Funger Hall, Suite 501R
2201 G Street, N.W.
Washington, DC 20052
George Washington University - School of Business - Department of Finance
in Total Papers Downloads
in Total Papers Citations
Idiosyncratic stock volatility, stock market volatility, consumption-wealth ratio,stock return predictability, out-of-sample forecast, stock market timing strategies, and portfolio choices
Stock Return Predictability, Average Idiosyncratic Variance, Stock Market Variance, Discount-Rate Shock, Cash-Flow Shock, CAPM, and ICAPM
Stochastic volatility, event studies, GARCH
Stock return predictability, Average idiosyncratic variance, Stock market variance, Cross-section of stock returns, Value premium, CAPM
Exchange rate predictability, average idiosyncratic volatility, monetary model
CAPM, ICAPM, Fama and French Three Factors, Stock Market Return Predictability, Realized Volatility, and GARCH, Value Premium
asset productivity, asset liquidity, value premium, growth stocks, ﬁrm volatility, noise, ICAPM, elasticity of expectations
Idiosyncratic Volatility, Stock Market Volatility, Value Premium, Stock Return Predictability, ICAPM, Unit Root, Deterministic Trend, Granger Causality
buyer-initiated, seller-initiated, tick rule, quote rule, transaction data, options
Dividend policy, market sentiment, financial decisions
liquidity, stock return predictability, conditional equity premium
Stock Return Predictability, Cross Section of Stock Returns, Size Premium, Value Premium, and Momentum Profit
Cross-Sectional Regression, Consistent Estimator, Efficient Estimator, Risk Premium, Zero-Beta Return, Model Misspecification, Beta-Variation
Conglomerate breakups, Spinoffs, Equity carveouts, Divestitures, Volatility.
exchange rate predictability, average idiosyncratic volatility, monetary model, bootstrap, data mining
ICAPM, value premium, stock return predictability, realized variance, and GARCH
ICAPM, return decomposition, cash-flow news, discount-rate news, state-space model, value-premium, Bayesian
idiosyncratic volatility discount, dividend policy
House prices, convenience yield, residential mortgage default
Relative Asset Pricing Model, RAPM, Fama-French, Factor-Based Investing, Asset Pricing Model Tests, Negative Risk Premia, Adaptive Markets Hypothesis
option-pricing, S&P500, Weibull distribution, Black-Scholes, skewness
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