Search Results - subject:"assetpricing"

Asset-pricing models and economic risk premia: A decomposition

Balduzzi, Pierluigi; Robotti, Cesare; Balduzzi, Pierluigi; … - 2005

pricing kernel to the maximum-correlation mimicking portfolios. The first component is the same across asset-pricing models …

Persistent link: https://www.econbiz.de/10010397680

Asset-pricing models and economic risk premia : a decomposition

Balduzzi, Pierluigi (contributor); … - 2005

pricing kernel to the maximum-correlation mimicking portfolios. The first component is the same across asset-pricing models … WORKING PAPER SERIES FEDERAL RESERVE BANK o f ATLANTA Asset-pricing Models and Economic Risk Premia: A …. FEDERAL RESERVE BANK of ATLANTA WORKING PAPER SERIES Asset-pricing Models and Economic Risk Premia: A Decomposition …

Persistent link: https://www.econbiz.de/10003115603

On the Conditional Risk and Performance of Financially Distressed Stocks

O'Doherty, Michael S. - In: Management Science 58 (2012) 8, pp. 1502-1520

Several recent articles find that stocks with high probabilities of bankruptcy or default earn anomalously low returns and negative unconditional capital asset pricing model (CAPM) alphas in the post-1980 period. I show that the conditional CAPM resolves the performance difference between high-...

Persistent link: https://www.econbiz.de/10010990515

Cross-sectional performance and investor sentiment in a multiple risk factor model

Berger, Dave; Turtle, H.J. - In: Journal of Banking & Finance 36 (2012) 4, pp. 1107-1121

Economists have long recognized the importance of information veracity in valuing risky securities. Market participants concerned about the credibility of information measures may require additional compensation to entice them to hold stocks with less transparent information. These same...

Persistent link: https://www.econbiz.de/10010574860

Rare Macroeconomic Disasters

Barro, Robert J.; Ursúa, José F. - In: Annual Review of Economics 4 (2012) 1, pp. 83-109

The potential for rare macroeconomic disasters may explain an array of asset-pricing puzzles. Our empirical studies of …

Persistent link: https://www.econbiz.de/10010822970

Size and book-to-market factors in Australia

Brailsford, Tim; Gaunt, Clive; Michael A Oâ€™Brien - In: Australian Journal of Management 37 (2012) 2, pp. 261-281

There is continuing debate in the asset-pricing literature as to the acceptance of the Famaâ€“French three-factor model … employed in prior studies. With these advances, the study is more able to test the three-factor model against the capital asset-pricing …

Persistent link: https://www.econbiz.de/10011135713

Conditions Ensuring the Separability of Asset Demand for All Risk-Averse Investors

Dachraoui, Kaïs; Dionne, Georges - Centre Interuniversitaire sur le Risque, les Politiques … - 2004

suitable to asset-pricing models. Examples are discussed. …

Persistent link: https://www.econbiz.de/10005696284

Emerging market crises and US equity market returns

Berger, Dave; Turtle, H.J. - In: Global Finance Journal 22 (2011) 1, pp. 32-41

We find contagion effects are present in US small size portfolios during emerging market crises due to risk and liquidity concerns. Investors display flight from risk during emerging market crises, and as a result, safer larger stocks exhibit positive abnormal returns. We find little evidence of...

Persistent link: https://www.econbiz.de/10009249332

The Conditional CAPM Does Not Explain Asset-pricing Anomalies

LEWELLEN, JONATHAN; NAGEL, STEFAN - Sloan School of Management, Massachusetts Institute of … - 2003

explain asset-pricing anomalies like book-to-market and momentum. We test this conjecture empirically by directly estimating …

Persistent link: https://www.econbiz.de/10005750661

AMBIGUITY, LEARNING, AND ASSET RETURNS

Miao, Jianjun; JU, NENGJIU - Department of Economics, Boston University - 2010

aversion, ambiguity aversion, and intertemporal substitution. We apply this utility model to a consumption-based asset-pricing …, our model can generate a variety of dynamic asset-pricing phenomena, including the procyclical variation of price …

Persistent link: https://www.econbiz.de/10010779528