Viewing: 1 - 9 of 9 papers
1.
Empirical Tests of Asset Pricing Models with Individual Assets: Resolving the Errors-in-Variables Bias in Risk Premium Estimation
Journal of Financial Economics (JFE), Forthcoming
Number of pages: 86
Posted: 11 Jan 2017
Last Revised: 06 Aug 2018
Accepted Paper Series
Emory University - Department of Finance, Case Western Reserve University - Department of Banking and Finance, University of Missouri, Columbia, California Institute of Technology and Louisiana State University, Baton Rouge
There are 2 versions of this paper
Empirical Tests of Asset Pricing Models with Individual Assets: Resolving the Errors-in-Variables Bias in Risk Premium Estimation
Journal of Financial Economics (JFE), Forthcoming
Number of pages: 86
Posted: 11 Jan 2017
Last Revised: 06 Aug 2018
Downloads
995
Empirical Tests of Asset Pricing Models with Individual Assets: Resolving the Errors-in-Variables Bias in Risk Premium Estimation
Number of pages: 67
Posted: 24 Sep 2015
Downloads
356
Downloads
995
2.
Social Transmission Bias and Active Investing
HKUST Finance Symposium 2016: Active Investing and Arbitrage Capital, Rotman School of Management Working Paper No. 2897801
Number of pages: 59
Posted: 11 Jan 2017
Working Paper Series
University of Toronto, Rotman School of Management and Marshall School of Business, USC
Downloads
221
3.
Common Risk Factors in the Cross-Section of Corporate Bond Returns
Journal of Financial Economics, Forthcoming, HKUST Finance Symposium 2016: Active Investing and Arbitrage Capital
Number of pages: 75
Posted: 03 Oct 2016
Last Revised: 12 Feb 2018
Accepted Paper Series
Georgetown University - Department of Finance, Georgetown University - McDonough School of Business and McDonough School of Business, Georgetown University
Downloads
1,687
4.
Signal on the Margin: Behavior of Levered Investors and Future Economic Conditions
Review of Finance, HKUST Finance Symposium 2016: Active Investing and Arbitrage Capital
Number of pages: 75
Posted: 09 Aug 2016
Last Revised: 05 Feb 2020
Accepted Paper Series
Indian School of Business, Indian School of Business (ISB), Hyderabad and Indian School of Business
Downloads
414
5.
Profitability of Hedge Fund Short Sales: Evidence from Opening and Closing Transactions
HKUST Finance Symposium 2016: Active Investing and Arbitrage Capital
Number of pages: 72
Posted: 24 Jun 2016
Last Revised: 21 Sep 2020
Working Paper Series
University of Illinois at Urbana-Champaign - Department of Finance, University of Illinois at Urbana-Champaign - Department of Finance, University of Illinois at Urbana-Champaign - Department of Finance and The Brattle Group
Downloads
751
6.
Market Timing and Predictability in FX Markets
HKUST Finance Symposium 2016: Active Investing and Arbitrage Capital, 29th Australasian Finance and Banking Conference 2016
Number of pages: 51
Posted: 20 Jun 2016
Last Revised: 14 Feb 2022
Working Paper Series
The University of Hong Kong, University of New South Wales, Sydney and Finance Dept., Pamplin College of Business, Virginia Tech
Downloads
1,282
7.
The Term Structure of Short Selling Costs
HKUST Finance Symposium 2016: Active Investing and Arbitrage Capital
Number of pages: 43
Posted: 03 Feb 2016
Last Revised: 12 Nov 2020
Working Paper Series
McGill University
Downloads
519
8.
Alpha or Beta in the Eye of the Beholder: What Drives Hedge Fund Flows?
Journal of Financial Economics (JFE), Forthcoming, Hong Kong University of Science & Technology, HKUST Finance Symposium 2016: Active Investing and Arbitrage Capital
Number of pages: 81
Posted: 12 Aug 2015
Last Revised: 02 May 2017
Accepted Paper Series
Georgia State University, Emory University - Department of Finance and Renmin University of China - School of Business
Downloads
981
9.
A Comparison of New Factor Models
Fisher College of Business Working Paper No. 2015-03-05, HKUST Finance Symposium 2016: Active Investing and Arbitrage Capital, Charles A. Dice Center Working Paper No. 2015-05
Number of pages: 67
Posted: 11 Nov 2014
Last Revised: 19 Apr 2017
Working Paper Series
Ohio State University (OSU) - Department of Finance, University of Cincinnati and Ohio State University - Fisher College of Business
There are 2 versions of this paper
A Comparison of New Factor Models
Fisher College of Business Working Paper No. 2015-03-05, HKUST Finance Symposium 2016: Active Investing and Arbitrage Capital, Charles A. Dice Center Working Paper No. 2015-05
Number of pages: 67
Posted: 11 Nov 2014
Last Revised: 19 Apr 2017
Downloads
3,979
Which Factors?
NBER Working Paper No. w20682
Number of pages: 52
Posted: 17 Nov 2014
Last Revised: 07 Jul 2022
Downloads
82
Downloads
3,979
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