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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

Subjective Discount Factors

Luttmer, Erzo G J; Mariotti, Thomas - C.E.P.R. Discussion Papers - 2000

-root process. Hyperbolic and quasi-hyperbolic discount factors can significantly increase the volatility of aggregate wealth and …

Persistent link: https://www.econbiz.de/10005662071

When Everyone Runs for the Exit

Pedersen, Lasse Heje - C.E.P.R. Discussion Papers - 2009

The dangers of shouting ``fire'' in a crowded theater are well understood, but the dangers of rushing to the exit in the financial markets are more complex. Yet, the two events share several features, and I analyze why people crowd into theaters and trades, why they run, what determines the...

Persistent link: https://www.econbiz.de/10005082543

Sovereign CDS and Bond Pricing Dynamics in the Euro-area

Palladini, Giorgia; Portes, Richard - C.E.P.R. Discussion Papers - 2011

This analysis tests the price discovery relationship between sovereign CDS premia and bond yield spreads on the same reference entity. The theoretical no-arbitrage relationship between the two credit spreads is confronted with daily data from six Euro-area countries over the period 2004-2011. As...

Persistent link: https://www.econbiz.de/10009365646

Asset Pricing under Rational Learning about Rare Disasters

Koulovatianos, Christos; Wieland, Volker - C.E.P.R. Discussion Papers - 2011

persist for some time. Thus, belief dynamics are a source of apparent excess volatility relative to a rational expectations …

Persistent link: https://www.econbiz.de/10009201120

A Dynamic Model with Import Quota Constraints

Basak, Suleyman; Pavlova, Anna - C.E.P.R. Discussion Papers - 2002

This Paper develops a continuous-time two-sector model to study the economic effects of an import quota during the period of time over which it is imposed. One of the sectors is protected by a quota, which in our set-up manifests itself as an integral constraint on the flow of imports of the...

Persistent link: https://www.econbiz.de/10005662103

Duality in Mean-Variance Frontiers with Conditioning Information

Peñaranda, Francisco; Sentana, Enrique - C.E.P.R. Discussion Papers - 2007

Portfolio and stochastic discount factor (SDF) frontiers are usually regarded as dual objects, and researchers sometimes use one to answer questions about the other. However, the introduction of conditioning information and active portfolio strategies alters this relationship. For instance, the...

Persistent link: https://www.econbiz.de/10005662199

The Price of Future Liquidity: Time-Varying Liquidity in the US Treasury Market

Goldreich, David; Hanke, Bernd; Nath, Purnendu - C.E.P.R. Discussion Papers - 2003

This Paper examines the price differences between very liquid on-the-run US Treasury securities and less liquid off-the-run securities over the entire on/off cycle. Unlike previous studies, by comparing pairs of securities as their relative liquidity varies over time, we can disregard any...

Persistent link: https://www.econbiz.de/10005666511

Insider Trading in Credit Derivatives

Acharya, Viral V; Johnson, Tim - C.E.P.R. Discussion Papers - 2005

Insider trading in the credit derivatives market has become a significant concern for regulators and participants. This paper attempts to quantify the problem. Using news reflected in the stock market as a benchmark for public information, we report evidence of significant incremental...

Persistent link: https://www.econbiz.de/10005666591

Vassalou, Maria - C.E.P.R. Discussion Papers - 2001

A model that includes a factor that captures news related to future Gross Domestic Product (GDP) growth along with the market factor can explain the cross-section of equity returns about as well as the Fama-French model can. Furthermore, the Fama-French factors HML and SMB appear to contain...

Persistent link: https://www.econbiz.de/10005667103

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