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Relevant bibliographies by topics / Excess return

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Academic literature on the topic 'Excess return'

Author: Grafiati

Published: 4 June 2021

Last updated: 21 February 2023

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Journal articles on the topic "Excess return"

1

Mahmud, Delvira. "Testing the Four Factors of the Carhart Model Against Excess Return of Shares in Companies Registered in the Kompas 100 Index for the 2014-2016 Period." Jambura Science of Management 1, no. 1 (2019): 16–20. http://dx.doi.org/10.37479/jsm.v1i1.1983.

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The researcher intends to test the four carhart factor model of stock excess return in companies incorporated in Kompas 100 for the 2014-2016 period. Regression analysis was performed on four carhart factor models, namely market returns, firm size, book to market, and momentum towards excess return. The results of this study indicate that in the partial hypothesis testing market return, firm size, and book to market equty variables significantly influence the excess return, while the momentum variable does not significantly influence the magnitude of excess return.Keywords: Four factors, marke

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Huang, Yin-Yin, I.-Fei Chen, Chien-Liang Chiu, and Ruey-Chyn Tsaur. "Adjustable Security Proportions in the Fuzzy Portfolio Selection under Guaranteed Return Rates." Mathematics 9, no. 23 (2021): 3026. http://dx.doi.org/10.3390/math9233026.

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Based on the concept of high returns as the preference to low returns, this study discusses the adjustable security proportion for excess investment and shortage investment based on the selected guaranteed return rates in a fuzzy environment, in which the return rates for selected securities are characterized by fuzzy variables. We suppose some securities are for excess investment because their return rates are higher than the guaranteed return rates, and the other securities whose return rates are lower than the guaranteed return rates are considered for shortage investment. Then, we solve th

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3

Nyberg, Henri. "Risk-Return Tradeoff in U.S. Stock Returns over the Business Cycle." Journal of Financial and Quantitative Analysis 47, no. 1 (2011): 137–58. http://dx.doi.org/10.1017/s0022109011000615.

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AbstractIn the empirical finance literature, findings on the risk-return tradeoff in excess stock market returns are ambiguous. In this study, I develop a new qualitative response (QR)-generalized autoregressive conditional heteroskedasticity-in-mean (GARCH-M) model combining a probit model for a binary business cycle indicator and a regime-switching GARCH-M model for excess stock market return with the business cycle indicator defining the regime. Estimation results show that there is statistically significant variation in the U.S. excess stock returns over the business cycle. However, consis

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Demirer, Riza, Rangan Gupta, Zhihui Lv, and Wing-Keung Wong. "Equity Return Dispersion and Stock Market Volatility: Evidence from Multivariate Linear and Nonlinear Causality Tests." Sustainability 11, no. 2 (2019): 351. http://dx.doi.org/10.3390/su11020351.

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We employ bivariate and multivariate nonlinear causality tests to document causality from equity return dispersion to stock market volatility and excess returns, even after controlling for the state of the economy. Expansionary (contractionary) market states are associated with a low (high) level of equity return dispersion, indicating asymmetries in the relationship between return dispersion and economic conditions. Our findings indicate that both return dispersion and business conditions are valid joint forecasters of stock market volatility and excess returns and that return dispersion poss

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Gilmore, Stephen, and Fumio Hayashi. "Emerging Market Currency Excess Returns." American Economic Journal: Macroeconomics 3, no. 4 (2011): 85–111. http://dx.doi.org/10.1257/mac.3.4.85.

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We consider the excess return from 20 internationally tradable emerging market (EM) currencies against the US dollar. It has two contributions. First, we document stylized facts about EM currencies. EM currencies have provided significant equity-like excess returns against major currencies, but with low volatility. Picking EM currencies with a relatively high forward premium raises the portfolio return substantially. Second, our calculation incorporates institutional features of the foreign exchange market, such as lags in settling spot contracts, FX swaps, and bid/offer spreads. Transaction c

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Cochrane, John H., and Monika Piazzesi. "Bond Risk Premia." American Economic Review 95, no. 1 (2005): 138–60. http://dx.doi.org/10.1257/0002828053828581.

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We study time variation in expected excess bond returns. We run regressions of one-year excess returns on initial forward rates. We find that a single factor, a single tent-shaped linear combination of forward rates, predicts excess returns on one-to five-year maturity bonds with R2 up to 0.44. The return-forecasting factor is countercyclical and forecasts stock returns. An important component of the return-forecasting factor is unrelated to the level, slope, and curvature movements described by most term structure models. We document that measurement errors do not affect our central results.

