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Long-Run Cash-Flow and Discount-Rate Risks in the Cross-Section of US Returns
Koubouros, Michail; Malliaropulos, Dimitrios; … - EconWPA - 2005
Merton�s Intertemporal CAPM to test whether these four sources of risk command different risk prices. The model performs well …
Persistent link: https://www.econbiz.de/10005076992
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Explaining the Beta, Size and Value Effects Under the Relative Value Theory
Alb, Silviu Iulian - EconWPA - 2004
The RVT predicts equilibrium prices in a world where investors ignore variance and only care about cumulative returns …. Such prices determine intrinsic returns that satisfy the CAPM equation. This paper shows that assets that pay a constant … predicts slightly higher discount rates than the CAPM. Empirical evidence supporting the CAPM cannot reject the RVT at a …
Persistent link: https://www.econbiz.de/10005076993
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A survey on risk-return analysis
Galagedera, Don U.A. - EconWPA - 2004
conditional on time-varying volatility. …
Persistent link: https://www.econbiz.de/10005561561
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Long-Run Cash-Flow and Discount-Rate Risks in the Cross-Section of US Returns
Koubouros, Michail; Malliaropulos, Dimitrios; … - EconWPA - 2005
Merton’s Intertemporal CAPM to test whether these four sources of risk command different risk prices. The model performs well …
Persistent link: https://www.econbiz.de/10005561735
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One-Factor-GARCH Models for German Stocks - Estimation and Forecasting -
Kaiser, Thomas - EconWPA - 1996
This paper presents theoretical models and their empirical results for the return and variance dynamics of German stocks. A factor structure is used in order to allow for a parsimonious modeling of the first two moments of returns. Dynamic factor models with GARCH dynamics (GARCH(1,1)-M,...
Persistent link: https://www.econbiz.de/10005407963
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Bond Premium in Turkey
Basci, Erdem; Ekinci, Mehmet Fatih - EconWPA - 2004
In this paper we examine the difference between T-Bill returns and common stock returns in Turkey. We observe that there is a bond premium in Turkey unlike the equity premia in developed countries. As an attempt to explain this surprising observation, we incorporate inflation risk and default...
Persistent link: https://www.econbiz.de/10005412836
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Association between Markov regime-switching market volatility and beta risk: Evidence from Dow Jones industrial securities
Galagedera, Don U.A.; Shami, Roland - EconWPA - 2004
In this paper, the volatility of the return generating process of the market portfolio and the slope coefficient of the … volatility switching behaviour in a sample of returns in the S&P500 index. In three of the thirty securities in the Dow Jones … security is in the high (low) risk state given the market is in the high (low) volatility regime and show that this information …
Persistent link: https://www.econbiz.de/10005413049
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How to account for virtual arbitrage in the standard derivative pricing
Ilinski, Kirill - EconWPA - 1999
In this short note we show how virtual arbitrage opportunities can be modelled and included in the standard derivative pricing without changing the general framework.
Persistent link: https://www.econbiz.de/10005413055
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The Market Price of Aggregate Risk and the Wealth Distribution
Lustig, Hanno - EconWPA - 2001
Bankruptcy brings the asset pricing implications of Lucas's (1978) endowment economy in line with the data. I introduce bankruptcy into a complete markets model with a continuum of ex ante identical agents who have CRRA utility. Shares in a Lucas tree serve as collateral. The model yields a...
Persistent link: https://www.econbiz.de/10005413071
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A Continuous-Time Asset Pricing Model with Boundedly Rational Heterogeneous Agents
Gomes, Orlando - EconWPA - 2004
predictable pattern over time; we observe periods of high volatility, periods of large negative returns and periods of observation …
Persistent link: https://www.econbiz.de/10005413133