Anthony W. Lynch
Current Organizations / Institutes
The organizations/institutes from the scholar's latest article
Research Subjects
Anthony W. Lynch has a total of 16 co-authors. Here are the top co-authors by number of shared publications:
- Alexander Ljungqvist
Stern School of Business, New York University and NBER
1 shared publication - Cheng-Few Lee
Rutgers University, New Brunswick, USA
1 shared publication - Jessica A. Wachter
Department of Finance, The Wharton School, University of Pennsylvania, Philadelphia, Pennsylvania 19104; and Securities and Exchange Commission, Washington, District of Columbia 20549
1 shared publication - Joshua Ronen
New York University
1 shared publication - Kose John
New York University Stern School of Business
1 shared publication - Lasse Heje Pedersen
AQR Capital Management
1 shared publication
Latest Publications
- 4 July 2023
- Published by Cambridge University Press (CUP) in Journal of Financial and Quantitative Analysis
- Vol. 58 (7) , 1-73
Fast-Moving Habit: Implications for Equity Returns
- 4 July 2023
- Published by Cambridge University Press (CUP) in Journal of Financial and Quantitative Analysis
- Vol. 58 (7) , 1-73
Fast-Moving Habit: Implications for Equity Returns
- 1 October 2020
- Published by Springer Nature in Review of Quantitative Finance and Accounting
- Vol. 55 (3) , 1155-1162
Recap of the 30th annual conference on Financial Economics and Accounting, November 1-2, 2019
- 1 October 2020
- Published by Springer Nature in Review of Quantitative Finance and Accounting
- Vol. 55 (3) , 1155-1162
Recap of the 30th annual conference on Financial Economics and Accounting, November 1-2, 2019
- 8 February 2013
- Published by Cambridge University Press (CUP) in Journal of Financial and Quantitative Analysis
- Vol. 48 (1) , 277-307
Using Samples of Unequal Length in Generalized Method of Moments Estimation
This paper describes estimation methods, based on the generalized method of moments (GMM), applicable in settings where time series have different starting or ending dates. We introduce two estimators that are more efficient asymptotically than standard GMM. We apply these to estimating predictive regressions in international data and show that the use of the full sample affects inference for assets with data available over the full period as well as for assets with data available for a subset of the period. Monte Carlo experiments demonstrate that reductions hold for small-sample standard errors as well as asymptotic ones.
- 8 February 2013
- Published by Cambridge University Press (CUP) in Journal of Financial and Quantitative Analysis
- Vol. 48 (1) , 277-307
Using Samples of Unequal Length in Generalized Method of Moments Estimation
This paper describes estimation methods, based on the generalized method of moments (GMM), applicable in settings where time series have different starting or ending dates. We introduce two estimators that are more efficient asymptotically than standard GMM. We apply these to estimating predictive regressions in international data and show that the use of the full sample affects inference for assets with data available over the full period as well as for assets with data available for a subset of the period. Monte Carlo experiments demonstrate that reductions hold for small-sample standard errors as well as asymptotic ones.
- 2 July 2010
- Published by Cambridge University Press (CUP) in Journal of Financial and Quantitative Analysis
- Vol. 45 (4) , 1015-1053
Multiple Risky Assets, Transaction Costs, and Return Predictability: Allocation Rules and Implications for U.S. Investors
This paper numerically solves the decision problem of a multiperiod constant relative risk aversion individual who faces transaction costs and has access to two risky assets, both with predictable returns. With proportional transaction costs and independent and identically distributed returns, we numerically find the rebalancing rule to be a no-trade region for the portfolio weights with rebalancing to the boundary. The shape of the no-trade region depends on the correlation between the two risky assets. With predictable returns, there is instead a no-trade region for each state. We also examine several important economic questions, including the utility cost of not being able to buy on margin or short stock.
- 2 July 2010
- Published by Cambridge University Press (CUP) in Journal of Financial and Quantitative Analysis
- Vol. 45 (4) , 1015-1053
Multiple Risky Assets, Transaction Costs, and Return Predictability: Allocation Rules and Implications for U.S. Investors
This paper numerically solves the decision problem of a multiperiod constant relative risk aversion individual who faces transaction costs and has access to two risky assets, both with predictable returns. With proportional transaction costs and independent and identically distributed returns, we numerically find the rebalancing rule to be a no-trade region for the portfolio weights with rebalancing to the boundary. The shape of the no-trade region depends on the correlation between the two risky assets. With predictable returns, there is instead a no-trade region for each state. We also examine several important economic questions, including the utility cost of not being able to buy on margin or short stock.