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A puzzle of excessive equity risk premium and the case of Poland

Kliber, Paweł - In: E-Finanse : finansowy kwartalnik internetowy 12 (2016) 1, pp. 1-11

The article presents a historical review of the literature related to the empirical problem of excessive risk premium. The risk premium (the difference between the return on equities and risk-free rate) observed in financial markets cannot be reconciled with theoretical models of financial...

Persistent link: https://www.econbiz.de/10011539760

Ethics and Illusions : How Ethical Declarations Shape Market Behavior

Barrios, John M.; Bertomeu, Jeremy; Lunawat, Radhika; … - National Bureau of Economic Research - 2024

We examine the impacts of ethical declarations on market transactions through a controlled laboratory experiment, where privately-informed sellers issue a public report prior to a first-price auction. We find that while signing an ethical statement does not reduce misreporting by sellers, it...

Persistent link: https://www.econbiz.de/10014528424

Bubbles and Self-Enforcing Debt

Hellwig, Christian; Lorenzoni, Guido - National Bureau of Economic Research (NBER) - 2006

We characterize equilibria with endogenous debt constraints for a general equilibrium economy with limited commitment … equilibrium debt limits must satisfy a simple condition that allows agents to exactly roll over existing debt period by period …. Second, we provide an equivalence result, whereby the resulting set of equilibrium allocations with self-enforcing private …

Persistent link: https://www.econbiz.de/10005775063

Growth to value: Option exercise and the cross section of equity returns

Ai, Hengjie; Kiku, Dana - In: Journal of Financial Economics 107 (2013) 2, pp. 325-349

We propose a general equilibrium model to study the link between the cross section of expected returns and book … exercise, which is endogenously determined in equilibrium, is highly procyclical and acts as a hedge against risks in assets in …

Persistent link: https://www.econbiz.de/10010616813

High-Frequency Trading and Probability Theory

Wang, Zhaodong; Zheng, Weian - World Scientific Publishing Co. Pte. Ltd.

authors reveal how to build trading algorithms of high-frequency trading and obtain stable statistical arbitrage from the …

Persistent link: https://www.econbiz.de/10011156390

Technical Analysis and Financial Asset Forecasting:From Simple Tools to Advanced Techniques

Chan, Raymond Hon Fu; Lee, Spike Tsz Ho; Wong, Wing-Keung - World Scientific Publishing Co. Pte. Ltd.

Technical analysis is defined as the tracking and prediction of asset price movements using charts and graphs in combination with various mathematical and statistical methods. More precisely, it is the quantitative criteria used in predicting the relative strength of buying and selling forces...

Persistent link: https://www.econbiz.de/10011156395

VPIN and the Flash Crash: A rejoinder

Easley, David; López de Prado, Marcos M.; O'Hara, Maureen - In: Journal of Financial Markets 17 (2014) C, pp. 47-52

Andersen and Bondarenko's paper “VPIN and the Flash Crash” is essentially a comment on our 2011 Journal of Portfolio Management paper using our measure of order toxicity, VPIN. Andersen and Bondarenko dispute our empirical findings and argue that VPIN essentially does not work. This is...

Persistent link: https://www.econbiz.de/10011047542

Displacement risk and asset returns

Gârleanu, Nicolae; Kogan, Leonid; Panageas, Stavros - In: Journal of Financial Economics 105 (2012) 3, pp. 491-510

We study asset-pricing implications of innovation in a general-equilibrium overlapping-generations economy. Innovation …

Persistent link: https://www.econbiz.de/10011039262

Put-Call Parity and market frictions

Cerreia-Vioglio, S.; Maccheroni, Fabio; Marinacci, Massimo - In: Journal of economic theory 157 (2015), pp. 730-762

Persistent link: https://www.econbiz.de/10011525337

On the semimartingale property via bounded logarithmic utility

Larsen, Kasper; Žitković, Gordan - In: Annals of Finance 4 (2008) 2, pp. 255-268

Persistent link: https://www.econbiz.de/10005542200

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