منابع مشابه
Impact of momentum on stock returns in different market conditions
The purpose of this study is to compare the impacts of momentum on stock returns of companies listed in Tehran Stock Exchange in different market conditions. For this purpose, the sample size is 120 months from 2008 to 2017. The research hypotheses are estimated using multivariate linear regression using time series method. Based on the results of the hypotheses test, the momentum in each of th...
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This thesis consists of three chapters exploring predictability of stock returns. In the first chapter, I suggest a new approach to analysis of stock return predictability. Instead of relying on predictive regressions, I employ a state space framework. Acknowledging that expected returns and expected dividends are unobservable, I use the Kalman filter technique to extract them from the observed...
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This thesis consists of three chapters that cover separate topics in econometrics. The first chapter demonstrate a negative result on the asymptotic sizes of subset AndersonRubin tests with weakly identified nuisance parameters and general covariance structure. The result of Guggenberger et al (2012) in case of homoskedasticity is shown to break down when general covariance structure is allowed...
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This three-essay thesis focuses on how value of the brand, i.e. brand equity is created, with each study investigating different parts of the relationships within the brand value chain. My first essay identifies and tests a new set of brand equity drivers such as brand structure and positioning, brand strategy, and customer characteristics. I use revenue premium as the retail level measure of b...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2013
ISSN: 1556-5068
DOI: 10.2139/ssrn.2346627