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Asset pricing of financial institutions : the cross-section of expected stock returns in the property/liability insurance industry

Ben Ammar, Semir; Eling, Martin; Milidonis, Andreas - 2015

from 1988 to 2015. We find that state-of-the-art models such as the Fama and French (2015) five-factor model cannot explain … can explain the cross-section of property/liability insurance-stock returns better than competing models. The priced …

Persistent link: https://www.econbiz.de/10011345060

Essays on asset pricing and portfolio optimization

Koeppel, Christian - 2021

role in sentiment-augmented asset pricing models for international equity indices. We empirically demonstrate the existence …

Persistent link: https://www.econbiz.de/10012651028

Navigating the factor zoo around the world : an institutional investor perspective

Bartram, Söhnke M.; Lohre, Harald; Pope, Peter F.; … - In: Journal of business economics : JBE 91 (2021) 5, pp. 655-703

Persistent link: https://www.econbiz.de/10012588809

Theoretical asset pricing under behavioral decision making

Vries, Martijn Alexander de - 2022

Persistent link: https://www.econbiz.de/10013263004

Congation and return predictabiity in asset markets : an experiment with two Lucas trees

Noussair, Charles; Popescu, Andreea Victoria - 2020

Persistent link: https://www.econbiz.de/10012227958

Rationality and asset prices under belief heterogeneity

Giachini, Daniele - 2018

In this paper I study the relationship between rationality and asset prices when agents have heterogeneous and incorrect beliefs about future events. Using the fully rational pricing as a benchmark, I show that when agents behave according to the Subjective Generalized Kelly rule (Bottazzi et...

Persistent link: https://www.econbiz.de/10011805975