“The term structure of stock return predictability”. Link here
“The day destroys the night, Night extends the day: A clientele perspective on equity premium variation”, with Dong Lou and Christopher Polk. Link here
"Hedge fund exposures with daily data" 2021, with Christos Antoniadis. Link here
"Guidelines for constructing factors using futures and options data from Thomson Reuters Datastream", with Christos Antoniadis. Link here
"The Penalized Sharpe Ratio: A simple statistic for evaluating tangency portfolia", 2021, with Conrad Landis
"Econometric analysis of return based factors with evidence from momentum", 2021, with Conrad Landis
"Why do hedge funds voluntatily report daily returns?" 2021, with Christos Antoniadis.
“Parametric market timing for mean-variance investors”, previously distributed as Risk Neutral Forecasting, 2001
“The sign of a mean regression: characterisation, estimation and applications”, 2001. Link
“Gibrat's law does not imply Zipf's law”, 2010. Link
“Explaining Zipf’s Law for US cities”, 2009. Link. An online appendix is available here.
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