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Darma, Yuki Dwi, and Valentina Siyami Anggi Lestari. "Fama-French Five Factors Model pada Excess Return Saham Indeks Kompas 100." Jurnal Riset Akuntansi & Perpajakan (JRAP) 9, no. 01 (2022): 88–100. http://dx.doi.org/10.35838/jrap.2022.009.01.07.

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ABSTRACT In accordance with the title of this study, namely Empirical Test of the Effect of the Fama-French Five Factor Model on Excess Returns on Stocks listed on the Kompas 100 Index for the 2015-2019 period, this study aims to partially re-test the Fama-France Five Factor Model method. This study uses return data from stocks listed on the Kompas 100 Index from January 2015 to December 2019 which are then formed into time series data with excess monthly stock portfolios. This study adapts the methodology of Fama and French (2015) using 2X2 and 2x3 constructions to form a portfolio and

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Hossan, Mohammad Akter, and Mohammad Joynal Abedin. "Factors of Stock Return and Carhart Model: The Case of Dhaka Stock Exchange (DSE) of Bangladesh." International Journal of Economics and Finance 11, no. 6 (2019): 14. http://dx.doi.org/10.5539/ijef.v11n6p14.

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The objective of this study is to find factors of stock return by testing validity of Carhart model in Dhaka Stock Exchange (DSE) of Bangladesh. For this purpose, this study uses monthly excess return of portfolios, size, book-to-market value, market return, and price momentum data of 109 sample firms to calculate return factors such as market risk premium, size premium (SMB), value premium (HML), and momentum effect (UMD) for the sample period of 2005 to 2014. Then a total of ten portfolios, six based on size and book-to-market value and four based on size and price momentum, are constructed

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Park, Heonsoo, and Soon Yong Kim. "Excess Return Predictability and Excess Volitility Tests in Housing Price." APPRAISAL STUDIES 20, no. 1 (2021): 39–63. http://dx.doi.org/10.23843/as.20.1.3.

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Ramezani Sharifabadi, Mostafa, Saeid Ali Ahmadi, and Mahdi Aghabikzadeh. "Tail Risk and Excess Stock Return." Journal of Financial Managment Perspective 11, no. 36 (2021): 35–55. http://dx.doi.org/10.52547/jfmp.11.36.35.

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Dissertations / Theses on the topic "Excess return"

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Lopez, Vydrin Carlos Junior. "Forecasting High Yield Corporate Bond Industry Excess Return." Thesis, KTH, Matematisk statistik, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-223245.

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In this thesis, we apply unsupervised and supervised statistical learning methods on the high-yield corporate bond market with the goal of predicting its future excess return. We analyse the excess return of industry based indices of high-yield corporate bonds belonging to the Chemical, Metals, Paper, Building Materials, Packaging, Telecom, and Electric Utility industry. To predict the excess return of these high-yield corporate bond industry indices we utilised externally given market-observable financial time series from 96 different asset and indices that we believe to be of predictive valu

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Akolly, Kokou S. "Looking in the Crystal Ball: Determinants of Excess Return." Digital Archive @ GSU, 2010. http://digitalarchive.gsu.edu/math_theses/87.

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This paper investigates the determinants of excess returns using dividend yields as a proxy in a cross-sectional setting. First, we find that types of industry and the current business cycle are determining factors of returns. Second, our results suggest that dividend yield serves a signaling mechanism indicating “healthiness” of a firm among prospective investors. Third we see that there is a positive relationship between dividend yield and risk, especially in the utility and financial sectors. And finally, using actual excess returns, instead of dividend yield in our model shows that all pre

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Åkerström, Paul Linus Martin. "RETURN PATTERNS PROXIMAL TO CENTRAL BANK RATE DECISION ANNOUNCEMENTS : OMX 30 excess return and monetary policy announcements." Thesis, Stockholms universitet, Finansiering, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:su:diva-105824.

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In this study, it is determined that excess returns on the OMX 30 are confirmed to rise in anticipation of monetary policy decisions made by the central banks of Sweden and The United States of America. Those findings were manifested at a greater magnitude on the first day prior to the announcements and on a statistically significant level one day prior to monetary policy decisions from the Federal Open Market Committee. Moreover, excess returns beyond the average rate were found to be substantially higher on the first and third day prior monetary policy decisions from the Swedish Central bank

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Poon, Gary. "The intra- and interstate excess market return for low- and high-volatility level /." Burnaby B.C. : Simon Fraser University, 2006. http://ir.lib.sfu.ca/handle/1892/2695.

