Directory UMM :Data Elmu:jurnal:J-a:Journal of Empirical Finance (New):Vol7.Issue5.2000:
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and the return on the market index. The Switching Regime Beta Model SRBM is a sort of market model or better a single factor model in the APT framework where the return of a
In this paper, we study the potential of stocks as a hedge against inflation for different investment horizons. We show that stocks can be a hedge against inflation even if
The DDMS model considered in this study is only a two-state model, however, it acts like a large N state model in that it can capture a broad range of volatility levels
This paper examines the correlation across a number of international stock market indices. As correlation is not observable, we assume it to be a latent variable whose dynamics must
A safety-first investor maximizes expected return subject to a downside risk constraint. Portfolio choice and equilibrium in capital x markets with safety-first investors. use the
a long-run equilibrium between yields, default rates, and Treasuries , mutual fund flows, minor bond ratings, debt subordination measures, a stock index, and a January
Finance, 43, 413–429. , that distinguishes between anticipation and asymmetric informa- tion. After controlling for differences in uncertainty across firms, we present evidence
The ordered mean difference OMD function is a running mean of the difference between returns on a given fund or security and a benchmark such as the market portfolio, ordered by
