Results - EconBiz

An international dynamic asset pricing model

Hodrick, Robert J.; Ng, David Tat-chee; Sengmueller, Paul - 1999

Persistent link: https://www.econbiz.de/10001390241

Characterizing predictable components in excess returns on equity and foreign exchange markets

Bekaert, Geert - In: The journal of finance : the journal of the American … 47 (1992) 2, pp. 467-509

Persistent link: https://www.econbiz.de/10001128131

Equity fund flows and stock market returns in the US before and after the global financial crisis : a VAR-GARCH-in-mean analysis

Babalos, Vassilios; Caporale, Guglielmo Maria; … - 2016

The 2008-2009 global financial crisis has raised new questions about the relationship between equity fund flows and stock market returns. This paper analyses it using US monthly data over the period 2000:1-2015:08. A VAR-GARCH(1,1)-in-mean model with a BEKK representation is estimated, and a...

Persistent link: https://www.econbiz.de/10011479824

Equity fund flows and stock market returns in the US before and after the global financial crisis : a VAR-GARCH-in-mean Analysis

Babalos, Vassilios; Caporale, Guglielmo Maria; … - 2016

The 2008-2009 global financial crisis has raised new questions about the relationship between equity fund flows and stock market returns. This paper analyses it using US monthly data over the period 2000:1-2015:08. A VAR-GARCH(1,1)-in-mean model with a BEKK representation is estimated, and a...

Persistent link: https://www.econbiz.de/10011482859

Equity fund flows and stock market returns in the US before and after the global financial crisis : a VAR-GARCH-in-mean analysis

Babalos, Vassilios; Caporale, Guglielmo Maria; … - 2016

Persistent link: https://www.econbiz.de/10011536693

Dividend yields and expected stock returns : alternative procedures for inference and measurement

Hodrick, Robert J. - In: The review of financial studies 5 (1992) 3, pp. 357-386

Persistent link: https://www.econbiz.de/10001129388

The cross-section of volatility and expected returns

Zhang, Xiaoyan; Ang, Andrew; Hodrick, Robert J.; Xing, … - 2004

Persistent link: https://www.econbiz.de/10002073591

An international dynamic asset pricing model

Hodrick, Robert J.; Ng, David Tat-chee; Sengmueller, Paul - In: International tax and public finance 6 (1999) 4, pp. 597-620

Persistent link: https://www.econbiz.de/10001498560

Evaluating the specification errors of asset pricing models

Hodrick, Robert J.; Zhang, Xiaoyan - 2000

Persistent link: https://www.econbiz.de/10001470841

The cross-section of volatility and expected returns

Ang, Andrew; Hodrick, Robert J.; Xing, Yuhang; Zhang, … - 2004

Persistent link: https://www.econbiz.de/10002418876

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