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Chamoun, Maykel, and Alexander Altun. "Swedish Mutual Funds : Does the portfolio turnover rate affect the excess return of mutual funds?" Thesis, Internationella Handelshögskolan, Högskolan i Jönköping, IHH, Redovisning och finansiering, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-19459.

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Steinfeldt, Larissa C. "Do Market Anomalies Add Up?" Digital Commons @ East Tennessee State University, 2014. https://dc.etsu.edu/honors/192.

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This is a study about abnormal characteristics in the stock market and how to successfully use them in personal portfolios. Market anomalies are unexpected excess returns that occur in relation to certain variables. Five commonly known market anomalies (market cap, price-earnings ratio, price-book value, momentum, volatility) are tested to give evidence for their presence. Existing variables are then combined in different portfolios in order to observe whether they generate greater excess returns combined rather than individually. This study will also reveal whether long-term holding is possib

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Li, Weitian, and Xi Hong. "Market illiquidity and market excess return: Cross-section and time-series effects : A study of the Shanghai stock exchange." Thesis, Mälardalens högskola, Akademin för utbildning, kultur och kommunikation, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-24614.

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The purpose of the current paper is to explore the cross-sectional relationship between market illiquidity and market excess return on stocks traded in the Shanghai Stock Exchange(SSE)over-time; using data from monthly and yearly databases of CSMAR(China Securities Market and Accounting Research) and statistics annual Shanghai Stock Exchange from 2001.1-2012.12. We believe that the empirical tests on the stocks traded in the New York Stock Exchange (NYSE) of the well-established paper by Amihud(2002)would be potentially useful to be tested in a different setting, the SSE; in doing so, we apply

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Kroon, Erik, and Tom Karlsson. "Replicating the retailers' trading imbalance anomaly : A quantitative study about excess return opportunities on Swedish Small Cap listed firms." Thesis, Uppsala universitet, Företagsekonomiska institutionen, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-447199.

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Previous research conducted on the US markets has found that retailers' trading imbalances can contribute to excess return opportunities, especially on Small Cap stocks. Therefore, we argue that this can be seen as an anomaly. However, anomalies that are found historically may not tell the whole truth. This is because these anomalies have been established on respective studies' specific markets and time periods. Researchers that have investigated the issue argue that it is essential to further challenge anomalies by replicating them in other settings to see if the evidence still holds. Hence,

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Toraní, Ângelo Gabriel Filipe. "An investment strategy based on EPS revision." Master's thesis, Instituto Superior de Economia e Gestão, 2016. http://hdl.handle.net/10400.5/13104.

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Mestrado em Finanças<br>Através da compra de ações, alvo das mais altas revisões a três meses nas estimativas de resultados por ação pelo consenso de analistas, o nosso trabalho incidiu sobre a criação de uma estratégia ativa a fim de verificar a existência de excesso de retorno desde janeiro 2007. As principais conclusões indicam-nos que no cômputo geral a estratégia é incapaz de bater o mercado; que a mesma se comporta de forma diferenciada durante diversos momentos de mercado, sendo preferível praticar uma gestão ativa da carteira durante uma estagnação de mercado; que reduzindo o rebalance

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Silva, Bruno Sidnei da. "Desempenho de reator UASB em escala plena no tratamento de esgoto sanitário e adensamento simultâneo de lodo ativado em excesso do pós-tratamento." Universidade de São Paulo, 2018. http://www.teses.usp.br/teses/disponiveis/3/3147/tde-01112018-160040/.

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Este trabalho de pesquisa teve por objetivo avaliar o efeito do descarte de lodo aeróbio no desempenho do reator UASB. Em paralelo, foi verificado o efeito dessa operação na qualidade do efluente final da ETE, no desempenho operacional da unidade de pós-tratamento e nas características do biogás produzido no reator UASB. De modo geral, não houve impacto negativo no processo de digestão anaeróbia em termos de DQO filtrada no efluente, que foi semelhante quando o afluente era composto essencialmente de esgoto bruto, na ordem de 60 a 80 mg/L. Por outro lado, os resultados indicaram uma tendência

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Books on the topic "Excess return"

1

Chou, Ray. Measuring risk aversion from excess returns on a stock index. National Bureau of Economic Research, 1991.

