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DP17370 Relative Investor Sentiment Measurement 智库出版物
2022
作者:  Xiang Gao;  Thomas Walther;  Zhan Wang
收藏  |  浏览/下载:3/0  |  提交时间:2022/09/22
Sentiment  Emotional bias  Cognitive error  Preservers  Accumulators  Momentum  Return predictability  
DP16629 Monetary Policy and Bond Prices with Drifting Equilibrium Rates 智库出版物
2021
作者:  Carlo A. Favero;  Andrea Tamoni;  Alessandro Melone
收藏  |  浏览/下载:2/0  |  提交时间:2022/09/22
Monetary policy rule  Secular trends  Term structure  Diagnostic expectations  Bond return predictability  
DP16357 Equity premium predictability over the business cycle 智库出版物
2021
作者:  Tobias Stein
收藏  |  浏览/下载:2/0  |  提交时间:2022/09/22
Recession predictability  Return predictability  Business cycle  Probit model  Term spread  
DP16029 The Distribution of Investor Beliefs, Stock Ownership and Stock Returns 智库出版物
2021
作者:  Gikas Hardouvelis;  Georgios Karalas;  Dimitri Vayanos
收藏  |  浏览/下载:3/0  |  提交时间:2022/09/22
Differences of opinion  Polarization  Stock ownership  Return predictability  
DP15610 The Expected Return on Risky Assets: International Long-run Evidence 智库出版物
2020
作者:  Dmitry Kuvshinov;  Kaspar Zimmermann
收藏  |  浏览/下载:4/0  |  提交时间:2022/09/22
Expected returns  Risk premia  Real interest rates  Return predictability  Long-run trends  
DP15028 Informed Trading in Government Bond Markets 智库出版物
2020
作者:  Dong Lou
收藏  |  浏览/下载:3/0  |  提交时间:2022/09/22
Government bonds  Informed trading  Return predictability  Asset managers  
DP14468 The Big Bang: Stock Market Capitalization in the Long Run 智库出版物
2020
作者:  Dmitry Kuvshinov;  Kaspar Zimmermann
收藏  |  浏览/下载:3/0  |  提交时间:2022/09/22
Stock market capitalization  Wealth-to-income ratios  Return predictability  Equity valuations  Risk premiums  
DP14417 Asset Pricing vs Asset Expected Returning in Factor-Portfolio Models 智库出版物
2020
作者:  Carlo A. Favero;  Alessandro Melone
收藏  |  浏览/下载:5/0  |  提交时间:2022/09/22
Return predictability  Mispricing  Equilibrium correction term  Dynamic factor-portfolio models  
DP14115 The Leverage Factor: Credit Cycles and Asset Returns 智库出版物
2019
作者:  Alan M. Taylor;  Josh Davis
收藏  |  浏览/下载:1/0  |  提交时间:2022/09/22
Debt  Leverage  Cycles  Asset pricing  Return predictability  Asset allocation  
DP12760 Expected Correlation and Future Market Returns 智库出版物
2018
作者:  Adrian Buss;  Grigory Vilkov
收藏  |  浏览/下载:2/0  |  提交时间:2022/09/22
Expected (implied) correlation  Correlation risk premium  Return predictability  Idiosyncratic risk  Option-implied information  Contemporaneous betas