-
1
-
-
21144460194
-
Systematic risk, hedging pressure, and risk premiums in futures markets
-
Bessembinder, H. (1992), 'Systematic Risk, Hedging Pressure, and Risk Premiums in Futures Markets', Review of Financial Studies, Vol. 5, No. 4, pp. 637-67.
-
(1992)
Review of Financial Studies
, vol.5
, Issue.4
, pp. 637-667
-
-
Bessembinder, H.1
-
2
-
-
84978597520
-
An empirical analysis of risk premia in futures markets
-
- (1993), 'An Empirical Analysis of Risk Premia in Futures Markets', Journal of Futures Markets, Vol. 13, No. 6, pp. 611-30.
-
(1993)
Journal of Futures Markets
, vol.13
, Issue.6
, pp. 611-630
-
-
-
3
-
-
38249008741
-
Time-varying risk premia and forecastable returns in futures markets
-
- and K. Chan (1992), 'Time-Varying Risk Premia and Forecastable Returns in Futures Markets', Journal of Financial Economics, Vol. 32, pp. 169-93.
-
(1992)
Journal of Financial Economics
, vol.32
, pp. 169-193
-
-
Chan, K.1
-
4
-
-
0002341396
-
The supply of storage
-
Brennan, M. J. (1958), 'The Supply of Storage', American Economic Review, Vol. 48 (May), pp. 50-72.
-
(1958)
American Economic Review
, vol.48
, Issue.MAY
, pp. 50-72
-
-
Brennan, M.J.1
-
5
-
-
0000496978
-
Economic forces and the stock market
-
Chen, N. F., R. Roll and S. A. Ross (1986), 'Economic Forces and the Stock Market', Journal of Business, Vol. 59, pp. 383-403.
-
(1986)
Journal of Business
, vol.59
, pp. 383-403
-
-
Chen, N.F.1
Roll, R.2
Ross, S.A.3
-
6
-
-
0000413322
-
Reports of beta's death are premature: Evidence from the UK
-
Clare, A., R. Priestley and S. Thomas (1998), 'Reports of Beta's Death are Premature: Evidence from the UK', Journal of Banking and Finance, Vol. 22, pp. 1207-29.
-
(1998)
Journal of Banking and Finance
, vol.22
, pp. 1207-1229
-
-
Clare, A.1
Priestley, R.2
Thomas, S.3
-
7
-
-
85024998201
-
Macroeconomic factors, the APT and the UK stock market
-
- and S. H. Thomas (1994), 'Macroeconomic Factors, the APT and the UK Stock Market', Journal of Business Finance & Accounting, Vol. 21, No. 3, pp. 309-30.
-
(1994)
Journal of Business Finance & Accounting
, vol.21
, Issue.3
, pp. 309-330
-
-
Thomas, S.H.1
-
8
-
-
0038969184
-
International asset pricing and portfolio diversification with time-varying risk
-
DeSantis, G. and B. Gerard (1997), 'International Asset Pricing and Portfolio Diversification with Time-Varying Risk', Journal of Finance, Vol. 52, pp. 1881-912.
-
(1997)
Journal of Finance
, vol.52
, pp. 1881-1912
-
-
DeSantis, G.1
Gerard, B.2
-
9
-
-
0000914425
-
Futures trading and investor returns: An investigation of commodity market risk premium
-
Dusak, C. (1973), 'Futures Trading and Investor Returns: An Investigation of Commodity Market Risk Premium', Journal of Political Economy, Vol. 81, No. 2, pp. 1387-406.
-
(1973)
Journal of Political Economy
, vol.81
, Issue.2
, pp. 1387-1406
-
-
Dusak, C.1
-
10
-
-
0002753132
-
Commodity futures prices: Some evidence on forecast power, premiums, and the theory of storage
-
Fama, E. F. and K. R. French (1987), 'Commodity Futures Prices: Some Evidence on Forecast Power, Premiums, and the Theory of Storage', Journal of Business, Vol. 60, No. 1, pp. 55-73.
