Global ETD Search
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Showing 1 to 2 of 2 for “"returns predictability"”.
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Three essays on stock returns predictability and trading strategies to exploit it
… in three self-contained projects which model predictability in both advanced and emerging stock markets and attempt to exploit it via construction of appropriate trading strategies. The objectives of this research are: 1) to model mean reversion in developed stock markets and re-assess the …
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Three essays on asset pricing
… crude oil market and stock market and the predictability of oil prices on stock returns. Firstly, I illustrate a mechanism for oil shocks to translate into stock market risk under a 2-consumption good CCAPM model framework. Then I use U.S. data and a bivariate EGARCH-DCC model to estimate …