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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

Basic Principles Of Asset Pricing Theory: Evidence From Large-Scale Experimental Financial Markets

Bossaerts, Peter; Plott, Charles - C.E.P.R. Discussion Papers - 2000

designed the experiments within the framework suggested by two theoretical models, namely, Arrow and Debreu's complete …-markets model, and the Sharpe-Lintner-Mossin Capital Asset Pricing Model (CAPM). This framework enabled us to measure how far our … markets were from equilibrium at any point in time, thereby allowing us to gauge the success of the models. The distance …

Persistent link: https://www.econbiz.de/10005662411

Some Properties of Autocoherent Models

Saint-Paul, Gilles - C.E.P.R. Discussion Papers - 2012

mathematical properties of autocoherent models. The first part clarifies the relationship between autocoherence and identification … performativity of the perceived model and the fact that identification is different depending on the econometrician's assumptions …

Persistent link: https://www.econbiz.de/10011084621

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

outside shareholders to controlling shareholders. Finally, we provide evidence consistent with our model’s two new predictions …

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

representative-agent asset pricing models. In this paper, we consider an economy populated by institutional investors alongside …

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