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RobHayward capm [29 articles]

Recent papers added to RobHayward library classified by the tag capm. You can also see everyone's capm.
  • Do Bears and Bulls Move Across Borders? International Transmission of Stock Returns and Volatility
    The Review of Financial Studies, Vol. 7, No. 3. (1994), pp. 507-538.
    by Wen-Ling Lin, Robert F Engle, Takatoshi Ito
    posted to microstructure information finance capm by RobHayward on 2008-06-25 08:05:23 as **
  • Revisiting the home bias puzzle: Downside equity risk
    Journal of International Money and Finance, Vol. 26, No. 7. (November 2007), pp. 1239-1260.
    by Rachel A Campbell, Roman Kräussl
    posted to risk finance emh capm by RobHayward on 2008-06-23 07:13:55 as *****
  • Investor Diversification and International Equity Markets
    The American Economic Review, Vol. 81, No. 2. (1991), pp. 222-226.
    by Kenneth R French, James M Poterba
    posted to portfolio capm behaviour by RobHayward on 2008-06-21 12:44:23 as *****
  • A primer on hedge funds
    Journal of Empirical Finance, Vol. 6, No. 3. (September 1999), pp. 309-331.
    by William Fung, David A Hsieh
    posted to option hedge fund capm by RobHayward on 2008-05-01 13:27:31 as **
  • notes Measuring security price performance
    Journal of Financial Economics, Vol. 8, No. 3. (September 1980), pp. 205-258.
    by Stephen J Brown, Jerold B Warner
    posted to capm econometrics emh by RobHayward on 2007-08-17 09:13:25 as *** along with 1 person ChristianRauh
  • notes Which Money is Smart? Mutual Fund Buys and Sells of Individual and Institutional Investors
    by Aneel Keswani, David Stolin
    posted to behaviour capm emh fund by RobHayward on 2007-08-17 08:21:44 as **
  • An Asset Allocation Puzzle
    The American Economic Review, Vol. 87, No. 1. (1997), pp. 181-191.
    by Niko Canner, Gregory N Mankiw, David N Weil
    posted to capm emh equity finance by RobHayward on 2007-08-17 08:04:02 as **
  • The Capital Asset Pricing Model: Theory and Evidence
    The Journal of Economic Perspectives, Vol. 18, No. 3. (2004), pp. 25-46.
    by Eugene F Fama, Kenneth R French
    posted to capm finance by RobHayward on 2007-05-17 13:41:11 as ***** along with 2 people tkravitz pirapira
  • The Halloween Indicator, 'Sell in May and Go Away': Another Puzzle
    (July 2001)
    by Ben Jacobson, Sven Bouman
    posted to behaviour capm emh finance by RobHayward on 2007-05-17 13:38:53 as **
  • On the determinants of portfolio choice
    Journal of Economic Behavior & Organization, Vol. In Press, Corrected Proof
    by Bart Frijns, Esther Koellen, Thorsten Lehnert
    posted to behaviour capm emh portfolio by RobHayward on 2006-12-03 08:43:17 as **
  • Disagreement, tastes, and asset prices
    Journal of Financial Economics, Vol. In Press, Corrected Proof
    by Eugene F Fama, Kenneth R French
    posted to capm emh finance by RobHayward on 2006-12-01 08:46:50 as *****
  • The conditional CAPM does not explain asset-pricing anomalies
    Journal of Financial Economics, Vol. 82, No. 2. (November 2006), pp. 289-314.
    by Jonathan Lewellen, Stefan Nagel
    posted to capm finance by RobHayward on 2006-11-07 15:17:39 as ** along with 1 person Westerkamp
  • Stock Price Informativeness, Cross-Listings and Investment Decisions
    CEPR Discussion Paper No. 5722
    by Thierry Foucault, Thomas Gehrig
    posted to agency behaviour capm finance fm by RobHayward on 2006-10-26 18:57:55 as **
  • International portfolio diversification: A study of linkages among the U.S., European and Japanese equity markets
    Journal of Multinational Financial Management, Vol. 16, No. 4. (October 2006), pp. 440-458.
