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Assessing asset pricing anomalies
Groot, Wilma de - 2017
Persistent link: https://www.econbiz.de/10011862366
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Dynamic risk management of multi-asset portfolios
Groll, Christian - 2017
Persistent link: https://www.econbiz.de/10012202863
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Transactions costs and the equity premium puzzle
Hong, Sanghyun - 2020
Persistent link: https://www.econbiz.de/10012426834
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Machine Learning and the Implementable Efficient Frontier
Jensen, Theis Ingerslev; Kelly, Bryan T.; Malamud, Semyon; … - 2022
We propose that investment strategies should be evaluated based on their net-of-trading-cost return for each level of risk, which we term the "implementable efficient frontier." While numerous studies use machine learning return forecasts to generate portfolios, their agnosticism toward trading...
Persistent link: https://www.econbiz.de/10013492674
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Book-to-market, mispricing, and the cross-section of corporate bond returns
Bartram, Söhnke M.; Grinblatt, Mark; Nozawa, Yoshio - 2023
Persistent link: https://www.econbiz.de/10014417997
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Beyond Fama-French factors : alpha from short-term signals
Blitz, David; Hanauer, Matthias; Honarvar, Iman; … - In: Financial analysts journal : FAJ 79 (2023) 4, pp. 96-117
Persistent link: https://www.econbiz.de/10014427369
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Market structure and the cost of capital
Arouri, Mohamed; Rault, Christophe; Sova, Robert; Sova, … - 2013
We contribute to the finance literature in two main ways. First, we present a theoretical capital asset pricing model (CAPM) to price assets in different market structures. Second, we use our model to analyze whether when markets are partially segmented using the local or the global CAPM yields...
Persistent link: https://www.econbiz.de/10009700297
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Transaction costs and value premium
Agarwal, Vikas; Wang, Lingling - 2007
Stocks und dem gleichzeitigen Verkauf von Growth Stocks, noch Geld verdienen lässt, wenn Transaktionskosten berücksichtigt … werden. Zur Messung der Transaktionskosten wird ein umfassender Ansatz nach Lesmond et al. (1999) gewählt, der u.a. den … Transaktionskosten führt zum Verschwinden der Value Premium - auch dann, wenn für Liquidität und die Größe der Unternehmen kontrolliert …
Persistent link: https://www.econbiz.de/10009525973
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Asset prices in general equilibrium with recursive utility and illiquidity induced by transactions costs
Buss, Adrian; Uppal, Raman; Vilkov, Grigory - 2014
Persistent link: https://www.econbiz.de/10010380598
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Asset prices in general equilibrium with recursive utility and illiquidity induced by transactions costs
Buss, Adrian; Uppal, Raman; Vilkov, Grigory - 2014 - This version: February 15, 2014
In this paper, we study the effect of proportional transaction costs on consumption-portfolio decisions and asset prices in a dynamic general equilibrium economy with a financial market that has a single-period bond and two risky stocks, one of which incurs the transaction cost. Our model has...
Persistent link: https://www.econbiz.de/10010250161