Graduate School of Management
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Stock Market Anomalies, Momentum, Reversal, Size, Value Premium
Mutual funds, equity portfolios, expected utility paradigm, stock market anomalies
Share issues, share repurchases, contrarian investment, expected stock returns, value-to-market ratios
reversion, fat-tailed distributions, diffusion, GARCH, stochastic volatility
expected market returns, volatility spreads, variance risk premia, information based explanation
expected market return, variance risk premium, implied volatility spreads, conditional skewness
Asset Allocation, Life-Cycle Funds, Almost Stochastic Dominance, Almost Mean-Variance
Downside risk, skewed fat-tail distributions, extreme stock returns, tail risk.
earnings, dividends, stock returns, market returns, predictability, business cycle
implied volatility spreads, conditional skewness, expected market return, information flow, intertemporal risk-return relation
mean reversion, extreme returns, time-varying risk aversion, stock market returns, market efficiency
Hedge Funds, Stocks, Bonds, Almost Stochastic Dominance, and MPPM
Hedge Funds, Stocks, Bonds, Almost Stochastic Dominance, MPPM
Small-firm effect, Anomalies, Overreaction, Profitability
Small-firm effect, Return anomalies, Overreaction
Credit Ratings, Earnings management, Accruals, Market efficiency
stock index futures, international futures markets, risk-return tradeoff, GARCH-in-mean.
rates, volatility, nonlinearity, asymmetry, GARCH, diffusions
earnings, emerging markets, market returns, predictability, business cycle
risk-return relation, volatility, emerging markets, literature review
downside risk, value at risk, risk-return tradeoff, emerging markets
risk-return relationship, downside risk, value-at-risk, emerging markets, 2008 Financial Crisis
bond markets, equity markets, downside risk, value at risk, risk-return tradeoff
asset pricing models, equity returns, arbitrage pricing theory, macroeconomic factors
Emerging markets, derivatives, risk management, price discovery
share issues, equity returns, value effect, emerging markets
liquidity, emerging markets, equity returns, asset pricing
Downside Risk, Downside Beta, Equity Returns, Asset Pricing, International Finance
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