Claudia E. Moise

Duke University, The Fuqua School of Business

Box 90120

Durham, NC 27708-0120

United States

SCHOLARLY PAPERS

3

DOWNLOADS
Rank 40,772

SSRN RANKINGS

Top 40,772

in Total Papers Downloads

1,093

SSRN CITATIONS

0

CROSSREF CITATIONS

6

Scholarly Papers (3)

1.

Myopic Extrapolation, Price Momentum, and Price Reversal

Number of pages: 50 Posted: 04 Jul 2009 Last Revised: 10 Nov 2009
Long Chen, Claudia E. Moise and Xinlei Shelly Zhao
Luohan Academy, Duke University, The Fuqua School of Business and Government of the United States of America - Office of the Currency Comptroller - Risk Analysis Division
Downloads 766 (32,936)
Citation 1

Abstract:

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Momentum, reversal, analyst forecast, earnings, expected return, realized return

2.

Stochastic Volatility Risk and the Size Anomaly

Number of pages: 40 Posted: 31 Oct 2005
Claudia E. Moise
Duke University, The Fuqua School of Business
Downloads 220 (144,205)
Citation 8

Abstract:

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Size anomaly, Volatility premium, Cross-section of stock returns, Griddy-Gibbs sampler, GARCH models

3.

Flights to Safety and Volatility Pricing

Number of pages: 63 Posted: 21 Jul 2009 Last Revised: 31 Dec 2019
Claudia E. Moise
Duke University, The Fuqua School of Business
Downloads 107 (262,532)
Citation 1

Abstract:

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Flights to safety, volatility models, cross-section of stocks and Treasuries, conditional risk premia, downside risk, VIX, SKEW