4 citations · 4 across the 4 of their papers we have counts for
4 papers
The Lepto-Variance of Stock Returns
Vassilis Polimenis
The Regression Tree (RT) sorts the samples using a specific feature and finds the split point that produces the maximum variance reduction from a node to its children. Our key obse…
Uncovering a factor-based expected return conditioning structure with Regression Trees jointly for many stocks
Vassilis Polimenis
Given the success and almost universal acceptance of the simple linear regression three-factor model, it is interesting to analyze the informational content of the three factors in…
Trading on the Floor after Sweeping the Book
Vassilis Polimenis
Informed traders need to trade fast in order to profit from their private information before it becomes public. Fast electronic markets provide such liquidity. Slow markets provide…
Non-Stationary Dividend-Price Ratios
Vassilis Polimenis, Ioannis Neokosmidis
Dividend yields have been widely used in previous research to relate stock market valuations to cash flow fundamentals. However, this approach relies on the assumption that dividen…