Similar Search Results

Samuelson hypothesis and carry arbitrage

Brooks, Robert - In: The journal of derivatives : the official publication … 20 (2012) 2, pp. 37-65

Persistent link: https://www.econbiz.de/10009718108

Are jumps in stock returns diversifiable? : Evidence and implications for option pricing

Kim, Myung-jig - In: Journal of financial and quantitative analysis : JFQA 29 (1994) 4, pp. 609-631

Persistent link: https://www.econbiz.de/10001175113

Growth/value, market cap, and momentum

Wang, Jun; Brooks, Robert; Lu, Xing; Holzhauer, Hunter M. - In: The journal of investing 23 (2014) 1, pp. 33-42

Persistent link: https://www.econbiz.de/10011312856

Sector momentum

Wang, Jun; Brooks, Robert; Lu, Xing; Holzhauer, Hunter M. - In: The journal of investing 26 (2017) 2, pp. 48-60

Persistent link: https://www.econbiz.de/10011736200

Bond portfolio holding period return decomposition

Brooks, Robert; Upton, Kate - In: The journal of investing 26 (2017) 2, pp. 78-90

Persistent link: https://www.econbiz.de/10011736255

Samuelson Hypothesis and Carry Arbitrage

Brooks, Robert - 2012

We examine the relationship between the Samuelson hypothesis and carry arbitrage. The empirical-based Samuelson hypothesis states that futures price volatility will increase with approaching expiration. The existing empirical evidence related to the Samuelson hypothesis is mixed. The...

Persistent link: https://www.econbiz.de/10013116320

A multi-country study of power ARCH models and national stock market returns

Brooks, Robert (contributor) - In: Journal of international money and finance 19 (2000) 3, pp. 377-397

Persistent link: https://www.econbiz.de/10001485273

GARCH modelling of individual stock data : the impact of censoring, firm size and trading volume

Brooks, Robert; Faff, Robert W.; Fry, Tim R. L. - In: Journal of international financial markets, … 11 (2001) 2, pp. 215-222

Persistent link: https://www.econbiz.de/10001575257

GARCH modeling of individual stock data : the impact of censoring, firm size and trading volume

Brooks, Robert; Faff, Robert W.; Fry, Tim R. L. - In: Papers in efficiency, effectiveness and international …, (pp. 141-151). 2000

Persistent link: https://www.econbiz.de/10001586273

Persistence and predictability of skewness in country equity market returns

Lai, Eric; Brooks, Robert; Faff, Robert W. - In: Journal of quantitative economics : official journal of … 1 (2003) 1, pp. 36-51

Persistent link: https://www.econbiz.de/10001807037