ALBERT — All Library Books, journals and Electronic Records Telegrafenberg

1

Electronic Resource

Trading cost premiums in capital asset returns-a closed form solution

Kane, A.

Amsterdam : Elsevier

Journal of Banking and Finance 18 (1994), S. 1177-1183

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ISSN: 0378-4266

Keywords: Investment horizon ; Liquidity ; Risk premium ; Trading cost ; [JEL classification codes] G12

Source: Elsevier Journal Backfiles on ScienceDirect 1907 - 2002

Topics: Economics

Type of Medium: Electronic Resource

URL: http://linkinghub.elsevier.com/retrieve/pii/0378-4266(94)00066-2

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2

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Stock index futures mispricing: profit opportunities or risk premia?

Yadav, P.K. ; Pope, P.F.

Amsterdam : Elsevier

Journal of Banking and Finance 18 (1994), S. 921-953

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ISSN: 0378-4266

Keywords: Arbitrage ; Mispricing ; Stock Index futures ; [JEL classification codes] G12 ; [JEL classification codes] G13

Source: Elsevier Journal Backfiles on ScienceDirect 1907 - 2002

Topics: Economics

Type of Medium: Electronic Resource

URL: http://linkinghub.elsevier.com/retrieve/pii/0378-4266(94)00026-3

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3

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Asset pricing with undiversifiable income risk and short sales constraints - Deepening the equity premium puzzle

Lucas, D.J.

Amsterdam : Elsevier

Journal of Monetary Economics 34 (1994), S. 325-341

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ISSN: 0304-3932

Keywords: Asset pricing ; Market efficiency ; [JEL classification codes] G12 ; [JEL classification codes] G14

Source: Elsevier Journal Backfiles on ScienceDirect 1907 - 2002

Topics: Economics

Type of Medium: Electronic Resource

URL: http://linkinghub.elsevier.com/retrieve/pii/0304-3932(94)90022-1

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4

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The performance of Japanese common stocks in relation to their net current asset values

Bildersee, J.S. ; Cheh, J.J. ; Zutshi, A.

Amsterdam : Elsevier

Japan and the World Economy 5 (1993), S. 197-215

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ISSN: 0922-1425

Keywords: Benjamin Graham ; Investment ; Japan, P/E effects ; NCAV model ; P/E ratios ; Strategy ; Valuation ; [JEL classification codes] G12 ; net current asset

Source: Elsevier Journal Backfiles on ScienceDirect 1907 - 2002

Topics: Economics

Type of Medium: Electronic Resource

URL: http://linkinghub.elsevier.com/retrieve/pii/0922-1425(93)90011-R

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5

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Noise trading and prime and score premiums

Barber, B.M.

Amsterdam : Elsevier

Journal of Empirical Finance 1 (1994), S. 251-278

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ISSN: 0927-5398

Keywords: Closed end funds ; Market efficiency ; Noise trading ; Primes ; Scores ; Small firm returns ; [JEL classification codes] G12

Source: Elsevier Journal Backfiles on ScienceDirect 1907 - 2002

Topics: Economics

Type of Medium: Electronic Resource

URL: http://linkinghub.elsevier.com/retrieve/pii/0927-5398(94)90005-1

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6

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Endogeneity bias in beta estimation: Thailand and Hong Kong

Woo, C.-K. ; Cheung, Y.-L. ; Ho, R.Y.-K.

Amsterdam : Elsevier

Pacific-Basin Finance Journal 2 (1994), S. 453-461

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ISSN: 0927-538X

Keywords: Beta estimation ; Capital asset pricing model ; Emerging Asian equity markets ; [JEL classification codes] G12

Source: Elsevier Journal Backfiles on ScienceDirect 1907 - 2002

Topics: Economics

Type of Medium: Electronic Resource

URL: http://linkinghub.elsevier.com/retrieve/pii/0927-538X(94)90005-1

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7

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Risk and return on China's new stock markets: Some preliminary evidence

Bailey, W.

