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Pricing mortgage-backed securities in a multifactor interest rate environment : a multivariate density estimation approach

Boudoukh, Jacob; Richardson, Matthew; Stanton, Richard; … - 1995

Persistent link: https://www.econbiz.de/10001442054

Is the "ex ante" risk premium always positive? : A new approach to testing conditional asset pricing models

Boudoukh, Jacob - In: Journal of financial economics 34 (1993) 3, pp. 387-408

Persistent link: https://www.econbiz.de/10001153606

Pricing mortgage-backed securities in a multifactor interest rate environment : a multivariate density estimation approach

Boudoukh, Jacob; Whitelaw, Robert F.; Richardson, Matthew; … - In: The review of financial studies 10 (1997) 2, pp. 405-446

Persistent link: https://www.econbiz.de/10001220576

On the importance of measuring payout yield : implications for empirical asset pricing

Boudoukh, Jacob; Michaely, Roni; Richardson, Matthew; … - 2004

Persistent link: https://www.econbiz.de/10002172051

On the importance of measuring payout yield : implications for empirical asset pricing

Boudoukh, Jacob; Michaely, Roni; Richardson, Matthew; … - In: The journal of finance : the journal of the American … 62 (2007) 2, pp. 877-915

Persistent link: https://www.econbiz.de/10003445122

Using generalized method of moments to test mean-variance efficiency

MacKinlay, Archie Craig - In: The journal of finance : the journal of the American … 46 (1991) 2, pp. 511-527

Persistent link: https://www.econbiz.de/10001108685

Tests of financial models in the presence of overlapping observations

Richardson, Matthew - In: The review of financial studies 4 (1991) 2, pp. 227-254

Persistent link: https://www.econbiz.de/10001110000

Measuring aggregate economic fundamentals from short-term premiums

Richardson, Matthew - In: The journal of fixed income 1 (1991) 3, pp. 75-85

Persistent link: https://www.econbiz.de/10001117907

The volatility of a firm's assets and the leverage effect

Choi, Jaewon; Richardson, Matthew - In: Journal of financial economics 121 (2016) 2, pp. 254-277

Persistent link: https://www.econbiz.de/10011590720

The Systematic Risk of Global Asset Returns in Times of Crisis : (How) is COVID-19 Different?

Boudoukh, Jacob; Liu, Yukun; Moskowitz, Tobias J.; … - 2022

Using high-frequency data, we estimate and characterize the evolution of the factor structure of global asset returns across aggregate equity, fixed income and exchange rates over the period 2007-2020. We show how the factor structure of asset returns evolves through time, providing clear...

Persistent link: https://www.econbiz.de/10013405751