York 010 5DD
ANU College of Business and Economics
Canberra, Australian Capital Territory 0200
University of York - Department of Economics and Related Studies
Australian National University (ANU) - Centre for Applied Macroeconomic Analysis (CAMA)
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Risk parity, trend following,bhavioral finance, momentum, global asset allocation, equities, bonds, real estate, commodities
risk parity, trend following, momentum, global asset allocation, equities, bonds,
risk parity, trend following, momentum, global asset allocation, equities, bonds, commodities, real estate
FOREX, Market efficiency, risk premium, stochastic discount factors, GARCH
This is a CEPR Discussion Paper. CEPR charges a fee of $5.00 for this paper.
File name: DP3148.
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
FOREX, market efficiency, risk premium, stochastic discount factors, GARCH
trend following, S&P500, stop losses, trading frequency, fundamental investment metrics
Initial Public Offerings (IPO), Underpricing, Investor Sentiment, Hot-issue Markets, Ex-ante Uncertainty
International equity; Value investing; Growth investing; Relative momentum; Trend following; Tail risk
Trend following; Momentum investing;tail; risk; European equity sectors, Financial Crisis.
Trend following, Momentum investing, Tail risk, European equity sectors, Financial crisis
Forward exchange rate returns, trend following, carry trade, market liquidity and exchange risk.
Asset Pricing, Stochastic Discount Factors, Forex, Equity, Term Structure, Affine Factor Models, Consumption CAPM, Financial Econometrics, GARCH
Initial Public Offerings (IPO), price support, overallotment option
Liquidity, Trading Probability, Turnover
Stock returns, asymmetry
C-CAPM, asset pricing, Fama-French factors
gender earnings, wage-gap, fixed-effects, segregation
Size portfolios; trend following; international; developing
job tenure, individual, fixed-effects, voice, segmentation
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $38.00 .
File name: ecca.
public sector earnings, gender, gap, family friendly, decomposition
job satisfaction, earnings, gender, segregation, workplace
gender earnings, wage gap, part-time, fixed effects, segregation
Equity Returns, Equity Premium, Business Cycle
File name: manc.
File name: sjpe.
File name: DP7227.
business cycles, demand and supply shocks, equity premium, stock returns
gender pay gap, low pay
Sequence Risk, Perfect Withdrawal Rate, Decumulation, Trend Following, CAPE
Risk Premium; Equity Return; Stochastic Discount Factor; No-arbitrage Condition
File name: MANC.
Sequence Risk, Perfect Withdrawal Rate, Decumulation, Trend Following
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