Parameter Uncertainty, Financial Turbulence and Aggregate Stock Returns
In this paper, we develop a novel, intuitive and objective measure of time-varying parameter uncertainty (PU) based on a simple statistical test.
Sebastian Stöckl
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Turbulence in the Cross-Section: Predicting Factor Premia
We show that parameter uncertainty based on the turbulence within each cross-section of factor portfolios produces a significant out-of-sample forecast for six out of seven tested …
Sebastian Stöckl
Towards a Well-Founded Valuation of Managerial Flexibilities in IT Investment Projects - A Multidisciplinary Literature Review
Based on a multidisciplinary literature review, we discuss the assumptions implicit in the prevalent Black-Scholes model and argue for relaxed assumptions that better represent …
bernd-heinrich
The Economic Benefit of Forecasting Market Components for Mean-Variance Investors
Do forecasting errors from direct predictions of market components out-way the additional errors introduced by an intermediary asset pricing model?
lars-kaiser