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作者：Orosel, GO
作者单位：University of Vienna
摘要：We analyze an overlapping generations model with fixed costs of stock market participation. Participation in the stock market is determined endogenously and covaries positively with preceding innovations in dividends, The equilibrium share price is positively related to market participation of the same period and to information about future dividends, There is rational trend chasing in the sense that, although all agents are rational, market participation rises after an increase of the share p...
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作者：Pritsker, M
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors
摘要：I study the finite sample distribution of one of Ait-Sahalia's (1996c) nonparametric tests of continuous-time models of the short-term riskless Fate. The test rejects true models too often because interest rate data are highly persistent but the asymptotic distribution of the test (and of the kernel density estimator on which the test is based) treats the data as if it were independently and identically distributed To attain the accuracy of the kernel density estimator implied by ifs asymptoti...
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作者：Conrad, J; Kaul, G
作者单位：University of Michigan System; University of Michigan; University of North Carolina; University of North Carolina Chapel Hill
摘要：In this article we use a single unifying framework to analyze the sources of profits to a wide spectrum of return-based trading strategies implemented in the literature, We show that less than 50% of the 120 strategies implemented in the article yield statistically significant profits and, unconditionally, momentum and contrarian strategies are equally likely to be successful. However, when we condition on the return horizon (short, medium, or long) of the strategy, or the time period during w...
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作者：LeRoy, SF
作者单位：University of California System; University of California Santa Barbara
