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Gomes, Joao F; Kogan, Leonid; Zhang, Lu - C.E.P.R. Discussion Papers - 2002

intertemporal CAPM with the market portfolio as the only factor, size and book-to-market play separate roles in describing the cross …-section of stock returns is not necessarily inconsistent with a single-factor conditional CAPM model. …

Persistent link: https://www.econbiz.de/10005123908

Entrepreneurial Incentives in Stock Market Economies

Acharya, Viral V; Bisin, Alberto - C.E.P.R. Discussion Papers - 2002

A Capital Asset Pricing Model of a stock market economy is examined under different corporate governance structures in which the objectives of managers and entrepreneurs in choosing the risk composition of their firms' returns are not aligned with those of shareholders and investors because of...

Persistent link: https://www.econbiz.de/10005124325

Stock Market Returns, Corporate Governance and Capital Market Equilibrium

Parigi, Bruno; Pelizzon, Loriana; von Thadden, Ernst-Ludwig - C.E.P.R. Discussion Papers - 2015

This paper analyzes why corporate governance matters for stock returns if the stock market prices the underlying managerial agency problem correctly. Our theory assumes that strict corporate governance prevents managers from diverting cash flows, but reduces incentives for managerial effort. In...

Persistent link: https://www.econbiz.de/10011165663

Optimal Financial Market Integration and Security Design

Acharya, Viral V; Bisin, Alberto - C.E.P.R. Discussion Papers - 2003

We study two-period pure-exchange Capital Asset Pricing Model (CAPM) economies, for given degrees of incompleteness of …

Persistent link: https://www.econbiz.de/10005792424

Basic Principles Of Asset Pricing Theory: Evidence From Large-Scale Experimental Financial Markets

Bossaerts, Peter; Plott, Charles - C.E.P.R. Discussion Papers - 2000

-markets model, and the Sharpe-Lintner-Mossin Capital Asset Pricing Model (CAPM). This framework enabled us to measure how far our … discovered swift convergence towards equilibrium prices of Arrow and Debreu's model or the CAPM. This discovery is significant … walk, in favour of stochastic convergence towards CAPM and Arrow-Debreu equilibrium. …

Persistent link: https://www.econbiz.de/10005662411

EMU and European Stock Market Integration

Hardouvelis, Gikas A; Malliaropoulos, Dimitrios; … - C.E.P.R. Discussion Papers - 1999

The paper examines whether or not the convergence process of European economies towards Economic and Monetary Union has led to increased integration of European stock markets. We estimate a conditional asset pricing model, which allows for a time-varying degree of integration that measures the...

Persistent link: https://www.econbiz.de/10005788933

Equilibrium of Real Financial Markets: Theory and Experimental Evidence

Bossaerts, Peter - C.E.P.R. Discussion Papers - 2004

than at (CAPM) equilibrium. Experimental evidence confirms the predictions conclusively. …

Persistent link: https://www.econbiz.de/10005792218

Interpreting the 'One Big Wave' in US Long-Term Productivity Growth

Gordon, Robert J - C.E.P.R. Discussion Papers - 2000

mysterious doubling in the ratio of output to capital input when the postwar era is compared with 1870-1929. Measurement … the measurement of capital. A new MFP series taking account of all these adjustments grows more slowly throughout, and the …

Persistent link: https://www.econbiz.de/10005124204

The Mirage of Convergence: Why Poor Countries May Only Seem to Be Closing the Income Gap

Filer, Randall K; Hajkova, Dana; Hanousek, Jan - C.E.P.R. Discussion Papers - 2004

Replication of two recent studies of growth determinants shows that results are sensitive to the choice of data from which growth rates are calculated, especially with respect to whether economic convergence has occurred. Previous warnings against using data that has been adjusted to increase...

Persistent link: https://www.econbiz.de/10005656283

On the Measurement of Trade Costs: Direct vs. Indirect Approaches to Quantifying Standards and Technical Regulations

Chen, Natalie; Novy, Dennis - C.E.P.R. Discussion Papers - 2012

In this article, we review the literature on the measurement of trade costs in international trade with a special …

Persistent link: https://www.econbiz.de/10011083427