Narrow search
Showing 1 - 10 of 76
Cover Image
Ranking Journals by Concentration of Author Affiliation: Thirty-Five Years of Finance Research
Lasser, Dennis; Rydqvist, Kristian - C.E.P.R. Discussion Papers - 2006
This paper presents a new metric for journal ranking that has the advantage of ranking more journals with a longer time-series at a low cost relative to impact factors and survey-based methods. We simultaneously rank journals and institutions by the degree of concentration of top journal...
Persistent link: https://www.econbiz.de/10005067372
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
Asymmetric Sequential Search under Incomplete Information
Minchuk, Yizhaq; Sela, Aner - C.E.P.R. Discussion Papers - 2015
We study a two-stage sequential search model with two agents who compete for one job. The agents arrive sequentially, each one in a different stage. The agents' abilities are private information and they are derived from heterogeneous distribution functions. In each stage the designer chooses an...
Persistent link: https://www.econbiz.de/10011276381
Cover Image
Learning From Stock Prices and Economic Growth
Peress, Joël - C.E.P.R. Discussion Papers - 2011
A competitive stock market is embedded into a neoclassical growth economy to analyze the interplay between the acquisition of information about firms, its partial revelation through stock prices, capital allocation and income. The stock market allows investors to share their costly private...
Persistent link: https://www.econbiz.de/10009293661