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Expected stock returns and volatility
 Journal of Financial Economics
, 1987
"... This paper examines the relation between stock returns and stock market volatility. We find evidence that the expected market risk premium (the expected return on a stock portfolio minus the Treasury bill yield) is positively related to the predictable volatility of stock returns. There is also evid ..."
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Cited by 674 (9 self)
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This paper examines the relation between stock returns and stock market volatility. We find evidence that the expected market risk premium (the expected return on a stock portfolio minus the Treasury bill yield) is positively related to the predictable volatility of stock returns. There is also
Liquidity Risk and Expected Stock Returns
, 2002
"... This study investigates whether marketwide liquidity is a state variable important for asset pricing. We find that expected stock returns are related crosssectionally to the sensitivities of returns to fluctuations in aggregate liquidity. Our monthly liquidity measure, an average of individualsto ..."
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Cited by 590 (4 self)
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This study investigates whether marketwide liquidity is a state variable important for asset pricing. We find that expected stock returns are related crosssectionally to the sensitivities of returns to fluctuations in aggregate liquidity. Our monthly liquidity measure, an average of individual
On the Expected Size of Recursive Datalog Queries
 In Proc. ACM Symp. on Principles of Database Systems
, 1991
"... We present asymptotically exact expressions for the expected sizes of relations defined by three wellstudied Datalog recursions, namely the "transitive closure", "same generation " and "canonical factorable recursion". We consider the size of the fixpoints of the recur ..."
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Cited by 3 (0 self)
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We present asymptotically exact expressions for the expected sizes of relations defined by three wellstudied Datalog recursions, namely the "transitive closure", "same generation " and "canonical factorable recursion". We consider the size of the fixpoints
The crosssection of expected stock returns
 Journal of Finance
, 1992
"... Your use of the JSTOR archive indicates your acceptance of JSTOR ' s Terms and Conditions of Use, available at ..."
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Cited by 1945 (23 self)
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Your use of the JSTOR archive indicates your acceptance of JSTOR ' s Terms and Conditions of Use, available at
An algorithm for finding best matches in logarithmic expected time
 ACM Transactions on Mathematical Software
, 1977
"... An algorithm and data structure are presented for searching a file containing N records, each described by k real valued keys, for the m closest matches or nearest neighbors to a given query record. The computation required to organize the file is proportional to kNlogN. The expected number of recor ..."
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Cited by 759 (2 self)
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of records examined in each search is independent of the file size. The expected computation to perform each search is proportionalto 1ogN. Empirical evidence suggests that except for very small files, this algorithm is considerably faster than other methods.
Segmentation of brain MR images through a hidden Markov random field model and the expectationmaximization algorithm
 IEEE TRANSACTIONS ON MEDICAL. IMAGING
, 2001
"... The finite mixture (FM) model is the most commonly used model for statistical segmentation of brain magnetic resonance (MR) images because of its simple mathematical form and the piecewise constant nature of ideal brain MR images. However, being a histogrambased model, the FM has an intrinsic limi ..."
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Cited by 619 (14 self)
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The finite mixture (FM) model is the most commonly used model for statistical segmentation of brain magnetic resonance (MR) images because of its simple mathematical form and the piecewise constant nature of ideal brain MR images. However, being a histogrambased model, the FM has an intrinsic limitation—no spatial information is taken into account. This causes the FM model to work only on welldefined images with low levels of noise; unfortunately, this is often not the the case due to artifacts such as partial volume effect and bias field distortion. Under these conditions, FM modelbased methods produce unreliable results. In this paper, we propose a novel hidden Markov random field (HMRF) model, which is a stochastic process generated by a MRF whose state sequence cannot be observed directly but which can be indirectly estimated through observations. Mathematically, it can be shown that the FM model is a degenerate version of the HMRF model. The advantage of the HMRF model derives from the way in which the spatial information is encoded through the mutual influences of neighboring sites. Although MRF modeling has been employed in MR image segmentation by other researchers, most reported methods are limited to using MRF as a general prior in an FM modelbased approach. To fit the HMRF model, an EM algorithm is used. We show that by incorporating both the HMRF model and the EM algorithm into a HMRFEM framework, an accurate and robust segmentation can be achieved. More importantly, the HMRFEM framework can easily be combined with other techniques. As an example, we show how the bias field correction algorithm of Guillemaud and Brady (1997) can be incorporated into this framework to achieve a threedimensional fully automated approach for brain MR image segmentation.
Lag length selection and the construction of unit root tests with good size and power
 Econometrica
, 2001
"... It is widely known that when there are errors with a movingaverage root close to −1, a high order augmented autoregression is necessary for unit root tests to have good size, but that information criteria such as the AIC and the BIC tend to select a truncation lag (k) that is very small. We conside ..."
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Cited by 534 (14 self)
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It is widely known that when there are errors with a movingaverage root close to −1, a high order augmented autoregression is necessary for unit root tests to have good size, but that information criteria such as the AIC and the BIC tend to select a truncation lag (k) that is very small. We
The expected size of the rule k dominating set
 Algorithmica
, 2006
"... Dai, Li, and Wu proposed Rule k, a localized approximation algorithm that attempts to find a small connected dominating set in a graph. Here we consider the “average case”performance of Rule k for the model of random unit disk graphs constructed from n random points in an ℓn × ℓn square. If k ≥ 3 an ..."
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Cited by 7 (0 self)
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and ℓn = o ( √ n), then the expected size of the Rule k dominating set is Θ(ℓ 2 n) as n → ∞. If ℓn ≤ √ n, then expected size of the minimum CDS is also Θ(ℓ 2 n). 10 log n
The Cache Performance and Optimizations of Blocked Algorithms
 In Proceedings of the Fourth International Conference on Architectural Support for Programming Languages and Operating Systems
, 1991
"... Blocking is a wellknown optimization technique for improving the effectiveness of memory hierarchies. Instead of operating on entire rows or columns of an array, blocked algorithms operate on submatrices or blocks, so that data loaded into the faster levels of the memory hierarchy are reused. This ..."
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Cited by 581 (4 self)
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given cache size, the block size that minimizes the expected number of cache misses is very small. Tailoring the block size according to the matrix size and cache parameters can improve the average performance and reduce the variance in performance for different matrix sizes. Finally, whenever possible
The relationship between return and market value of common stocks
 Journal of Financial Economics
, 1981
"... This study examines the empirical relattonship between the return and the total market value of NYSE common stocks. It is found that smaller firms have had htgher risk adjusted returns, on average, than larger lirms. This ‘size effect ’ has been in existence for at least forty years and is evidence ..."
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Cited by 742 (0 self)
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This study examines the empirical relattonship between the return and the total market value of NYSE common stocks. It is found that smaller firms have had htgher risk adjusted returns, on average, than larger lirms. This ‘size effect ’ has been in existence for at least forty years and is evidence
Results 1  10
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2,754,700