We provide the first systematic evidence on the link between long﹕hort anomaly portfolio returns—a cornerstone of the cross﹕ectional literature—and the time﹕eries predictability of the aggregate market exc
研究成果 Social Proximity to Capital: Implications for Investors and Firms with Theresa Kuchler, Lin Peng, Johannes Stroebel, and Dexin Zhou Review of Financial studies,Forthcoming Anomalies and the Expected Market Return with ...
1.1 研究背景 股票收益的可预测性一直是金融研究的重要领域,该领域的两大主要分支为:(1)利用公司特征,预测股票回报的截面差异;(2)市场超额收益率的时间序列的可预测性,文章研究了这两大分支之间的关联性。 1.2 研究内容 文章综合了已有股票收益可预测性的研究,通过理论分析和实证检验,论证了根据异象构造的套利组合...
The resolution of mispricing, on the other hand, is a priori more likely to be predictable. After all, valuation ratios that incorporate the current market price are mechanically related to expected returns and thus are likely helpful in identifying existing mispricing.1 Our paper provides evidence...
If you're using the metered billing option to create offers in the commercial marketplace program that lets you charge for usage based on nonstandard units, you need to know when your customer has used more of a service than expected. Use the Anomaly detection feature Microsoft relies on you...
The product-sales.csv dataset หมายเหตุ The data format inproduct-sales.csvis based on the dataset “Shampoo Sales Over a Three Year Period” originally sourced from DataMarket and provided by Time Series Data Library (TSDL), created by Rob Hyndman. “Shampoo Sales Over ...
(dubbed the q-factor model), the expected return of an asset in excess of the risk-free rate, denoted E[r i ]−r f , is described by the sensitivities of its returns to four factors: (i) the market excess return, MKT; (ii) the difference between the return on a portfolio of...
The model says that the expected return on a portfolio in excess of the risk-free rate [E(Ri) - Rf] is explained by the sensitivity of its return to three factors: (i) the excess return on a broad market portfolio (RM - Rf); (ii) the difference between the return on a portfolio...
The aim of this study was to examine the influence of trading costs and short sale constraints on the performance of stock market anomalies in Emerging Europe. The article aims to contribute in two ways. First, we examined a broad set of 70 anomalies in emerging European markets: the Czech ...
The model says that the expected return on a portfolio in excess of the risk-free rate [E(Ri) - Rf] is explained by the sensitivity of its return to three factors: (i) the excess return on a broad market portfolio (RM - Rf); (ii) the difference between the return on a portfolio...