Amsterdam : Elsevier

Pacific-Basin Finance Journal 2 (1994), S. 243-260

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ISSN: 0927-538X

Keywords: China ; Emerging markets ; International finance ; Portfolio management ; [JEL classification codes] F36 ; [JEL classification codes] G12 ; [JEL classification codes] G15 ; [JEL classification codes] P33

Source: Elsevier Journal Backfiles on ScienceDirect 1907 - 2002

Topics: Economics

Type of Medium: Electronic Resource

URL: http://linkinghub.elsevier.com/retrieve/pii/0927-538X(94)90019-1

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8

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Intraday stock return volatility: The Hong Kong evidence

Cheung, Y.-L. ; Ho, R.Y.-K. ; Pope, P. ; [et al.]

Amsterdam : Elsevier

Pacific-Basin Finance Journal 2 (1994), S. 261-276

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ISSN: 0927-538X

Keywords: Hong Kong stock markets ; Intraday return volatility ; Stock return volatility ; [JEL classification codes] G10 ; [JEL classification codes] G12 ; [JEL classification codes] G15

Source: Elsevier Journal Backfiles on ScienceDirect 1907 - 2002

Topics: Economics

Type of Medium: Electronic Resource

URL: http://linkinghub.elsevier.com/retrieve/pii/0927-538X(94)90020-5

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9

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Pacific-Basin stock markets and real activity

Cheung, Y.-W. ; He, J. ; Ng, L.

Amsterdam : Elsevier

Pacific-Basin Finance Journal 2 (1994), S. 349-373

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ISSN: 0927-538X

Keywords: Asset pricing ; Maximal R^2 ; Pacific-Basin stock markets ; Real activity ; [JEL classification codes] G12 ; [JEL classification codes] G15

Source: Elsevier Journal Backfiles on ScienceDirect 1907 - 2002

Topics: Economics

Type of Medium: Electronic Resource

URL: http://linkinghub.elsevier.com/retrieve/pii/0927-538X(94)90024-8

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10

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The ex-date impact of rights offerings. The evidence from firms listed on the Tokyo stock exchange

Goyal, V. ; Hwang, C.-Y. ; Jayaraman, N. ; [et al.]

Amsterdam : Elsevier

Pacific-Basin Finance Journal 2 (1994), S. 277-291

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ISSN: 0927-538X

Keywords: Bid-ask spreads ; Ex-date abnormal returns ; Return volatility ; Rights offerings ; Trading volume ; [JEL classification codes] G12 ; [JEL classification codes] G32

Source: Elsevier Journal Backfiles on ScienceDirect 1907 - 2002

Topics: Economics

Type of Medium: Electronic Resource

URL: http://linkinghub.elsevier.com/retrieve/pii/0927-538X(94)90021-3

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11

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Some models of the international capital market

Dumas, B.

Amsterdam : Elsevier

European Economic Review 38 (1994), S. 923-931

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ISSN: 0014-2921

Keywords: Capital asset pricing model ; Exchange risk ; Financial equilibrium ; [JEL classification codes] G 15 ; [JEL classification codes] G11 ; [JEL classification codes] G12

Source: Elsevier Journal Backfiles on ScienceDirect 1907 - 2002

Topics: Economics

Type of Medium: Electronic Resource

URL: http://linkinghub.elsevier.com/retrieve/pii/0014-2921(94)90128-7

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12

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The mean-variance efficiency of benchmark portfolios: UK evidence

Fletcher, J.

Amsterdam : Elsevier

Journal of Banking and Finance 18 (1994), S. 673-685

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ISSN: 0378-4266

Keywords: APT ; CAPM ; Mean-variance efficiency ; [JEL classification codes] G12

Source: Elsevier Journal Backfiles on ScienceDirect 1907 - 2002

Topics: Economics

Type of Medium: Electronic Resource

URL: http://linkinghub.elsevier.com/retrieve/pii/0378-4266(94)00014-X

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13

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Family groupings on performance of portfolio selection in the Hong Kong stock market

Lam, K. ; Mok, H.M.K. ; Cheung, I. ; [et al.]

