Booth Street West
Manchester, M15 6PB
University of Manchester - Manchester Business School
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Asset allocation, Option-implied distributions, Market timing, Performance evaluation, Portfolio Choice, Risk aversion
asset allocation, option-implied distributions, market timing, performance evaluation, portfolio
Corporate performance, managerial ownership, semi-parametric approach
Trading Frequency, Transaction Costs, Price Impact Ratio, Asset Pricing, Illiquidity
Common factors, Commodity-specific factors, Hedging pressure, Inventories, Market segmentation, Principal components analysis
Mutual funds, Performance persistence, Market efficiency,Emerging markets
Performance measures, Coskewness, Mutual funds, Performance evaluation
Idiosyncratic Risk, Risk-substitution, Managerial Ownership, Firm Value, Semi-parametric estimation
Default risk; Bankruptcy; Stock returns; International financial markets; Creditor protection
Mutual funds, Expense ratio, Emerging markets, Performance attributes
herd behavior, REITs, investors’ sentiment
stock market illiquidity, divisia money, GDP growth, non-linear model
Option-Implied Information, Risk-Neutral Skewness, Hedging Pressure, Overvaluation, Short Selling Constraints.
Liquidity Shocks, Monetary Policy, Market Micro-Structure, Stock Returns
Asset Pricing, Coskewness, Cokurtosis, London Stock Exchange
Herding behaviour, PIGS, International financial markets, Cross-sectional dispersion of returns, Financial crisis
Stock returns, Predictability, Persistent regressors, Robust inference
Monetary policy, Federal funds rate, Market anomalies, Credit channel, Risk premia
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monetary policy, Fed funds rate, market anomalies, credit channel, risk premia
Risk-Neutral Skewness, Stock Underpricing, Downside Risk, Option-Implied Information, Price Discovery
asset pricing, cross-section, expected returns, consumption, disappointment aversion, indicator, certainty equivalent, risk aversion
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