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The economic value of predicting stock index returns and volatility

Marquering, Wessel A. (contributor); … - 2000

Persistent link: https://www.econbiz.de/10001528578

The economic value of predicting stock index returns and volatility

Marquering, Wessel A.; Verbeek, Marno - 2000

Persistent link: https://www.econbiz.de/10001522477

The economic value of predicting stock index returns and volatility

Marquering, Wessel A.; Verbeek, Marno - In: Journal of financial and quantitative analysis : JFQA 39 (2004) 2, pp. 407-429

Persistent link: https://www.econbiz.de/10002103735

A multivariate nonparametric test for return and volatility timing

Marquering, Wessel A.; Verbeek, Marno - In: Finance research letters 1 (2004) 4, pp. 250-260

Persistent link: https://www.econbiz.de/10003307431

The Volatility of Liquidity and Expected Stock Returns

Petkova, Ralitsa - 2011

We document a positive relation between the volatility of liquidity and expected returns. Our measure of liquidity is based on Amihud (2002) and its volatility is measured using daily data. We show that the volatility of liquidity effect is different from previously documented liquidity risks:...

Persistent link: https://www.econbiz.de/10013128424

Information shocks, disagreement, and drift

Armstrong, Will J.; Cardella, Laura; Sabah, Nasim - In: Journal of financial economics 140 (2021) 3, pp. 916-940

Persistent link: https://www.econbiz.de/10013259609