User profiles for R. P. DeGennaro
Ramon P. DeGennaroProfessor of Finance, The University of Tennessee Verified email at utk.EDU Cited by 1817 |
Stock returns and volatility
RT Baillie, RP DeGennaro - Journal of financial and Quantitative …, 1990 - cambridge.org
Most asset pricing models postulate a positive relationship between a stock portfolio's
expected returns and risk, which is often modeled by the variance of the asset price. This paper …
expected returns and risk, which is often modeled by the variance of the asset price. This paper …
Public information releases, private information arrival and volatility in the foreign exchange market
RP DeGennaro, RE Shrieves - Journal of Empirical Finance, 1997 - Elsevier
This paper estimates the impact of market activity and news on the volatility of returns in the
exchange market for Japanese Yen and US dollars. We examine the effects of news on …
exchange market for Japanese Yen and US dollars. We examine the effects of news on …
Is there discrimination in mortgage pricing? The case of overages
HA Black, TP Boehm, RP DeGennaro - Journal of Banking & Finance, 2003 - Elsevier
Mortgage overage pricing is little understood by consumers and has received little academic
scrutiny. We consider the impact of the market power of individual loan officers on overages …
scrutiny. We consider the impact of the market power of individual loan officers on overages …
Financial market frictions
RP DeGennaro, C Robotti - DeGennaro, Ramon P. and Cesare …, 2007 - papers.ssrn.com
What is a market friction? In the context of the capital asset pricing model, this article defines
a financial market friction as anything that interferes with trade. This interference includes …
a financial market friction as anything that interferes with trade. This interference includes …
Expected returns to stock investments by angel investors in groups
RP DeGennaro, GP Dwyer - European Financial Management, 2014 - Wiley Online Library
Previous research calculates realised internal rates of return on angel investments but does
not estimate expected returns. We present the first estimates of expected returns on angel …
not estimate expected returns. We present the first estimates of expected returns on angel …
Market imperfections
RP DeGennaro - Journal of Financial Transformation, 2005 - papers.ssrn.com
I provide a taxonomy of market imperfections built around the economic forces underlying
them. Market imperfections affect virtually every transaction in some way, generating costs …
them. Market imperfections affect virtually every transaction in some way, generating costs …
Modeling international long‐term interest rates
RP DeGennaro, RA Kunkel, J Lee - Financial Review, 1994 - Wiley Online Library
This study investigates the relationship among interest rates on the long‐term government
bonds of five industrialized countries. Both standard and new unit root tests are applied, all of …
bonds of five industrialized countries. Both standard and new unit root tests are applied, all of …
A generalized method for detecting abnormal returns and changes in systematic risk
KB Cyree, RP DeGennaro - Review of Quantitative finance and …, 2002 - Springer
We generalize traditional event-study techniques to allow for event-induced parameter shifts,
shifting variances, and firm-specific event periods. Our method, which nests traditional …
shifting variances, and firm-specific event periods. Our method, which nests traditional …
Angel investors: who they are and what they do; can I be one, too?
RP DeGennaro - The journal of wealth management, 2010 - jwm.pm-research.com
Angel investors go by many definitions. By all definitions, however, angel investors act as
informal venture capitalists and collectively invest billions of dollars in thousands of …
informal venture capitalists and collectively invest billions of dollars in thousands of …
Credit card processing: a look inside the black box
RP DeGennaro - Economic Review, 2006 - papers.ssrn.com
DeGENNARO article Page 1 27 ECONOMICREVIEW First Quarter 2006 Like most consumers,
you probably take your credit and debit card transactions for granted. You and others like …
you probably take your credit and debit card transactions for granted. You and others like …