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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

When Everyone Runs for the Exit

Pedersen, Lasse Heje - C.E.P.R. Discussion Papers - 2009

The dangers of shouting ``fire'' in a crowded theater are well understood, but the dangers of rushing to the exit in the financial markets are more complex. Yet, the two events share several features, and I analyze why people crowd into theaters and trades, why they run, what determines the...

Persistent link: https://www.econbiz.de/10005082543

Sovereign CDS and Bond Pricing Dynamics in the Euro-area

Palladini, Giorgia; Portes, Richard - C.E.P.R. Discussion Papers - 2011

This analysis tests the price discovery relationship between sovereign CDS premia and bond yield spreads on the same reference entity. The theoretical no-arbitrage relationship between the two credit spreads is confronted with daily data from six Euro-area countries over the period 2004-2011. As...

Persistent link: https://www.econbiz.de/10009365646

Asset Pricing under Rational Learning about Rare Disasters

Koulovatianos, Christos; Wieland, Volker - C.E.P.R. Discussion Papers - 2011

This paper proposes a new approach for modeling investor fear after rare disasters. The key element is to take into account that investors' information about fundamentals driving rare downward jumps in the dividend process is not perfect. Bayesian learning implies that beliefs about the...

Persistent link: https://www.econbiz.de/10009201120

Subjective Discount Factors

Luttmer, Erzo G J; Mariotti, Thomas - C.E.P.R. Discussion Papers - 2000

This paper describes the equilibrium of a discrete-time exchange economy in which consumers with arbitrary subjective discount factors and quasi-homothetic period utility functions follow linear Markov consumption and portfolio strategies. Explicit expressions are given for state prices and...

Persistent link: https://www.econbiz.de/10005662071

A Dynamic Model with Import Quota Constraints

Basak, Suleyman; Pavlova, Anna - C.E.P.R. Discussion Papers - 2002

This Paper develops a continuous-time two-sector model to study the economic effects of an import quota during the period of time over which it is imposed. One of the sectors is protected by a quota, which in our set-up manifests itself as an integral constraint on the flow of imports of the...

Persistent link: https://www.econbiz.de/10005662103

Duality in Mean-Variance Frontiers with Conditioning Information

Peñaranda, Francisco; Sentana, Enrique - C.E.P.R. Discussion Papers - 2007

Portfolio and stochastic discount factor (SDF) frontiers are usually regarded as dual objects, and researchers sometimes use one to answer questions about the other. However, the introduction of conditioning information and active portfolio strategies alters this relationship. For instance, the...

Persistent link: https://www.econbiz.de/10005662199

The Price of Future Liquidity: Time-Varying Liquidity in the US Treasury Market

Goldreich, David; Hanke, Bernd; Nath, Purnendu - C.E.P.R. Discussion Papers - 2003

This Paper examines the price differences between very liquid on-the-run US Treasury securities and less liquid off-the-run securities over the entire on/off cycle. Unlike previous studies, by comparing pairs of securities as their relative liquidity varies over time, we can disregard any...

Persistent link: https://www.econbiz.de/10005666511