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, viaduality, restrictions on pricing kernels and thereby gives tighter valuation boundson payoffs than absence of arbitrage alone … and global (conditional) pricing kernel restrictions for the temporally dynamicsetting. For the dynamic case, we show in a …
Persistent link: https://www.econbiz.de/10005857734
This paper presents a new method to detect informed trading activities in the options markets.An option trade is identified as informed when it is characterized by an unusual largeincrement in open interest and volume, induces large gains, and is not hedged in the stock market.For the period...
Persistent link: https://www.econbiz.de/10005868704
exercise rule, we derive tractable pricing formulas using a short-maturity asymptotic expansion. Depending on model parameters …
Persistent link: https://www.econbiz.de/10005857779
that heterogeneous expectation asset pricing models thoretically generate more volatility than rational expectation models …
Persistent link: https://www.econbiz.de/10005857785
equity return comovements. We test the multifactor beta pricing theory against the Capital Asset Pricing model using a …
Persistent link: https://www.econbiz.de/10005857787
This paper analyzes the effects that uncertainty about economic fundamentalshas on aggregate trading volume. First, the trading volume of an investor facinga standard consumption portfolio choice problem is derived. It is found that if theparameters describing the investment opportunity set...
Persistent link: https://www.econbiz.de/10005857971
’s ICAPM. The systematic pricing of credit riskis confirmed for all three markets and for alternative specifications of …
Persistent link: https://www.econbiz.de/10005857973
We explore the determinants of yield differentials between long-term sovereigen bonds in Europa area. There is a common trend in yield differentials, which is correlated with the measure of tghe international risk factor. In contrast, liquidity differentials display sizeable hetrogeneity and no...
Persistent link: https://www.econbiz.de/10005858005
macroeconomic fundamentals can have important asset pricing implications. …
Persistent link: https://www.econbiz.de/10005858023
This paper studies the term structure implications of a simple structural economy in which the representative agent displays ambiguity aversion, modeled by Multiple Priors Recursive Utility. Bond excess returns reflect a premium for ambiguity, which is observationally distinct from the risk...
Persistent link: https://www.econbiz.de/10005858032