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Duke University - Fuqua School of Business
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Equity Risk Premium, Pricing Dividends, Trading Dividends, Return Predictability
Dividend Strips, Equity Risk Premium, Term Structure of Equity
Equity risk premium, dividend strips, excess volatility
Dynamic portfolio choice, pension plans
macroeconomic news, nowcasting, disagreement
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File name: DP9360.
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disagreement., macroeconomic news, nowcasting
stock market predictability, state of the economy, macroeconomic uncertainty
File name: DP9528.
macroeconomic uncertainty, state of the economy, stock market predictability
Decentralized investment management, performance benchmark
post-earnings announcement drift, market efficiency, under-reaction, non-earnings accounting information
orderflow, macroeconomy, sector rotation, style investing, asset allocation
Idiosyncratic volatility, stock market bubbles, retail investors, speculation, stock splits
G11, G12, G14
sovereign yield spread, real-time economic growth
File name: DP9538.
real-time economic growth, sovereign yield spread
flight-to-quality, flight-to-liquidity, net order flow
Dynamic portfolio choice, asset allocation, mean variance, Markowitz
Macroeconomic uncertainty, implied volatility
Risk-Off, Correlation, Currency Risk Premia
File name: DP10214.
currency risk premia, FX correlation, risk-off
Portfolio problem, martingale representation
price discovery, futures, order flow
Asset Allocation, Managerial Assumptions, Pensions, Regulations
Term Structure, State-Space Representation, Importance Sampling, Simulated Likelihood
Range-based Estimation, Volatility, Covariance, Correlation, Absence of Arbitrage, Exchange Rates, Stock Returns, Bond returns, Bid-ask Bounce, Asynchronous Trading
Range-based estimation, volatility, covariance, correlation, absence of arbitrage, exchange rates, stock returns, bond returns, bid-ask bounce, asynchronous trading
time optimal control problems, Neumann parabolic equations with an infinite number of variables, Dubovitskii-Milyutin theorem, conical approximations, optimality conditions, Weierstrass theorem
nowcasting, business cycle, hedge funds, market timing
E43, E44, G12
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