Auflistung nach Schlagwort "predictability"

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    • Amit Goyal 

      Unbekannter Autor
      We use the price-dividend ratio of the aggregate stock market provided on Amit Goyal’s webpage. 

    • Compustat 

      Unbekannter Autor
      Compustat (from Standard & Poor's) provides annual and quarterly income statements, balance sheets, statements and supplemental data on North American public companies.

    • CRSP 

      Unbekannter Autor
      Our portfolio of stock, indexes, mutual fund, treasury, and REIT market databases is relied on by academicians whose research and publications must withstand rigorous analysis for accuracy. Quantitative analysts in the ...

    • Hao Zhou Webpage 

      Unbekannter Autor
      The variance risk premium taken from Hao Zhou’s homepage.

    • Kenneth French 

      Unbekannter Autor
      The Fama-French Portfolios are constructed from the intersections of two portfolios formed on size, as measured by market equity (ME), and three portfolios using the ratio of book equity to market equity (BE/ME) as a proxy ...

    • Option-Implied Information and Predictability of Extreme Returns 

      Vilkovz, Grigory; Xiaox, Yan (2013-01-28)
      We study whether prices of traded options contain information about future extreme market events. Our option-implied conditional expectation of market loss due to tail events, or tail loss measure, predicts future market ...

    • OptionMetrics 

      Unbekannter Autor
      OptionMetrics is the financial industry's premier provider of quality historical option price data, tools, and analytics. Currently, over 300 institutional subscribers and universities rely on our products as their main ...

    • Predictability and the Cross-Section of Expected Returns: A Challenge for Asset Pricing Models 

      Schlag, Christian; Semenischev, Michael; Thimme, Julian (2021-01-22)
      "Many modern macro finance models imply that excess returns on arbitrary assets are predictable via the price-dividend ratio and the variance risk premium of the aggregate stock market. We propose a simple empirical test ...

    • TAQ 

      Unbekannter Autor
      NYSE Trade and Quote (TAQ) database contains intraday transactions data (trades and quotes) for all securities listed on the New York Stock Exchange (NYSE) and American Stock Exchange (AMEX), as well as Nasdaq National ...