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21,424
Illiquidity and stock returns: crosssection and timeseries effects,
 Journal of Financial Markets
, 2002
"... Abstract This paper shows that over time, expected market illiquidity positively affects ex ante stock excess return, suggesting that expected stock excess return partly represents an illiquidity premium. This complements the crosssectional positive returnilliquidity relationship. Also, stock ret ..."
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Cited by 864 (9 self)
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Abstract This paper shows that over time, expected market illiquidity positively affects ex ante stock excess return, suggesting that expected stock excess return partly represents an illiquidity premium. This complements the crosssectional positive returnilliquidity relationship. Also, stock
NONCONCENTRATION OF RETURN TIMES
"... We show that the distribution of the first return time τ to the origin, v, of a simple random walk on an infinite recurrent graph is heavy tailed and nonconcentrated. More precisely, if dv is the degree of v then for any t ≥ 1 we have Pv (τ ≥ t) ≥ c dv ..."
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Cited by 1 (0 self)
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We show that the distribution of the first return time τ to the origin, v, of a simple random walk on an infinite recurrent graph is heavy tailed and nonconcentrated. More precisely, if dv is the degree of v then for any t ≥ 1 we have Pv (τ ≥ t) ≥ c dv
Network Time Protocol (Version 3) Specification, Implementation and Analysis
, 1992
"... Note: This document consists of an approximate rendering in ASCII of the PostScript document of the same name. It is provided for convenience and for use in searches, etc. However, most tables, figures, equations and captions have not been rendered and the pagination and section headings are not ava ..."
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Cited by 520 (18 self)
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to lightwave. It uses a returnabletime design in which a distributed subnet of time servers operating in a selforganizing, hierarchicalmasterslave configuration synchronizes local clocks within the subnet and to national time standards via wire or radio. The servers can also redistribute reference time via
Time Varying World Market Integration
 JOURNAL OF FINANCE
, 1995
"... We propose a measure of capital market integration arising from a conditional regimeswitching model. Our measure allows us to describe expected returns in countries that are segmented from world capital markets in one part of the sample and become integrated later in the sample. We find that a numb ..."
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Cited by 546 (40 self)
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We propose a measure of capital market integration arising from a conditional regimeswitching model. Our measure allows us to describe expected returns in countries that are segmented from world capital markets in one part of the sample and become integrated later in the sample. We find that a
IMPROVED RANGE IN THE RETURN TIMES THEOREM
, 2009
"... We prove that the Return Times Theorem holds true for pairs of L p − L q functions, whenever 1/p + 1/q < 3/2. ..."
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Cited by 3 (0 self)
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We prove that the Return Times Theorem holds true for pairs of L p − L q functions, whenever 1/p + 1/q < 3/2.
Return Time Statistics For Unimodal Maps
"... We prove that a nonat Sunimodal map satisfying a weak summability condition has exponential return time statistics on intervals around a.e. point. Moreover we prove that the convergence to the entropy in the OrnsteinWeiss formula enjoys normal uctuations. 1. ..."
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Cited by 14 (4 self)
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We prove that a nonat Sunimodal map satisfying a weak summability condition has exponential return time statistics on intervals around a.e. point. Moreover we prove that the convergence to the entropy in the OrnsteinWeiss formula enjoys normal uctuations. 1.
Return Time Statistics via Inducing
, 2001
"... We prove that return time statistics of a dynamical system do not change if one passes to an induced (i.e. first return) map. We apply this to show exponential return time statistics in i) smooth interval maps with nowheredense critical orbits and ii) certain interval maps with neutral fixed points ..."
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Cited by 5 (2 self)
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We prove that return time statistics of a dynamical system do not change if one passes to an induced (i.e. first return) map. We apply this to show exponential return time statistics in i) smooth interval maps with nowheredense critical orbits and ii) certain interval maps with neutral fixed
Results 1  10
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21,424