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An investigation of the risk and return relation at long horizons

Harrison, Paul; Zhang, Harold H. - In: The review of economics and statistics 81 (1999) 3, pp. 399-408

Persistent link: https://www.econbiz.de/10001406149

Explaining financial data in a heterogeneous agent environment

Zhang, Harold H. - 1994

Persistent link: https://www.econbiz.de/10000916544

Capital gains taxes and stock return volatility

Dai, Zhonglan; Shackelford, Douglas A.; Zhang, Harold H. - In: The journal of the American Taxation Association : a … 35 (2013) 2, pp. 1-31

Persistent link: https://www.econbiz.de/10010233236

Short-run and long-run consumption risks, dividend processes, and asset returns

Li, Jun; Zhang, Harold H. - In: The review of financial studies 30 (2017) 2, pp. 588-630

Persistent link: https://www.econbiz.de/10011746288

Short-Run and Long-Run Consumption Risks, Dividend Processes, and Asset Returns

Li, Jun - 2016

We examine the implications of short-run and long-run consumption risks on the momentum and long-term contrarian profits and the value premium in a unified economic framework. By introducing time-varying firm cash flow exposures to the short-run and long-run shocks in consumption growth, we find...

Persistent link: https://www.econbiz.de/10013007492