    by Fahimeh Rezayat, Burhan F Yavas
    posted to capm equity finance portfolio by RobHayward on 2006-10-03 13:46:58 as **
  • notes Costly arbitrage and the myth of idiosyncratic risk
    Journal of Accounting and Economics, Vol. In Press, Corrected Proof
    by Jeffrey Pontiff
    posted to behaviour capm momentum by RobHayward on 2006-05-30 13:39:50 as ** along with 1 person Westerkamp
  • Reconciling the Return Predictability Evidence
    NBER Working Paper No. W12109
    by Martin Lettau, Stijn Van Nieuwerburgh
    posted to capm finance trading by RobHayward on 2006-05-29 08:15:08 as ****
  • Simulating stock returns under switching regimes - a new test of market efficiency
    Cardif Economics Working Papers No. 2006/13
    by David Meenagh, Patrick Minford, David Peel
    posted to capm emh by RobHayward on 2006-05-24 10:17:29 as **
  • Playing Footsy with the FTSE 100 Index
    by JAY Dahya
    posted to behaviour capm markets by RobHayward on 2006-05-24 07:04:44 as ****
  • Why is the accrual anomaly not arbitraged away? The role of idiosyncratic risk and transaction costs
    Journal of Accounting and Economics, Vol. In Press, Corrected Proof
    by Christina Mashruwala, Shivaram Rajgopal, Terry Shevlin
    posted to bop capm momentum by RobHayward on 2006-05-23 13:24:20 as ***
  • Agency-Based Asset Pricing
    NBER Working Paper No. W12084
    by Gary Gorton, Ping He
    posted to agency capm fm by RobHayward on 2006-05-20 06:17:35 as **
  • Asset Pricing at the Millennium
    Journal of Finance, Vol. 55, No. 4.
    by John Y Campbell
    posted to capm finance by RobHayward on 2006-05-19 11:30:20 as **
  • Estimating and Testing Beta Pricing Models: Alternative Methods and their Performance in Simulations
    NBER Working Paper No. W12055
    by Jay Shanken, Guofu Zhou
    posted to capm finance by RobHayward on 2006-05-13 06:24:02 as ****
  • A Note on Erb and Harvey (2005)
    Yale ICF Working Paper No. 06-02
    by Gary Gorton, Geert K Rouwenhorst
    posted to capm by RobHayward on 2006-05-10 06:43:14 as ****
  • The Dog That Did Not Bark: A Defense of Return Predictability
    NBER Working Paper No. W12026
    by John Cochrane
    posted to beta capm by RobHayward on 2006-05-04 18:18:12 as **
  • Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk
    Journal of Financial Economics, Vol. 80, No. 2. (May 2006), pp. 309-349.
    by Ronnie Sadka
    posted to behaviour capm equity finance microstructure by RobHayward on 2006-05-02 13:10:30 as *****
  • Do Hedge Funds Deliver Alpha? A Bayesian and Bootstrap Analysis
    (December 2005)
    by Robert Kosowski, Narayan Naik, Melvyn Teo
    posted to bayesian bootstrap capm finance by RobHayward on 2006-04-28 19:11:08 as ***
  • Lifecycle Asset Allocation Strategies and the Distribution of 401(k) Retirement Wealth
    NBER Working Paper No. W11974
    by James Poterba, David Wise, Joshua Rauh, Steven Venti
    posted to capm finance pension portfolio by RobHayward on 2006-04-26 07:22:46 as ***
  • Growth Options, Beta, and Cost of Capital
    UCLA Working paper, March 2005
    by Antonio Bernardo, Bhagwan Chowdry, Amit Goyal
    posted to beta capm equity by RobHayward on 2006-04-19 18:09:40 as **
  • CAPM Over the Long Run: 1926-2001
    NBER Working Paper No. W11903
    by Andrew
    posted to capm by RobHayward on 2006-04-15 10:29:06 as **
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