The proposition that investors are overconfident about their valuation and trading skills can
explain high observed trading volume. With biased self-attribution, the level of investor …

… We can confirm Haugen and Baker’s [1991] basic empirical result over the years 1972 … any
awareness of the value or any other factor’s performance. The value factor as we now know it …

We document a directional asymmetry in the small stock concurrent and lagged response to
large stock movements. When returns on large stocks are negative, the concurrent beta for …

… i’s total return that is uncorrelated with the benchmark portfolio. Forecasted residual security
returns, αi, are the portfolio manager’s … a managed portfolio’s benchmark-relative positions. …

… The single-index model’s ex ante risk tends to understate the actual realized risk of that
portfolio because the covariance matrix does not account for correlation structures beyond the …

… in parentheses below the skewness and excess kurtosis coefficients are asymptotic standard
errors, (6/7~)1/2 and (24/7")1/2, respectively, pt is the sample autocorrelation at lag t and S(…

… The paper’s conclusions are presented in section 5. … in only 10 and 20 percent marginal
significance levels for Sichel’s deepness tests.’ 5 The Markov chain test employs a second-order …

This paper uses a Markov chain model to test the random walk hypothesis of stock prices.
Given a time series of returns, a Markov chain is defined by letting one state represent high …

… This article’s results are generally robust to the specific shrinkage process, although we
require some sort of Bayesian adjustment in order to avoid extreme predicted risk parameter …

… ρ t is the sample autocorrelation at log t and S(ρ) is the asymptotic standard error of the
autocorrelations under the null hypothesis of a random walk. Q(12) is the Ljung–Box …