Similar Search Results - EconBiz

Fast-moving habit : implications for equity returns

Lynch, Anthony W.; Randall, Oliver - In: Journal of financial and quantitative analysis : JFQA 58 (2023) 7, pp. 3153-3194

Persistent link: https://www.econbiz.de/10014437964

Why Surplus Consumption in the Habit Model May Be Less Persistent than You Think

Lynch, Anthony W. - 2011

In U.S. data, value stocks have higher expected excess returns and higher CAPM alphas than growth stocks. We find the external-habit model of Campbell and Cochrane (1999) can generate a value premium in both CAPM alpha and expected excess return so long as the persistence of the log...

Persistent link: https://www.econbiz.de/10013127019

Why surplus consumption in the habit model may be less persistent than you think

Lynch, Anthony W.; Randall, Oliver - 2011

"In U.S. data, value stocks have higher expected excess returns and higher CAPM alphas than growth stocks. We find the external-habit model of Campbell and Cochrane (1999) can generate a value premium in both CAPM alpha and expected excess return so long as the persistence of the log...

Persistent link: https://www.econbiz.de/10009006789

Decision frequency and synchronization across agents : implications for aggregate consumption and equity return

Lynch, Anthony W. - In: The journal of finance : the journal of the American … 51 (1996) 4, pp. 1479-1497

Persistent link: https://www.econbiz.de/10001209019

Portfolio choice and equity characteristics : characterizing the hedging demands induced by return predictability

Lynch, Anthony W. - In: Journal of financial economics 62 (2001) 1, pp. 67-130

Persistent link: https://www.econbiz.de/10001608813

Survivorship bias and attrition effects in measures of performance persistence

Carpenter, Jennifer N.; Lynch, Anthony W. - In: Journal of financial economics 54 (1999) 3, pp. 337-374

Persistent link: https://www.econbiz.de/10001429023

Staggered decision-making by individuals : pricing implications and some empirical evidence

Lynch, Anthony W. - 1994

Persistent link: https://www.econbiz.de/10000916219

Transaction costs and predictability : some utility cost calculations

Balduzzi, Pierluigi; Lynch, Anthony W. - In: Journal of financial economics 52 (1999) 1, pp. 47-78

Persistent link: https://www.econbiz.de/10001387776

Why do firms merge and then divest? : A theory of financial synergy

Fluck, Zsuzsanna; Lynch, Anthony W. - In: The journal of business : B 72 (1999) 3, pp. 319-346

Persistent link: https://www.econbiz.de/10001392398

Intra-week regularities in security returns : further Australian evidence

Finn, Frank J. - In: Australian journal of management 16 (1991) 2, pp. 129-144

Persistent link: https://www.econbiz.de/10001122569

A service of the