Hypothesis In Duffie et al., 2005, Duffie et al., 2007 (DGP) “search and bargaining” based models, investors maximize the expected value of their intertemporal utility functions. DGP market equilibrium conditions produce steady state results that parsimoniously incorporate the salient economic consid...
3. CONSTRUCTION OF FACTORS AND OTHER VARIABLES 3.1.Research Hypothesis Starting with asset liquidity, this paper introduces the liquidity factor into Fama-French five-factor model to explore whether the explanatory ability of the model has been improved, and also judges whether the liquidity premium ...
Because random walk is a property of a perfectly efficient market, random walk tests have been used to assess the informational efficiency of a market and, in so doing, to test the efficient markethypothesis (EMH). Have the random walk model and the EMHbeen validated? From our perspective ...
Statistical Hypothesis Testing for Information Value (IV). arXiv 2023, arXiv:2309.13183. [Google Scholar] Menshikov, M.; Petritis, D. Explosion, implosion, and moments of passage times for continuous-time Markov chains: A semimartingale approach. Stoch. Process. Their Appl. 2014, 124, 2388...