Campus de Lille
Avenue Willy Brandt, Euralille
Université Lille Nord de France - Skema Business School
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commodities, active asset management, return predictability, Commitment of Traders report
Commodity, Risk premium, Hedging pressure, Term structure, Momentum
Capital Asset Pricing Model, Time-Varying Risk Premium
asset pricing, return predictability, mean-variance analysis, conditioning information
Investor Sentiment, Dynamic Asset Allocation
Return Predictability, Hedging Pressure, Timing Strategies
Asset pricing, return predictability
International asset pricing, Time-varying Risk Premia
Asset Pricing, Return Predictability, International Diversification
Asset Pricing, Factor Models, Size/Value Prmium, Momentum Effect
equity premium puzzle, conditioned diffusions, dividend yield regressions.
Country-specific asset pricing, Nonlinear SDF, Time-varying risk premiums
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $38.00 .
File name: jbfa.
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asset pricing, persistent predictors, stochastic discount factor bounds, conditioning information
Commodity futures, Hedging pressure, Active strategies
Asset Pricing, Portfolio Efficiency, Conditional Factor Models
return predictability, asset management
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