Poterba and summers 1988
WebThe VR test is often used (see Cochrane, 1988; Lo and MacKinlay, 1988; Poterba and Summers, 1988; among others) to test the hypothesis that a given time series or its first difference (or return), xt =yt −yt−1, is a collection of i.i.d. observations or that it follows a martingale difference sequence. Define the VR of k-period return as V ... Web1988, Poterba and Summers 1988 and Baxter 1994). The theoretical model, which largely follows that of Malliaropulos (1998), predicts a negative relationship. The fourth contribution, which is the primal objective of this paper, is to investigate the determinants of the dynamic link between the two series. ...
Poterba and summers 1988
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Web20 Dec 2015 · Sheehan(1988) find smallerUS firms morelikely controllingshareholder. Nonetheless, Morck et al. (1988), Holderness et al. (1999) othersreport blockholders owning 20% significantnumber U.S.firms. Anderson Reeb(2003) find manylarge United States firms retain connections foundingfamilies, even when those families control little …
http://fmwww.bc.edu/repec/mmfc05/paper64.pdf Web(1984), Fama and French (1988a, b) for the U.S. market, Poterba and Summers (1988), Cutler, Poterba and Summers (1991) for U.S. and European markets and Sentana and Wadhwani (1991) for the Japanese market, among many. Fama and French (1988a) and Poterba and Summers (1988) show that there appears to be evidence for a mean …
WebJames M. Poterba Lawrence H. Summers Working Paper No. 2343 NATIONAL BUREAU OF ECONOMIC RESEARCH 1050 Massachusetts Avenue Cambridge, MA 02138 August 1987 … Web[1] Poterba and Summers, 1988, Mean Reversion in Stock Prices: Evidence and Implications, Journal of Financial Economics 22, 27-59 [2] Fama and French, 1988, Permanent and …
WebPoterba, James M. and Lawrence H. Summers. "The Economic Effects of Dividend Taxation." Recent Advances in Corporate Finance, edited by Edward Altman and Marti Subrahmanyam, pp. 227-284. Homewood, IL: Richard D. Irwin Publishers, 1985. Topics Financial Economics
WebDeBondt and Thaler (1985, 1987), DeLong, Shleifer, Summers, and Waldmann (1989), Lehmann (1988), Poterba and Summers (1988), and Shefrin and Statman (1985)]. Although such a hypothesis does imply predictability, since what goes down must come up and vice versa, a well-articulated equilibrium theory of overreaction with sharp sbi marthandam branch ifsc codeWebexplained by the variability of the volatility of stock returns. Against this, Poterba and Summers (1986) have argued that volatility is not persistent enough to account for much … should the menendez brothers be releasedWebIn a related literature, a number of studies have found evidence of mean reversion in returns on stock portfolios at horizons of three to five years or longer (Poterba and Summers 1988; Fama and French 1988). This implies that a long period of below-average stock returns increases the likelihood of a period of above-average returns in the future. sbi maruthankuzhy branchWeb25 Jun 2014 · One, partial, explanation comes from the observation by various researchers including Poterba and Summers (1988) and Fama and French (1988), of positive short-term autocorrelation among stock returns and negative longer-term autocorrelation. should the matter be urgentWeb27 Apr 2000 · James M. Poterba. Massachusetts Institute of Technology (MIT) - Department of Economics; National Bureau of Economic Research (NBER) Lawrence H. Summers. … should the midwest be capitalizedWebPoterba and Summers (1988) observe that the failure to distinguish between low-frequency mean reversion and complete unpredictability of returns lies in the power of the tests … sbi masjid moth contact numberWebPoterba and Summers (1988) analyzed real (as distinct from excess) returns excluding dividends and computed from monthly averages of stock prices as reported by the … sbi marol branch contact number