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New University of Lisbon - Nova School of Business and Economics
Centre for Economic Policy Research (CEPR)
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Stock momentum, risk management, anomalies
forward rate premium, carry trade, currency market, optimal portfolios
Equity premium, forecasting, stock market, predictive regression
post-earnings announcement drift, market efficiency, under-reaction, non-earnings accounting information
Option strategies, margin requirements
Bond pricing, default risk, term structure of yield spread
ICAPM, risk-return tradeoff, conditional variance, forecasting returns
variance estimation, volatility, asset pricing, MIDAS
Diagonal-Vech model multivariate GARCH, unrestricted estimation
asset pricing, predictability of stock returns, dividend-growth predictability, long-horizon regressions, dividend yield, VAR implied predictability, present-value model, size premium, value premium, cross-section of stocks
Dynamic portfolio choice, asset allocation, mean variance, Markowitz
cross-section of stock returns; asset pricing; intertemporal CAPM; state variables; linear multifactor models; predictability of returns; value premium; long-term reversal in returns; equity duration anomaly; corporate investment anomaly; inventory growth anomaly
Zipf, APT, firm size
Fixed Income, Default Risk, Corporate Bonds
Market integration, Consumption risk sharing, International financial markets
time optimal control problems, Neumann parabolic equations with an infinite number of variables, Dubovitskii-Milyutin theorem, conical approximations, optimality conditions, Weierstrass theorem
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