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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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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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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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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
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Bank Credit Tightening, Debt Market Frictions and Corporate Yield Spreads
Massa, Massimo; Zhang, Lei - C.E.P.R. Discussion Papers - 2015
We study how debt market frictions constraining the ability to replace bank with bond financing during a tightening in bank credit supply affect corporate yield spreads. We document that more inflexible firms suffer bigger increases in bond yield spreads as bank credit supply tightens. Debt...
Persistent link: https://www.econbiz.de/10011252612
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Biased Shorts: Stock Market Implications of Short Sellers’ Disposition Effect
Massa, Massimo; von Beschwitz, Bastian - C.E.P.R. Discussion Papers - 2015
We investigate whether short sellers are subject to the disposition effect using a novel dataset that allows to identify the weekly closing of short positions. Consistent with the disposition effect, the closing of short sale positions is strongly related to a proxy of Shortsale Capital Gains...
Persistent link: https://www.econbiz.de/10011252613
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First to “Read” the News: News Analytics and Institutional Trading
Keim, Donald B; Massa, Massimo; von Beschwitz, Bastian - C.E.P.R. Discussion Papers - 2015
We investigate whether providers of high frequency news analytics affect the stock market. As identification, we exploit a unique experiment based on differences in news event classifications between different product releases of a major provider of news analytics. We document a causal effect of...
Persistent link: https://www.econbiz.de/10011252620