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Sign realized jump risk and the cross-section of stock returns: Evidence from China's stock market
Using 5-minute high frequency data from the Chinese stock market, we employ a non-parametric method to estimate Fama-French portfolio realized jumps and investigate whether the estimated positive, negative and sign realized jumps could forecast or explain the cross-sectional stock returns. The Fama-...
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| Publicado no: | PLoS One |
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| Main Authors: | , , |
| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
Public Library of Science
2017
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| Assuntos: | |
| Acesso em linha: | https://ncbi.nlm.nih.gov/pmc/articles/PMC5542663/ https://ncbi.nlm.nih.gov/pubmed/28771514 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1371/journal.pone.0181990 |
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