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Forecasting Equity Premium: Global Historical Average versus Local Historical Average and Constraints
Equity premium Nonparametric local historical average model Positivity con- straint Bagging
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2016/1/25
The equity premium, return on equity minus return on risk-free asset, is expected to be positive. We consider imposing such positivity constraint in local historical average (LHA) in nonparametric ker...
Forecasting Equity Premium: Global Historical Average versus Local Historical Average and Constraints
Equity premium Nonparametric local historical average model Positivity con- straint Bagging Model averaging
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2016/1/20
The equity premium, return on equity minus return on risk-free asset, is expected to be positive. We consider imposing such positivity constraint in local historical average (LHA) in nonparametric ker...
Corporate earnings and the equity premium
Corporate earnings Equity premium
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2015/7/23
Corporate cash flows are highly volatile and strongly procyclical. We examine the assetpricing implications of the sensitivity of corporate cash flows to economic shocks within a
continuo...