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Do Asset Prices Reflect Fundamentals? Freshly Squeezed Evidence from the Oj Market

Boudoukh, Jacob - 2003

The behavioral finance literature cites the frozen concentrated orange juice (FCOJ) futures market as a prominent example of the failure of prices to reflect fundamentals. This paper reexamines the relation between FCOJ futures returns and fundamentals, focusing primarily on temperature. We show...

Persistent link: https://www.econbiz.de/10012739829

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

Hedging the interest rate risk of Bradys : the case of Argentinian fixed and floating-rate bonds

Ahn, Dong-Hyun; Boudoukh, Jacob; Richardson, Matthew; … - In: Emerging market capital flows : proceedings of a …, (pp. 307-317). 1998

Persistent link: https://www.econbiz.de/10001395758

Ex ante bond return and the yield curve

Boudoukh, Jacob; Richardson, Matthew; Smith, Tom; … - 1996

Persistent link: https://www.econbiz.de/10000949882

A multifactor, nonlinear, continuous-time model of interest rate volatility

Boudoukh, Jacob; Richardson, Matthew; Stanton, Richard; … - 1999

Persistent link: https://www.econbiz.de/10001394312

Behavioralize this! : International evidence on autocorrelation patterns of stock index and features return

Ahn, Dong-Hyun; Boudoukh, Jacob; Richardson, Matthew; … - 1999

Persistent link: https://www.econbiz.de/10001394327

Nonlinearities in the relation between the equity risk premium and the term structure

Boudoukh, Jacob - In: Management science : journal of the Institute for … 43 (1997) 3, pp. 371-385

Persistent link: https://www.econbiz.de/10001216565

A tale of three schools : insights on autocorrelations of short-horizon stock returns

Boudoukh, Jacob - In: The review of financial studies 7 (1994) 3, pp. 539-573

Persistent link: https://www.econbiz.de/10001169079

Industry returns and the fisher effect

Boudoukh, Jacob - In: The journal of finance : the journal of the American … 49 (1994) 5, pp. 1596-1615

Persistent link: https://www.econbiz.de/10001175173

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

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