Книги з теми "Stocks - Prices - Econometric models"

Lo, Andrew W. Econometric models of limit-order executions. Cambridge, MA: National Bureau of Economic Research, 1997.

Kelly, Morgan. Do noise traders influence stock prices? Dublin: University College Dublin, Department of Economics, 1996.

Campbell, John Y. Inflation illusion and stock prices. Cambridge, MA: National Bureau of Economic Research, 2004.

Asquith, Paul. Short interest and stock returns. Cambridge, MA: National Bureau of Economic Research, 2004.

Grinblatt, Mark. What do we really know about the cross-sectional relation between past and expected returns? Cambridge, MA: National Bureau of Economic Research, 2002.

Majnoni, Giovanni. Share prices and trading volume: Indications of stock exchange efficiency. Roma: Banca d'Italia, 1996.

Guidolin, Massimo. Size and value anomalies under regime shifts. [St. Louis, Mo.]: Federal Reserve Bank of St. Louis, 2005.

Weil, Philippe. On the possibility of price decreasing bubbles. Cambridge, MA: National Bureau of Economic Research, 1989.

Grinblatt, Mark. The disposition effect and momentum. Cambridge, MA: National Bureau of Economic Research, 2002.

Ghysels, Eric. There is a risk-return tradeoff after all. Cambridge, MA: National Bureau of Economic Research, 2004.

Wright, Jonathan H. Log-periodogram estimation of long memory volatility dependencies with conditionally heavy tailed returns. Washington, D.C: Federal Reserve Board, 2000.

Santos, Tano. Cash-flow risk, discount risk, and the value premium. Cambridge, Mass: National Bureau of Economic Research, 2005.

Ghysels, Eric. There is a risk-return tradeoff after all. Cambridge, Mass: National Bureau of Economic Research, 2004.

Chan, Louis K. C. Momentum strategies. Cambridge, MA: National Bureau of Economic Research, 1995.

Lin, Wen-Ling. Do bulls and bears move across borders?: International transmission of stock returns and volatility as the world turns. Cambridge, MA: National Bureau of Economic Research, 1991.

Antunovich, Peter. Do investors mistake a good company for a good investment? [New York, N.Y.]: Federal Reserve Bank of New York, 1999.

Lamont, Owen A. The earnings announcement premium and trading volume. Cambridge, Mass: National Bureau of Economic Research, 2007.

Balke, Nathan S. Low frequency movements in stock prices: A state space decomposition (revised May 2001, forthcoming Review of Economics and Statistics). [Dallas, Tx.]: Federal Reserve Bank of Dallas, 2000.

Daniel, Kent. Explaining the cross-section of stock returns in Japan: Factors or characteristics? Cambridge, MA: National Bureau of Economic Research, 1999.

Basch, Miguel. Comportamiento reciente del mercado accionario chileno: Una aplicación de test de volatilidad y eficiencia. Santiago de Chile: Corporación de Investigaciones Económicas para Latinoamérica, 1993.

Satchell, Stephen E. Some statistics for testing the influence of the number of transations on the distribution of returns. Cambridge: Dept. of Applied Economics, University of Cambridge, 1993.

Chan-Lau, Jorge A. Asian flu or Wall Street virus?: Price and volatility spillovers of tech and non-tech sectors in the United States and Asia. [Washington, D.C.]: International Monetary Fund, International Capital Markets Department and Western Hemisphere Department, 2002.

Guidolin, Massimo. Pessimistic beliefs under rational learning: Quantitative implications for the equity premium puzzle. [St. Louis, Mo.]: Federal Reserve Bank of St. Louis, 2005.

Shiller, Robert J. Comovements in stock prices and comovements in dividends. Cambridge, MA: National Bureau of Economic Research, 1989.

Kim, Myung Jig. Mean reversion in stock prices?: A reappraisal of the empirical evidence. Cambridge, MA: National Bureau of Economic Research, 1988.

Campbell, John Y. Dispersion and volatility in stock returns: An empirical investigation. Cambridge, MA: National Bureau of Economic Research, 1999.

Campbell, John Y. Trading volume and serial correlation in stock returns. Cambridge, MA: National Bureau of Economic Research, 1992.

Lo, Andrew W. Asset prices and trading volume under fixed transaction costs. Cambridge, MA: National Bureau of Economic Research, 2001.

Geert, Bekaert. Stock and bond pricing in an affine economy. Cambridge, MA: National Bureau of Economic Research, 1999.

Pavlova, Anna. Asset prices and exchange rates. Cambridge, Mass: National Bureau of Economic Research, 2003.

Pagès, Henri. A note on the Gordon growth model with nonstationary dividend growth. Basel, Switzerland: Bank for International Settlements, Monetary and Economic Dept., 1999.

Campbell, John Y. Growth or glamour?: Fundamentals and systematic risk in stock returns. Cambridge, MA: National Bureau of Economic Research, 2005.

Campbell, John Y. Growth or glamour?: Fundamentals and systematic risk in stock returns. Cambridge, Mass: National Bureau of Economic Research, 2005.

Mei, Jianping. Speculative trading and stock prices: Evidence from Chinese A-B share premia. Cambridge, MA: National Bureau of Economic Research, 2005.

Lettau, Martin. The declining equity premium: What role does macroeconomic risk play? Cambridge, MA: National Bureau of Economic Research, 2004.

Özçam, Mustafa. An analysis of the macroeconomic factors that determine stock returns in Turkey. Ankara: Sermaye Piyasası Kurulu, 1997.

Ang, Andrew. CAPM over the long run: 1926-2001. Cambridge, Mass: National Bureau of Economic Research, 2005.

Mei, Jianping. Speculative trading and stock prices: Evidence from Chinese A-B share premia. Cambridge, Mass: National Bureau of Economic Research, 2005.

Gatev, Evan G. Pairs trading: Performance of a relative value arbitrage rule. Cambridge, MA: National Bureau of Economic Research, 1999.

Li, Erica X. N. Optimal market timing. Cambridge, Mass: National Bureau of Economic Research, 2006.

Ludwig, Alexander. The impact of changes in stock prices and house prices on consumption in OECD countries. [Washington, D.C.]: International Monetary Fund, Research Department, 2002.

Cecchetti, Stephen G. Mean reversion in equilibrium asset prices. Cambridge, MA: National Bureau of Economic Research, 1988.

Lamont, Owen A. Investment plans and stock returns. Cambridge, MA: National Bureau of Economic Research, 1999.

Dupuis, David. The U.S. stock market and fundamentals: A historical decomposition. Ottawa: Bank of Canada, 2003.

Dupuis, David. The U.S. stock market and fundamentals: A historical decomposition : by David Dupuis and David Tessier. Ottawa: Bank of Canada, 2003.

Dupuis, David. The U.S. stock market and fundamentals: A historical decomposition. Ottawa, Ont: Bank of Canada, 2003.

Gabaix, Xavier. Institutional investors and stock market volatility. Cambridge, MA: Massachusetts Institute of Technology, Dept. of Economics, 2010.

Barsky, Robert B. Why does the stock market fluctuate? Cambridge, MA: National Bureau of Economic Research, 1992.

Beltratti, Andrea E. Actual and warrented relations between asset prices. Cambridge, MA: National Bureau of Economic Research, 1991.

Calvet, Laurent E. Multifrequency news and stock returns. Cambridge, Mass: National Bureau of Economic Research, 2005.