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Regression Based Estimation of Dynamic Asset Pricing Models
Adrian, Tobias; Crump, Richard K.; Moench, Emanuel - C.E.P.R. Discussion Papers - 2015
We propose regression based estimators for beta representations of dynamic asset pricing models with an affine pricing kernel specification. We allow for state variables that are cross sectional pricing factors, forecasting variables for the price of risk, and factors that are both. The...
Persistent link: https://www.econbiz.de/10011186634
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Sources of Risk in Currency Returns
Chernov, Mikhail; Graveline, Jeremy; Zviadadze, Irina - C.E.P.R. Discussion Papers - 2012
We quantify the sources of risk in currency returns as a first step toward understanding the returns reported for the carry trade. To do this, we develop and estimate an empirical model of exchange rate dynamics using daily data for four currencies relative to the US dollar: the Australian...
Persistent link: https://www.econbiz.de/10011083487
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Equilibrium Cross-Section of Returns
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
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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
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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
propositions of modern asset pricing theory, namely, that the interaction between risk averse agents in a competitive market leads …-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 …
Persistent link: https://www.econbiz.de/10005662411
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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
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Equilibrium of Real Financial Markets: Theory and Experimental Evidence
Bossaerts, Peter - C.E.P.R. Discussion Papers - 2004
The theory and the data in this Paper challenge the view that there is no structure in prices and allocations when … markets are off equilibrium. Starting from the observation that price-taking usually applies only to small orders, a theory of … imbalance. In the context of mean-variance preferences, the theory predicts that a security’s price will correlate with excess …
Persistent link: https://www.econbiz.de/10005792218
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How Prediction Markets Can Save Event Studies
Snowberg, Erik; Wolfers, Justin; Zitzewitz, Eric - C.E.P.R. Discussion Papers - 2011
This review paper articulates the relationship between prediction market data and event studies, with a special focus on applications in political economy. Event studies have been used to address a variety of political economy questions from the economic effects of party control of government to...
Persistent link: https://www.econbiz.de/10009003379
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Rare Events, Financial Crises, and the Cross-Section of Asset Returns
Bianchi, Francesco - C.E.P.R. Discussion Papers - 2015
, Good Beta" Intertemporal CAPM that allows for regime changes. …
Persistent link: https://www.econbiz.de/10011213314
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Effect of Regulatory Constraints on Fund Performance: New Evidence from UCITS Hedge Funds
Joenväärä, Juha; Kosowski, Robert - C.E.P.R. Discussion Papers - 2015
We economically motivate and then test a range of hypotheses regarding performance and risk differences between UCITS-compliant and other hedge funds. The latter exhibit more suspicious return patterns than do absolute return UCITS (ARUs), but ARUs exhibit higher levels of operational risk. We...
Persistent link: https://www.econbiz.de/10011272713