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Habit persistence: Explaining cross-sectional variation in returns and time-varying expected returns

✍ Scribed by Stig Vinther Møller


Book ID
116641696
Publisher
Elsevier Science
Year
2009
Tongue
English
Weight
700 KB
Volume
16
Category
Article
ISSN
0927-5398

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Jumps in cross-sectional rank and expect
✍ Gloria González-Rivera; Tae-Hwy Lee; Santosh Mishra 📂 Article 📅 2008 🏛 John Wiley and Sons 🌐 English ⚖ 228 KB

## Abstract We propose a new nonlinear time series model of expected returns based on the dynamics of the cross‐sectional rank of realized returns. We model the __joint__ dynamics of a sharp jump in the cross‐sectional rank and the asset return by analyzing (1) the __marginal__ probability distribu