7584 ROYAL PORTRUSH DR
SOLON, OH 44139
United States
Kent State University
SSRN RANKINGS
in Total Papers Downloads
in Total Papers Citations
Stock return asymmetry, entropy, asset pricing
anomalies, partial least square (PLS), Lottery feature factor
Asymmetric comovement, entropy, asset pricing
Mutual funds, trading costs, fund size, portfolio characteristics, fund performance
lottery stocks, risk shifting, fund performance, investor flows, stock mispricing
Manager skill, double-adjusted performance, factor model, stock characteristics, mutual funds
investor attention; anomaly; price limit; coordination; synchronicity risk
Mutual Funds, Market Timing, Dynamic Conditional Correlation
Bootstrap, Edgeworth expansion, Hotelling’s T-squared test, Mutual fund performance
Comovement; Asset Returns; Communication
Cryptocurrency, Asset Liquidity, Funding Liquidity, Anomalies
Market Timing, Mutual Fund, Weighted Nonparametric Measure
Feedback trading, mutual funds, artificial timing, transaction costs, fund performance
initial public offering; IPO; underpricing; market efficiency, agency problem, out-of-sample prediction; machine learning
Time Series Momentum, Log-returns, Return Predictability, Predictive Regression
mutual fund returns, stochastic dominance, revealed preference
Asymmetric Dependence, Kullback-Leibler Relative Entropy, Exceedance Mutual Information
Diseconomies of scale, fixed effects panel regression, mutual funds
asset pricing; risk factors; mimicking portfolios; estimation error; risk premia; standard error
This is a National Bureau of Economic Research Paper. NBER charges a fee of $5.00 for this paper.
File name: nber.pdf Size: 0K
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
