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Return Predictability for presentation at UESTC, June 2011

Return Predictability for presentation at UESTC, June 2011

Return Predictability for presentation at UESTC, June 2011. Commonality in the determinants of expected stock returns Haugen and Baker (1996, JFE). Two findings distinguish this paper from others in the contemporary literature:

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741 views • 55 slides
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???????. ?????. Asset Pricing Theory. Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance.

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603 views • 52 slides
EFFICIENT MARKETS

EFFICIENT MARKETS

EFFICIENT MARKETS. The Efficient Market Hypothesis. Most tests of EMH: How fast information is incorporated in prices Not whether information is correctly incorporated in prices Weak Form Semi-strong Form Strong Form. Fair Game. Information set ? t can not be used to earn excess return.

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395 views • 24 slides
Efficient Capital Markets: II

Efficient Capital Markets: II

Efficient Capital Markets: II. Eugene F. Fama (1991) Presentation by: Oktavia 0806479074. OUTLINE. The Theme The Main Areas of Research Return Predictability: Time-Varying Expected Returns Cross-Sectional Return Predictability Event Studies Tests for Private Information Conclusions.

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873 views • 22 slides
Chapter 10: Market Efficiency and Behavioral Finance

Chapter 10: Market Efficiency and Behavioral Finance

Chapter 10: Market Efficiency and Behavioral Finance. Corporate Finance , 3e Graham, Smart, and Megginson. Efficient Financial Markets. Informational efficiency The efficient markets hypothesis (EMH) asserts that financial asset prices fully reflect all available information.

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1.01k views • 19 slides

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