Similar Search Results

Returns to contrarian investment strategies : tests of naive expectations hypotheses

Dechow, Patricia M. - In: Journal of financial economics 43 (1997) 1, pp. 3-27

Persistent link: https://www.econbiz.de/10001213781

Modeling and forecasting realized volatility

Anderson, Torben G.; Bollerslev, Tim; Diebold, Francis X.; … - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002020013

Corporate bankruptcy reorganizations : estimates from a bargaining model

Eraslan, Hulya (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002022891

Estimaging the benchmark yield curve : a new approach using stochastic frontier functions

Darbha, Gangadhar (contributor) - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002024649

Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets

Brandt, Michael W. (contributor); … - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002011289

Mutual fund performance and seemingly unrelated assets

Pástor, Ľuboš (contributor); … - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002011410

The macroeconomy and the yield curve : a dynamic latent factor approach

Diebold, Francis X. (contributor); … - 2004 - rev

Persistent link: https://www.econbiz.de/10003229558

Going public : public debt or public equity?

Berkovitch, Elazar (contributor); Gesser, Ruth (contributor) - 2004 - rev

Persistent link: https://www.econbiz.de/10003229596

The Cross Section of MBS Returns

Diep, Peter - 2018

We present a simple, linear asset pricing model of the cross section of Mortgage-Backed Security (MBS) returns. MBS earn risk premia as compensation for theirexposure to prepayment risk. We measure prepayment risk and estimate security riskloadings using real data on prepayment forecasts vs....

Persistent link: https://www.econbiz.de/10012935104

Prepayment Risk and Expected MBS Returns

Diep, Peter - 2016

We present a simple, linear asset pricing model of the cross section of Mortgage-Backed Security (MBS) returns in which MBS earn risk premia as compensation for their exposure to prepayment risk. We measure prepayment risk and estimate security risk loadings using real data on prepayment...

Persistent link: https://www.econbiz.de/10012978841