-
(1987)
Journal of Business
, vol.60
, Issue.1
, pp. 55-73
-
-
Fama, E.F.1
French, K.R.2
-
11
-
-
0000928969
-
Risk, return and equilibrium: Empirical tests
-
- and J. D. MacBeth (1973), 'Risk, Return and Equilibrium: Empirical Tests', Journal of Political Economy, Vol. 71, pp. 607-36.
-
(1973)
Journal of Political Economy
, vol.71
, pp. 607-636
-
-
MacBeth, J.D.1
-
12
-
-
0042859341
-
Do assumptions about factor structure matter in empirical tests of the APT?
-
Garrett, I. and R. Priestley (1997), 'Do Assumptions about Factor Structure Matter in Empirical Tests of the APT?' Journal of Business Finance & Accounting, Vol. 24, No. 2, pp. 249-60.
-
(1997)
Journal of Business Finance & Accounting
, vol.24
, Issue.2
, pp. 249-260
-
-
Garrett, I.1
Priestley, R.2
-
13
-
-
0000486548
-
The performance of mutual funds in the period 1945-1964
-
Jensen, M. (1968), 'The Performance of Mutual Funds in the Period 1945-1964', Journal of Finance, Vol. 23, No. 2 (May), pp. 389-416.
-
(1968)
Journal of Finance
, vol.23
, Issue.2 MAY
, pp. 389-416
-
-
Jensen, M.1
-
14
-
-
71149101788
-
Speculation and economic stability
-
Kaldor, N. (1939), 'Speculation and Economic Stability', Review of Economic Studies, Vol. 7 (October), pp. 1-27.
-
(1939)
Review of Economic Studies
, vol.7
, Issue.OCTOBER
, pp. 1-27
-
-
Kaldor, N.1
-
15
-
-
84952494803
-
Arbitrage pricing theory as a restricted nonlinear multivariate regression model: Iterated nonlinear seemingly unrelated estimates
-
McElroy, M. B. and E. Burmeister (1988), 'Arbitrage Pricing Theory as a Restricted Nonlinear Multivariate Regression Model: Iterated Nonlinear Seemingly Unrelated Estimates', Journal of Business and Economic Statistics, Vol. 6, pp. 29-42.
-
(1988)
Journal of Business and Economic Statistics
, vol.6
, pp. 29-42
-
-
McElroy, M.B.1
Burmeister, E.2
-
16
-
-
0001348882
-
Two estimations for the APT model when factors are measured
-
- and K. D. Wall (1985), 'Two Estimations for the APT Model when Factors are Measured', Economic Letters, Vol. 19, pp. 271-75.
-
(1985)
Economic Letters
, vol.19
, pp. 271-275
-
-
Wall, K.D.1
-
17
-
-
0030162494
-
The APT, macroeconomic and financial factors and expectations generating processes
-
Priestley, R. (1996), 'The APT, Macroeconomic and Financial Factors and Expectations Generating Processes', Journal of Banking and Finance, Vol. 20, No. 5, pp. 869-90.
-
(1996)
Journal of Banking and Finance
, vol.20
, Issue.5
, pp. 869-890
-
-
Priestley, R.1
-
18
-
-
49549135545
-
The arbitrage theory of capital asset pricing
-
Ross, S. A. (1976), 'The Arbitrage Theory of Capital Asset Pricing', Journal of Economic Theory, Vol. 13, pp. 341-60.
-
(1976)
Journal of Economic Theory
, vol.13
, pp. 341-360
-
-
Ross, S.A.1
-
19
-
-
0002332446
-
How to rate management of investment funds
-
February
-
Treynor, J. (1965), 'How to Rate Management of Investment Funds', Harvard Business Review, Vol. 43, No. 1 (January-February), pp. 63-75.
-
(1965)
Harvard Business Review
, vol.43
, Issue.1 JANUARY
, pp. 63-75
-
-
Treynor, J.1
-
20
-
-
0010848328
-
Macroeconomic forces and risk premiums on commodity futures
-
Young, D. S. (1991), 'Macroeconomic Forces and Risk Premiums on Commodity Futures', Advances in Futures and Options Research, Vol. 5, pp. 241-54.
-
(1991)
Advances in Futures and Options Research
, vol.5
, pp. 241-254
-
-
Young, D.S.1
|