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Evans, Martin D. D. Peso problems and heterogeneous trading: Evidence from excess returns in foreign exchange and Euromarkets. National Bureau of Economic Research, 1992.

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Geert, Bekaert. Characterizing predictable components in excess returns on equity and foreign exchange markets. National Bureau of Economic Research, 1991.

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Case, Karl E. Forecasting prices and excess returns in the housing market. National Bureau of Economic Research, 1990.

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Faust, Jon. Efficient prediction of excess returns. National Bureau of Economic Research, 2008.

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Canada, Bank of. Unit-root tests and excess returns. Bank of Canada, 1996.

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Greenwood, Robin. Bond supply and excess bond returns. National Bureau of Economic Research, 2008.

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Godbout, Marie-Josée. Unit-root tests and excess returns. Bank of Canada, 1996.

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Malz, Allan M. Option-implied probability distributions and currency excess returns. Federal Reserve Bank of New York, 1997.

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Malz, Allan M. Option-implied probability distributions and currency excess returns. Federal Reserve Bank of New York, 1997.

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Book chapters on the topic "Excess return"

1

Teglio, Andrea, Marco Raberto, and Silvano Cincotti. "Explaining Equity Excess Return by Means of an Agent-Based Financial Market." In Lecture Notes in Economics and Mathematical Systems. Springer Berlin Heidelberg, 2009. http://dx.doi.org/10.1007/978-3-642-02956-1_12.

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Vandenabeele-Trambouze, O., M. Dobrijevic, D. Despois, et al. "Search for Enantiomeric Excess in Extraterrestrial Samples. Interest for Mars Sample Return." In First Steps in the Origin of Life in the Universe. Springer Netherlands, 2001. http://dx.doi.org/10.1007/978-94-010-1017-7_50.

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Kusuma, Evelyn, Putu Anom Mahadwartha, and Endang Ernawati. "Comparison of Optimal Portfolio Before and During the Covid-19 Pandemic: Testing on LQ45." In Proceedings of the 19th International Symposium on Management (INSYMA 2022). Atlantis Press International BV, 2022. http://dx.doi.org/10.2991/978-94-6463-008-4_11.

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AbstractThis study forms an optimal portfolio using a single index model on LQ45 index stocks and compares its performance before and during the Covid-19 pandemic. Return, risk, Sharpe ratio, and Treynor ratio are compared between the period before and during the pandemic. The calculation of excess return to beta results obtains three stocks that make up the optimal portfolio (2016 to 2021), namely ANTM, BBCA, and INCO, with sequential proportions of 89.87%, 1.96%, and 8.17%. The different paired sample t-test results show differences in risk and Sharpe ratio performance in the portfolio before and during the Covid-19 pandemic. The risk is higher during than before the pandemic, with a higher Sharpe ratio value before the pandemic, even though both are negative. Meanwhile, the paired sample t-test comparison results for returns and Treynor ratio show no difference in portfolio performance before and during the Covid-19 pandemic.

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Lee, Ju-sang, Sangook Lee, Seokcheol Chang, and Byung-Ha Ahn. "A Comparison of GA and PSO for Excess Return Evaluation in Stock Markets." In Artificial Intelligence and Knowledge Engineering Applications: A Bioinspired Approach. Springer Berlin Heidelberg, 2005. http://dx.doi.org/10.1007/11499305_23.

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Liu, Cheng-Yong, Shih-Yung Wei, and Xiu-Wen Ye. "Analysis on Excess Return and Risk of Individual Stock—The Case Study of China." In Lecture Notes of the Institute for Computer Sciences, Social Informatics and Telecommunications Engineering. Springer International Publishing, 2019. http://dx.doi.org/10.1007/978-3-030-06158-6_29.

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Larsen, Tom, and David Holland. "Beyond Earnings: A User's Guide to Excess Return Models and the HOLT CFROI® Framework." In Equity Valuation. John Wiley & Sons, Inc., 2015. http://dx.doi.org/10.1002/9781119208754.part3.

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Wong, Yuen-Meng. "Asia-Pacific Currency Excess Returns." In Emerging Markets and Financial Resilience. Palgrave Macmillan UK, 2013. http://dx.doi.org/10.1057/9781137266613_7.

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Godbout, Marie-Josée, and Simon van Norden. "Unit-Root Tests and Excess Returns." In Dynamic Modeling and Econometrics in Economics and Finance. Springer US, 1999. http://dx.doi.org/10.1007/978-1-4615-5129-4_5.

