West Midlands, CV4 7AL
United Kingdom
Warwick Business School
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Corporate bond asset pricing, Bond factor model, Sharpe ratio, Efficient frontier, Model misspecification and identification
Stock returns, geomagnetic storms, seasonal affective disorders, misattribution of mood, behavioral finance
Empirical asset pricing, Corporate bond anomalies, Market microstructure noise, Bidask bias, Sharpe ratio
market frictions, transactions costs
economic factors, risk premia, pricing kernel, maximum-correlation portfolio
economic risk premia, non-traded factors, maximum-correlation portfolios
mimicking portfolios, economic risk premia, multi-beta models
asset allocation, conditioning information, dynamic strategies, tangency portfolio
international intertemporal capital asset pricing model, purchasing power parity, hedging demands
Hansen-Jagannathan Bound, No Arbitrage, Positivity, Exact Distribution
Hansen-Jagannathan distance, excess returns, stochastic discount factors
Hansen-Jagannathan Distance, Asset-pricing Models, Model Misspecification, Risk Premia
G12
Hansen-Jagannthan distrance, no-arbitrage constraint, model comparison
Asset Pricing Models, Cross-Sectional Regressions, Simple Regression Betas, Model Misspecification
asset pricing models, Hansen-Jagannathan distance, model selection, model misspecification
Asset Pricing Models, Model Misspecification, Weak Identification, Useless Factor
two-pass cross-sectional regressions, risk premia, model misspecification, simple regression betas, multivariate betas
GMM
Primary dealers; Event study; Cross-sectional asset pricing.
Hansen-Jagannathan distance, no-arbitrage, model ranking, multivariate elliptical distributions
