Stern School of Business
44 West 4th Street
New York, NY 10012-1126
1050 Massachusetts Avenue
Cambridge, MA 02138
New York University
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expected stock returns, maximum returns, idiosyncratic volatility, skewness
Sharpe ratio, predictability, stock market
Value at risk, drawdown risk, long horizon risk
long-horizon, predictability, joint tests, persistent regressors
G12, G14, C12
tail risk, downside risk, under-diversification, expected stock returns
financial system development, economic growth, market segmentation, cross-sectional pricing, shadow banking
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excess volatility, nonlinear, state dependence
market efficiency, non-fundamental comovement, asset class demand, time-varying betas
Portfolio Management: trading and execution, Portfolio Management: private client focus
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