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Hennink, Erik. "Long-Term Expected Credit Spreads and Excess Returns." In Advances in the Practice of Public Investment Management. Springer International Publishing, 2018. http://dx.doi.org/10.1007/978-3-319-90245-6_8.

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Han, Henry, Yi Wu, Jie Ren, and Li Diane. "Forecasting Stock Excess Returns with SEC 8-K Filings." In Communications in Computer and Information Science. Springer Nature Switzerland, 2022. http://dx.doi.org/10.1007/978-3-031-23387-6_1.

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Conference papers on the topic "Excess return"

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Ulrich, Patrick, and Dennis Anselmann. "Insider trading on the German capital market — Can insiders achieve excess returns through their information advantage?" In Corporate governance: A search for emerging trends in the pandemic times. Virtus Interpress, 2021. http://dx.doi.org/10.22495/cgsetpt17.

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This study investigates whether corporate insiders can generate excess returns on the German capital market due to their information advantage. This is done with the help of an event study based on a market model that estimates the expected returns. Furthermore, the effect size of individual aspects is examined in a multiple regression. It is shown that insiders can achieve short-term excess returns of up to 2.1% after purchases and of up to -2.95% after sales. Moreover, these are strikingly high for, relative to market capitalization, transactions of smaller firms and transactions of other ex

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Shen Lian Chung and Hui Ming Wee. "An integrated excess stock return model with deteriorating items for vendor-buyer." In 2008 International Conference on Machine Learning and Cybernetics (ICMLC). IEEE, 2008. http://dx.doi.org/10.1109/icmlc.2008.4621087.

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Fan, Long-Zhen. "Notice of Retraction: Official Interest Rate and Bond Excess Return in Chinese Bond Market." In 2007 3rd International Conference on Wireless Communications, Networking, and Mobile Computing - WiCOM '07. IEEE, 2007. http://dx.doi.org/10.1109/wicom.2007.1001.

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Fahreza, Muhammad, and Eko Rizkianto. "Retained Earnings Factor Analysis on Return and Excess Return: A Comparison Study of Retained Earnings-to-Market Equity and Book-to-Market Equity from 2008 - 2018." In International Conference on Business and Engineering Management (ICONBEM 2021). Atlantis Press, 2021. http://dx.doi.org/10.2991/aebmr.k.210522.030.

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Liu, Yilong, and Jingyi Shi. "Comparison of Explanatory Power of Excess Return between 3-Factor, 4-Factor and 5-Factor Model in China Funds Market." In 2022 7th International Conference on Financial Innovation and Economic Development (ICFIED 2022). Atlantis Press, 2022. http://dx.doi.org/10.2991/aebmr.k.220307.416.

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Burgess, Austin Tyler, Colin Hosli, and Kevin Whittaker. "A Return to Production: Subsea Packer Leak Remediation with Pressure-Activated Sealant." In SPE 2022 Symposium Compilation. SPE, 2022. http://dx.doi.org/10.2118/210607-ms.

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Abstract The subject well was a subsea producer in the Gulf of Mexico exhibiting pressure loss from its production annulus. An approximately 40 mL/minute (15 psi/hour) leak was identified via logging techniques during a riser-based intervention campaign. This leak was then determined to be past the production packer element set. The well was isolated and the data was reviewed to identify forward options. Though considered, a riser-based intervention was eliminated as an option to restore integrity and return it to production due to technical, scheduling, and economic considerations. Based on t

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Schmidt, Lasse, Daniel B. Roemer, Henrik C. Pedersen, and Torben O. Andersen. "Speed-Variable Switched Differential Pump System for Direct Operation of Hydraulic Cylinders." In ASME/BATH 2015 Symposium on Fluid Power and Motion Control. American Society of Mechanical Engineers, 2015. http://dx.doi.org/10.1115/fpmc2015-9575.

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Efforts to overcome the inherent loss of energy due to throttling in valve driven hydraulic systems are many, and various approaches have been proposed by research communities as well as the industry. Recently, a so-called speed-variable differential pump was proposed for direct drive of hydraulic differential cylinders. The main idea was here to utilize an electric rotary drive, with the shaft interconnected to two antiparallel fixed displacement gear pumps, to actuate a differential cylinder. With the design carried out such that the area ratio of the cylinder matches the displacement ratio

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Traipattanakul, B., C. Y. Tso, and Christopher Y. H. Chao. "Study of Electrostatic-Induced Jumping Droplets on Superhydrophobic Surfaces." In ASME 2017 International Mechanical Engineering Congress and Exposition. American Society of Mechanical Engineers, 2017. http://dx.doi.org/10.1115/imece2017-70311.

