Lausanne, Vaud CH-1015
c/o University of Geneve
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University of Lausanne
Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne
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Equity Premium, Prediction, Stock Market
option returns, implied volatility
G11, G12, C11
Research Sources, Equity Investments, Technical Analysis, Investment Theory, Efficient Market Theory, Portfolio Management, Equity Strategies
Equity Investments, Research Sources, Investment Theory, Efficient Market Theory, Portfolio Management, Equity Strategies
asymmetric volatility, informed trades, liquidity based trades
Momentum, Market Efficiency, Return Predictability
Asset Allocation, Mean Reversion, Momentum Investing, Pension Fund, Return Attribution
Financial Distress, Return Anomalies, Misvaluation
financial distress, return anomalies, misvaluation
Asymmetric Correlations, Downside correlations, Retail Investors
Asset Pricing, Individual Stocks, Factor Loadings, Characteristics, Errors-in-Variables
Momentum, market timing, return predictability
Order imbalance, disposition effect, tax-loss selling
Government guarantees, banks, stock returns, size effect
Distress anomaly, International finance
time optimal control problems, Neumann parabolic equations with an infinite number of variables, Dubovitskii-Milyutin theorem, conical approximations, optimality conditions, Weierstrass theorem
Asset pricing, Default option
This is a Wiley-Blackwell Other paper. Wiley-Blackwell Other charges $10.00 .
File name: j-6622.
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Mispricing, Default Options, Stock Returns
Pensions, Asset Management, Plan Sponsors
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