Amsterdam : Elsevier

Journal of Banking and Finance 18 (1994), S. 725-742

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ISSN: 0378-4266

Keywords: Efficient frontier ; Family grouping ; Multi-index model ; Portfolio selection ; Single-index model ; [JEL classification codes] G11 ; [JEL classification codes] G12

Source: Elsevier Journal Backfiles on ScienceDirect 1907 - 2002

Topics: Economics

Type of Medium: Electronic Resource

URL: http://linkinghub.elsevier.com/retrieve/pii/0378-4266(94)00017-4

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14

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The relationship between daily U.S. and Japanese equity prices: Evidence from spot versus futures markets

Aggarwal, R. ; Park, Y.S.

Amsterdam : Elsevier

Journal of Banking and Finance 18 (1994), S. 757-773

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ISSN: 0378-4266

Keywords: Equity prices ; Foreign portfolio investments ; International diversification ; Japan ; Stock market ; [JEL classification codes] G12

Source: Elsevier Journal Backfiles on ScienceDirect 1907 - 2002

Topics: Economics

Type of Medium: Electronic Resource

URL: http://linkinghub.elsevier.com/retrieve/pii/0378-4266(94)00019-0

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15

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Further evidence on segmentation in the treasury bill market

Simon, D.P.

Amsterdam : Elsevier

Journal of Banking and Finance 18 (1994), S. 139-151

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ISSN: 0378-4266

Keywords: Market segmentation ; Treasury bills ; [JEL classification codes] G12 ; [JEL classification codes] G14

Source: Elsevier Journal Backfiles on ScienceDirect 1907 - 2002

Topics: Economics

Type of Medium: Electronic Resource

URL: http://linkinghub.elsevier.com/retrieve/pii/0378-4266(94)00082-4

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16

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The impact of the return interval on common factors in stock returns: Evidence from a thin security market

Martikainen, T. ; Perttunen, J. ; Yli-Olli, P. ; [et al.]

Amsterdam : Elsevier

Journal of Banking and Finance 18 (1994), S. 659-672

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ISSN: 0378-4266

Keywords: Asset pricing ; Common factors ; Return interval ; Stock returns ; Thin trading ; [JEL classification codes] G12

Source: Elsevier Journal Backfiles on ScienceDirect 1907 - 2002

Topics: Economics

Type of Medium: Electronic Resource

URL: http://linkinghub.elsevier.com/retrieve/pii/0378-4266(94)00013-1

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17

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Is the ex ante risk premium always positive? - A new approach to testing conditional asset pricing models

Boudoukh, J. ; Richardson, M. ; Smith, T.

Amsterdam : Elsevier

Journal of Financial Economics 34 (1993), S. 387-408

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ISSN: 0304-405X

Keywords: Conditional asset pricing models ; Ex ante risk premium ; Inequality restrictions ; [JEL classification codes] C22 ; [JEL classification codes] G12

Source: Elsevier Journal Backfiles on ScienceDirect 1907 - 2002

Topics: Economics

Type of Medium: Electronic Resource

URL: http://linkinghub.elsevier.com/retrieve/pii/0304-405X(93)90033-8

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18

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Markups, quantity risk, and bidding strategies at treasury coupon auctions

Simon, D.P.

Amsterdam : Elsevier

Journal of Financial Economics 35 (1994), S. 43-62

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ISSN: 0304-405X

Keywords: Treasury auctions ; [JEL classification codes] G12 ; [JEL classification codes] G14

Source: Elsevier Journal Backfiles on ScienceDirect 1907 - 2002

Topics: Economics

Type of Medium: Electronic Resource

URL: http://linkinghub.elsevier.com/retrieve/pii/0304-405X(94)90017-5

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19

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Finite sample properties of the generalized method of moments in tests of conditional asset pricing models

Ferson, W.E. ; Foerster, S.R.