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Condensation of water vapor is an important process utilized in energy/thermal/fluid systems. When droplets coalesce on the non-wetting surface, excess surface energy converts to kinetic energy leading to self-propelled jumping of merged droplets. This coalescing-jumping-droplet condensation can better enhance heat transfer compared to classical dropwise condensation and filmwise condensation. However, the resistance force can cause droplets to return to the surface. These returning droplets can either coalesce with neighboring droplets and jump again, or adhere to the surface. As time passes,

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Mehta, Anjna R., Hardayal S. Mehta, Hwang Choe, George B. Inch, and Roy Corieri. "Thermal-Hydraulic and LBB Evaluations to Justify Short-Term Plant Operation With a CRD Return Line Susceptible to Potential Thermal Stratification." In ASME/JSME 2004 Pressure Vessels and Piping Conference. ASMEDC, 2004. http://dx.doi.org/10.1115/pvp2004-2560.

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Most of the BWR reactor pressure vessels have control rod drive hydraulic return (CRDHR) line nozzles. Each vessel has one such nozzle, typically 3–4 inches in diameter, and generally located 68–100 inches above the top of the active fuel. The CRDHR line was designed to provide a reactor pressure reference to the CRD system and to return to the reactor vessel exhaust water from CRD movement and water in excess of system requirements. The horizontal section of the piping near the CRDHR line nozzle is susceptible to thermal striping. Many of the BWR plants have capped this line. Recently at an o

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Schindler, Christoph, and Gerta Zimmer. "Design Philosophy and Dynamic Calculation Method for Optimized Load Rejection Characteristics of Steam Turbines." In ASME Turbo Expo 2012: Turbine Technical Conference and Exposition. American Society of Mechanical Engineers, 2012. http://dx.doi.org/10.1115/gt2012-68613.

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A load rejection disconnects the generator from the electrical grid. The resulting power excess accelerates the turbo set. Reacting to the load rejection, the turbine governor rapidly closes the steam admission valves. The remaining entrapped steam expands, thereby continuing to power the turbine. Thus the turbine speed rises till a dynamic equilibrium of accelerating and braking forces is reached. Thereafter the turbine speed decreases. If the maximally attained turbine speed remains below the trip threshold, immediate re-synchronization to the electrical grid is possible. Consequently, a for

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Reports on the topic "Excess return"

1

Faust, Jon, and Jonathan Wright. Efficient Prediction of Excess Returns. National Bureau of Economic Research, 2008. http://dx.doi.org/10.3386/w14169.

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Gilmore, Stephen, and Fumio Hayashi. Emerging Market Currency Excess Returns. National Bureau of Economic Research, 2008. http://dx.doi.org/10.3386/w14528.

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Greenwood, Robin, and Dimitri Vayanos. Bond Supply and Excess Bond Returns. National Bureau of Economic Research, 2008. http://dx.doi.org/10.3386/w13806.

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Berg, Kimberly, and Nelson Mark. Global Macro Risks in Currency Excess Returns. National Bureau of Economic Research, 2017. http://dx.doi.org/10.3386/w23764.

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Neely, Christopher J., and Michael J. Dueker. Can Markov Switching Models Predict Excess Foreign Exchange Returns? Federal Reserve Bank of St. Louis, 2001. http://dx.doi.org/10.20955/wp.2001.021.

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Case, Karl, and Robert Shiller. Forecasting Prices and Excess Returns in the Housing Market. National Bureau of Economic Research, 1990. http://dx.doi.org/10.3386/w3368.

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Chou, Ray, Robert Engle, and Alex Kane. Measuring Risk Aversion From Excess Returns on a Stock Index. National Bureau of Economic Research, 1991. http://dx.doi.org/10.3386/w3643.

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Burnside, Craig. Identification and Inference in Linear Stochastic Discount Factor Models with Excess Returns. National Bureau of Economic Research, 2010. http://dx.doi.org/10.3386/w16634.

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Bekaert, Geert, and Robert Hodrick. Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets. National Bureau of Economic Research, 1991. http://dx.doi.org/10.3386/w3790.

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Evans, Martin, and Karen Lewis. Peso Problems and Heterogeneous Trading: Evidence From Excess Returns in Foreign Exchange and Euromarkets. National Bureau of Economic Research, 1992. http://dx.doi.org/10.3386/w4003.

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