The authors model stock returns as a stochastic function of a constant expected return and the financing costs resulting from delayed delivery, to examine three potential sources of instability in stock-return model parameter estimates.Stock - Prices ; Stock market

Nan-Ting Chou

Ramon P. DeGennaro

English

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Regime changes in stock returns

http://www.clevelandfed.org/research/Workpaper/1989/wp8915.pdf

Regime changes in stock returns

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Research Papers in Economics