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default risk, equities, Merton's (1974) model, size and book-to-market effects
Asset pricing, Investment growth
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GMM
default risk, Merton's (1974) model, abnormal equity returns, credit rating downgrades/upgrades, size, book-to-market
Sharpe ratio, Jensen's alpha, performance evaluation, dynamic portfolio management
Asset Pricing, News, Future GDP, GMM
Liquidity, Default, Equity Returns
Corporate innovation, earnings surprises, price momentum, reversals
Portfolio optimization, incomplete markets, capital market line, mutual fund separation.
Portfolio optimization, incomplete markets, capital market line, mutual fund separation
Asset pricing, news, future GDP, GMM
asset pricing, news, future GDP, GMM
Exchange rates, interest rates, bond returns, multi-country models