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Julian Thimme - News

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posted Nov 22, 2018, 8:12 AM by Julian Thimme [ updated Nov 22, 2018, 8:14 AM] In the new version of my paper "Elephants and the Cross-Section of Expected Returns" with Nora Laurinaityte, Christoph Meinerding, and Christian Schlag, we show that there is a flaw …

Julian Thimme

www.julianthimme.de

New Working Paper online: Predictability and the Cross-Section of Expected Returns in Models with Long-Run Risks

Ambiguity in the Cross-Section of Expected Returns

www.tandfonline.com

von J Thimme · · Zitiert von: 30 — Julian Thimme Finance Center Münster, Westfälische Wilhelms-Universität Münster,48149, Münster, Germany -muenster.de ... › abs

Predictability and the Cross-Section of Expected Returns: A Challenge...

papers.ssrn.com

Many modern macro finance models imply that excess returns on arbitrary assets are predictable via the price-dividend ratio and the variance risk premium of the

Predictability and the Cross-Section of Expected Returns

dl.acm.org

von C Schlag · · Zitiert von: 1 — Julian Thimme. Institute for Finance, Karlsruhe Institute of Technology, Karlsruhe, Germany. Institute for Finance, Karlsruhe Institute of Technology, ... › mnsc

[PDF] Ambiguity in the Cross-Section of Expected Returns: An...

www.semanticscholar.org

This article estimates and tests the smooth ambiguity model of Klibanoff, Marinacci, and Mukerji based on stock market data. We introduce a novel methodology...