Similar Search Results

Non-parametric estimates of the foreign exchange and equity risk premia and tests of market efficiency

Wickens, Michael R.; Thomas, Stephen - 1989

Persistent link: https://www.econbiz.de/10000779308

Stock return predictability or mismeasured risk?

Clare, Andrew D. - In: Applied financial economics 7 (1997) 6, pp. 679-687

Persistent link: https://www.econbiz.de/10001240753

Reports of beta's death are premature : evidence from the UK

Clare, Andrew D. - In: Journal of banking & finance 22 (1998) 9, pp. 1207-1229

Persistent link: https://www.econbiz.de/10001249316

Local versus foreign currency ratings : what determines sovereign transfer risk?

Treviño, Lourdes; Thomas, Stephen - In: The journal of fixed income 11 (2001) 1, pp. 65-76

Persistent link: https://www.econbiz.de/10001595329

UK stock returns and robust tests of mean variance efficiency

Clare, Andrew D. - In: Journal of banking & finance 21 (1997) 5, pp. 641-660

Persistent link: https://www.econbiz.de/10001222187

Calendar effects, market conditions and the Adaptive Market Hypothesis : evidence from long-run US data

Urquhart, Andrew; McGroarty, Frank - In: International review of financial analysis 35 (2014), pp. 154-166

Persistent link: https://www.econbiz.de/10010529613

Are stock markets really efficient? : evidence of the adaptive market hypothesis

Urquhart, Andrew; McGroarty, Frank - In: International review of financial analysis 47 (2016), pp. 39-49

Persistent link: https://www.econbiz.de/10011624040

The bid-ask spread in stock index options : an ordered probit analysis

Ap Gwilym, Owain - In: The journal of futures markets 18 (1998) 4, pp. 467-485

Persistent link: https://www.econbiz.de/10001242637

The Adaptive Market Hypothesis and Stock Return Predictability : Evidence from Major Stock Indices

Urquhart, Andrew - 2015

This study examines the adaptive market hypothesis of the S&P500, FTSE100, NIKKEI225 and EURO STOXX 50 by testing for stock return predictability using daily data from January 1990 to May 2014. We apply three bootstrapped versions of the variance ratio test to the raw stock returns and also...

Persistent link: https://www.econbiz.de/10013018018

Non-parametric estimates of the foreign exchange risk premium and tests of exchange market efficiency

Wickens, Michael; Thomas, Stephen - 1991

Persistent link: https://www.econbiz.de/10000130908