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- Mitchell A. Petersen, Robert Chirinko, +23 authors Sungjoon Park
- 2005

In corporate finance and asset pricing empirical work, researchers are often confronted with panel data. In these data sets, the residuals may be correlated across firms or across time, and OLS standard errors can be biased. Historically, the two literatures have used different solutions to this problem. Corporate finance has relied on clustered standard… (More)

- Campbell R. Harvey, Warren Bailey, +9 authors Rudi Shadt

The emergence of new equity markets in Europe, Latin America, Asia, the Mideast and Africa provides a new menu of opportunities for investors. These markets exhibit high expected returns as well as high volatility. Importantly, the low correlations with developed countries' equity markets significantly reduces the unconditional portfolio risk of a world… (More)

- Geert Bekaert, Campbell R. Harvey, Warren Bailey, Bernard Dumas, Wayne Ferson, Steve Grenadier
- 1999

We propose a measure of capital market integration arising from a conditional regime-switching model. Our measure allows us to describe expected returns in countries that are segmented from world capital markets in one part of the sample and become integrated later in the sample. We find that a number of emerging markets exhibit time-varying integration.… (More)

- Ulrike Malmendier, Stefan Nagel, +6 authors Nelli Oster
- 2007

We investigate whether individual experiences of macroeconomic shocks affect financial risk taking, as often suggested for the generation that experienced the Great Depression. Using data from the Survey of Consumer Finances from 1960-2007, we find that individuals who have experienced low stock-market returns throughout their lives so far report lower… (More)

We study the properties of unconditional minimum-variance portfolios in the presence of conditioning information. Such portfolios attain the smallest variance for a given mean among all possible portfolios formed using the conditioning information. We provide explicit solutions for n risky assets, either with or without a riskless asset. Our solutions… (More)

Previous studies identify predetermined variables that predict stock and bond returns through time. This paper shows that loadings on the same variables provide significant cross-sectional explanatory power for stock portfolio returns. The load-ings are significant given the three factors advocated by Fama and French ~1993! and the four factors of Elton,… (More)

- Wayne E. Ferson
- 1993

We investigate predictability in national equity market returns, and its relation to global economic risks. We show how to consistently estimate the fraction of the predictable variation that is captured by an assetpricing modelfor the expected returns. We use a model in which conditional betas of the national equity markets depend on local information… (More)

- KENT D. DANIEL, DAVID HIRSHLEIFER, +11 authors Matt Spiegel
- 2001

This paper offers a model in which asset prices ref lect both covariance risk and misperceptions of firms’ prospects, and in which arbitrageurs trade against mispricing. In equilibrium, expected returns are linearly related to both risk and mispricing measures ~e.g., fundamental0price ratios!. With many securities, mispricing of idiosyncratic value… (More)

- JEFF FLEMING, CHRIS KIRBY, +11 authors Guofu Zhou
- 1999

Numerous studies report that standard volatility m odels h a ve l o w explanatory p o wer, leading some researchers to question whether these models have e conomic value. W e examine this q uestion by using conditional mean-variance analysis to assess the value of volatility timing to short-horizon investors. We nd that the volatility t i ming strategies… (More)

- WAYNE E. FERSON, SERGEI SARKISSIAN, +5 authors Raymond Kan
- 1987

Even though stock returns are not highly autocorrelated, there is a spurious regression bias in predictive regressions for stock returns related to the classic studies of Yule (1926) and Granger and Newbold (1974). Data mining for pre-dictor variables interacts with spurious regression bias. The two e¡ects reinforce each other, because more highly… (More)