105 St. George Street
Toronto, Ontario M5S 3E6
University of Toronto - Joseph L. Rotman School of Management
in Total Papers Downloads
in Total Papers Citations
Relative price level, mean-reversion, trading range, investor conservatism, underreaction, technical analysis
Market volatility, momentum effect, time-series predictability of momentum, asymmetric predictability, default risk, volatile down markets, realized volatility
Momentum; time-series predictability; market volatility; time-varying sentiment
Multifactor models, asset pricing, model selection, forecasts, horse races, bootstrap
Cross-sectional Asset Pricing, Consumption-based Model, Idiosyncratic Consumption Risk, Incomplete Markets, Measurement Error
Price shocks, disclosures, disagreement, drift, stock return
Credit Spread, Credit risk modelling, Corporate bonds, Correlation, GARCH models
Mean-variance efficiency, Nonparametric tests, Conditional CAPM, Portfolio choice, Nonparametric discount factor
Cookies are used by this site. To decline or learn more, visit our Cookies page.
This page was processed by apollobot1 in 0.328 seconds
We'd like to ask you to provide feedback on your experience with SSRN today. Your feedback will be used to enhance the site in the future.
Would you be willing to answer a few questions when you leave our site?
Yes, I'm willing to take part in a survey
No, thank you