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Documents Performance Persistence in Institutional Investment Management

1. Performance Persistence in Institutional Investment ManagementJeffrey A. Busse Amit Goyal Sunil Wahal∗ March 2006AbstractUsing new, survivorship-bias free data, we…

Business The Information in Option Volume for Stock Prices

1. The Information in Option Volume for Stock Prices Jun Pan MI T Sloan School of Management Allen M. Poteshman University of Illinois at Urbana-Champaign 2. Derivatives…

Documents Tutorial Financial Econometrics/Statistics 2005 SAMSI program on Financial Mathematics, Statistics,....

Slide 1Tutorial Financial Econometrics/Statistics 2005 SAMSI program on Financial Mathematics, Statistics, and Econometrics Slide 2 Goal Slide 3 At the index level Slide…

Documents The Dynamics of US Net Foreign Liabilities: An Empirical Characterization Giancarlo Corsetti...

Slide 1The Dynamics of US Net Foreign Liabilities: An Empirical Characterization Giancarlo Corsetti (European University Institute, and University of Rome III) and Panagiotis…

Documents Anna Beukes February 2011 Northern Alberta Institute of Technology.

Slide 1Anna Beukes February 2011 Northern Alberta Institute of Technology Slide 2  Value stocks refer to those trading at low prices relative to fundamental values such…

Documents 13020036aaa ch08-efficient-market

1. Chapter 8The Efficient MarketHypothesis 2. Efficient Market Hypothesis(EMH) Do security prices reflect relevant informationfully and immediately?– What kind of information?…

Documents Piotroski Original PaperValue Investing: The Use of Historical Financial Statement Information to...

Selected Paper Value Investing: The Use of Historical 84 The University of Chicago Graduate School of Business Financial Statement Information to Separate Winners from Losers…

Documents 20091218_REI_Report

Real Estate Asset Class Review December 18, 2009 Gary R. Dokes, ASRS Chief Investment Officer Eric Rovelli, ASRS Real Estate Portfolio Manager Micolyn Yalonis, The Townsend…

Documents Fama-French 3F Model

Research Question Fama &French (1992) The Cross Section of Expected Stock Return Research Question The relation between beta and cross sectional return is flat; can the…

Documents Price and Earnings Momentum: An Explanation Using Return Decomposition Qinghao Mao K.C. John Wei...

Slide 1 Price and Earnings Momentum: An Explanation Using Return Decomposition Qinghao Mao K.C. John Wei Hong Kong University of Science and Technology NTUICF Dec 2010 Slide…