Outputs (3)

Long-term return reversals-Value and growth or tax? UK evidence (2010)
Journal Article
Wu, Y., & Li, Y. (2011). Long-term return reversals-Value and growth or tax? UK evidence. Journal of International Financial Markets, Institutions and Money, 21(3), 347-368. https://doi.org/10.1016/j.intfin.2010.12.001

This paper examines (i) whether value-growth characteristics have more power than past performance in predicting return reversals; and (ii) whether typical rational behaviour such as incentives to delay paying capital gain taxes can better explain lo... Read More about Long-term return reversals-Value and growth or tax? UK evidence.

Econometric analysis of microscopic simulation models (2010)
Journal Article
Li, Y., Donkers, B., & Melenberg, B. (2010). Econometric analysis of microscopic simulation models. Quantitative finance, 10(10), 1187-1201. https://doi.org/10.1080/14697680903460176

Microscopic simulation models are often evaluated based on visual inspection of the results. This paper presents formal econometric techniques to compare microscopic simulation (MS) models with real-life data. A related result is a methodology to com... Read More about Econometric analysis of microscopic simulation models.

Do benchmark African equity indices exhibit the stylized facts? (2010)
Journal Article
Li, Y., Hamill, P. A., & Opong, K. K. (2010). Do benchmark African equity indices exhibit the stylized facts?. Global finance journal, 21(1), 71-97. https://doi.org/10.1016/j.gfj.2010.03.006

This paper investigates if benchmark African equity indices exhibit the stylized facts reported for financial time series returns. The returns distributions of the Africa All-Share, Large, Medium and Small Company Indices were found to be leptokurtot... Read More about Do benchmark African equity indices exhibit the stylized facts?.