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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

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

Wealth Transfers, Contagion and Portfolio Constraints

Pavlova, Anna; Rigobon, Roberto - C.E.P.R. Discussion Papers - 2005

This paper examines the co-movement among stock market prices and exchange rates within a three-country Centre-Periphery dynamic equilibrium model in which agents in the Centre country face portfolio constraints. In our model, international transmission occurs through the terms of trade, through...

Persistent link: https://www.econbiz.de/10005504325

A Search-Based Theory of the On-the-Run Phenomenon

Vayanos, Dimitri; Weill, Pierre-Olivier - C.E.P.R. Discussion Papers - 2006

We propose a model in which assets with identical cash flows can trade at different prices. Infinitely-lived agents can establish long positions in a search spot market, or short positions by first borrowing an asset in a search repo market. We show that short-sellers can endogenously...

Persistent link: https://www.econbiz.de/10005504616

Agency Conflicts, Investment and Asset Pricing

Albuquerque, Rui; Wang, Neng - C.E.P.R. Discussion Papers - 2005

Corporations in many countries are run by controlling shareholders whose cash flow rights in the firm are substantially smaller than their control rights. This separation of ownership and control allows the controlling shareholders to pursue private benefits at the cost of minority investors by...

Persistent link: https://www.econbiz.de/10005497980

Portfolio Choice with Illiquid Assets

Koren, Miklós; Szeidl, Adam - C.E.P.R. Discussion Papers - 2003

The present Paper investigates the effects of incorporating illiquidity in a standard dynamic portfolio choice problem. Lack of liquidity means that an asset cannot be immediately traded at any point in time. We find the portfolio share of financial wealth invested in illiquid assets given the...

Persistent link: https://www.econbiz.de/10005498092

Asset Prices and Institutional Investors

Basak, Suleyman; Pavlova, Anna - C.E.P.R. Discussion Papers - 2012

Empirical evidence indicates that trades by institutional investors have sizable effects on asset prices, generating phenomena such as index effects, asset-class effects and others. It is difficult to explain such phenomena within standard representative-agent asset pricing models. In this...

Persistent link: https://www.econbiz.de/10011083249

Very Long-Run Discount Rates

Giglio, Stefano W; Maggiori, Matteo; Ströbel, Johannes - C.E.P.R. Discussion Papers - 2014

We provide direct estimates of how agents trade off immediate costs and uncertain future benefits that occur in the very long run, 100 or more years away. We exploit a unique feature of housing markets in the U.K. and Singapore, where residential property ownership takes the form of either...

Persistent link: https://www.econbiz.de/10011083367

Learning from Experience in the Stock Market

Nakov, Anton; Nuño, Galo - C.E.P.R. Discussion Papers - 2014

New evidence suggests that individuals "learn from experience," meaning they learn from events occurring during their own lifetimes as opposed to the entire history of events. Moreover, they weigh more heavily the more recent events compared to events occurring in the more distant past. This...

Persistent link: https://www.econbiz.de/10011083418

Asset Prices with Heterogeneity in Preferences and Beliefs

Bhamra, Harjoat Singh; Uppal, Raman - C.E.P.R. Discussion Papers - 2013

In this paper, we study asset prices in a dynamic, continuous-time, general-equilibrium endowment economy where agents have “catching up with the Joneses” utility functions and differ with respect to their beliefs (because of differences in priors) and their preference parameters for time...

Persistent link: https://www.econbiz.de/10011083492