Amsterdam : Elsevier

Journal of Financial Economics 36 (1994), S. 29-55

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ISSN: 0304-405X

Keywords: Asset pricing ; Finite sample properties ; Generalized method of moments ; Latent variables ; [JEL classification codes] C15 ; [JEL classification codes] C31 ; [JEL classification codes] G12

Source: Elsevier Journal Backfiles on ScienceDirect 1907 - 2002

Topics: Economics

Type of Medium: Electronic Resource

URL: http://linkinghub.elsevier.com/retrieve/pii/0304-405X(94)90029-9

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20

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Pricing of permanent and transitory volatility for U.S. stock returns - A composite GARCH model

den Hertog, R.J.

Amsterdam : Elsevier

Economics Letters 44 (1994), S. 421-426

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ISSN: 0165-1765

Keywords: [JEL classification codes] G12

Source: Elsevier Journal Backfiles on ScienceDirect 1907 - 2002

Topics: Economics

Type of Medium: Electronic Resource

URL: http://linkinghub.elsevier.com/retrieve/pii/0165-1765(94)90115-5

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21

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The term structure of interest rates over the business cycle

Labadie, P.

Amsterdam : Elsevier

Journal of Economic Dynamics and Control 18 (1994), S. 671-697

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ISSN: 0165-1889

Keywords: Business cycle ; Risk premiums ; Trend vs difference stationary ; Yield curve ; [JEL classification codes] E32 ; [JEL classification codes] E4 ; [JEL classification codes] G12

Source: Elsevier Journal Backfiles on ScienceDirect 1907 - 2002

Topics: Economics

Type of Medium: Electronic Resource

URL: http://linkinghub.elsevier.com/retrieve/pii/0165-1889(94)90027-2

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22

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Daily seasonality in stock returns - Further international evidence

Peiro, A.

Amsterdam : Elsevier

Economics Letters 45 (1994), S. 227-232

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ISSN: 0165-1765

Keywords: [JEL classification codes] G12

Source: Elsevier Journal Backfiles on ScienceDirect 1907 - 2002

Topics: Economics

Type of Medium: Electronic Resource

URL: http://linkinghub.elsevier.com/retrieve/pii/0165-1765(94)90140-6

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23

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Employee stock options

Huddart, S.

Amsterdam : Elsevier

Journal of Accounting and Economics 18 (1994), S. 207-231

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ISSN: 0165-4101

Keywords: Exercise policy ; Management compensation ; Stock options ; Valuation ; [JEL classification codes] C61 ; [JEL classification codes] G12 ; [JEL classification codes] M41

Source: Elsevier Journal Backfiles on ScienceDirect 1907 - 2002

Topics: Economics

Type of Medium: Electronic Resource

URL: http://linkinghub.elsevier.com/retrieve/pii/0165-4101(94)00363-7

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24

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Present value models with feedback - Solutions, stability, bubbles, and some empirical evidence

Timmermann, A.

Amsterdam : Elsevier

Journal of Economic Dynamics and Control 18 (1994), S. 1093-1119

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ISSN: 0165-1889

Keywords: Feedback ; Multiple equilibria ; Rational expectations ; [JEL classification codes] C62 ; [JEL classification codes] G12

Source: Elsevier Journal Backfiles on ScienceDirect 1907 - 2002

Topics: Economics

Type of Medium: Electronic Resource

URL: http://linkinghub.elsevier.com/retrieve/pii/0165-1889(94)90049-3

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25

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Temporal dependence in asset pricing models

Turtle, H.J.

Amsterdam : Elsevier

Economics Letters 45 (1994), S. 361-366

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ISSN: 0165-1765

Keywords: [JEL classification codes] G12

Source: Elsevier Journal Backfiles on ScienceDirect 1907 - 2002

Topics: Economics

Type of Medium: Electronic Resource

URL: http://linkinghub.elsevier.com/retrieve/pii/0165-1765(94)90038-8

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