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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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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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Asset Pricing Implications of Pareto Optimality with Private Information
Kocherlakota, Narayana; Pistaferri, Luigi - C.E.P.R. Discussion Papers - 2005
In this paper, we consider a dynamic economy in which the agents are privately informed about their skills, which evolve stochastically over time in an arbitrary fashion. We consider an asset pricing equilibrium in which equilibrium quantities are constrained Pareto optimal. Under the assumption...
Persistent link: https://www.econbiz.de/10005788895
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Asset Pricing with Adaptive Learning
Carceles-Poveda, Eva; Giannitsarou, Chryssi - C.E.P.R. Discussion Papers - 2007
We study the extent to which self-referential adaptive learning can explain stylized asset pricing facts in a general equilibrium framework. In particular, we analyze the effects of recursive least squares and constant gain algorithms in a production economy and a Lucas type endowment economy....
Persistent link: https://www.econbiz.de/10005789201
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Spatial Asset Pricing: A First Step
Ortalo-Magné, François; Prat, Andrea - C.E.P.R. Discussion Papers - 2010
People choose where to live and how much to invest in housing. Traditionally, the first decision has been the domain of spatial economics, while the second has been analyzed in finance. Spatial asset pricing is an attempt to combine equilibrium concepts from both disciplines. In the finance...
Persistent link: https://www.econbiz.de/10008468506
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Heterogeneity of Investors and Asset Pricing in a Risk-Value World
Franke, Günter; Weber, Martin - C.E.P.R. Discussion Papers - 2003
Portfolio choice and the implied asset pricing are usually derived assuming maximization of expected utility. In this Paper, they are derived from risk-value models that generalize the Markowitz-model. We use a behaviourally based risk measure with an endogenous or exogenous benchmark. If the...
Persistent link: https://www.econbiz.de/10005136483
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Hedging, Familiarity and Portfolio Choice
Massa, Massimo; Simonov, Andrei - C.E.P.R. Discussion Papers - 2004
We exploit the restrictions of intertemporal portfolio choice in the presence of non-financial income risk to design and implement tests of hedging that use the information contained in the actual portfolio of the investor. We use a unique dataset of Swedish investors with information broken...
Persistent link: https://www.econbiz.de/10005136520
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Momentum and Turnover: Evidence from the German Stock Market
Glaser, Markus; Weber, Martin - C.E.P.R. Discussion Papers - 2002
This Paper analyses the relation between momentum strategies (strategies that buy stocks with high returns over the previous three to 12 months and sell stocks with low returns over the same period) and turnover (number of shares traded divided by the number of shares outstanding) for the German...
Persistent link: https://www.econbiz.de/10005136650
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Dynamic Security Design
Biais, Bruno; Mariotti, Thomas; Plantin, Guillaume; … - C.E.P.R. Discussion Papers - 2004
We analyse dynamic financial contracting under moral hazard. The ability to rely on future rewards relaxes the tension between incentive and participation constraints, relative to the static case. Managers are incited by the promise of future payments after several successes and the threat of...
Persistent link: https://www.econbiz.de/10005067486
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Multiplicity in General Financial Equilibrium with Portfolio Constraints
Basak, Suleyman; Cass, David; Licari, Juan Manuel; … - C.E.P.R. Discussion Papers - 2006
This paper explores the role of portfolio constraints in generating multiplicity of equilibrium. We present a simple financial market economy with two goods and two households, households who face constraints on their ability to take unbounded positions in risky stocks. Absent such constraints,...
Persistent link: https://www.econbiz.de/10005067630