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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

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

A survey on risk-return analysis

Galagedera, Don U.A. - EconWPA - 2004

conditional on time-varying volatility. …

Persistent link: https://www.econbiz.de/10005561561

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

International equity flows and returns: a quantitative equilibrium approach

Albuquerque, Rui; Bauer, Gregory H.; Schneider, Martin - EconWPA - 2005

This paper considers the role of foreign investors in developed-country equity markets. It presents a quantitative model of trading that is built around two new assumptions: (i) both the foreign and domestic investor populations contain investors of different sophistication, and (ii) investor...

Persistent link: https://www.econbiz.de/10005062693

International Equity Flows and Returns: A Quantitative Equilibrium Approach

Albuquerque, Rui; Bauer, Gregory; Schneider, Martin - EconWPA - 2004

Persistent link: https://www.econbiz.de/10005062701

Equity Premium and Consumption Sensitivity When the Consumer- Investor Allows for Unfavorable Circumstances

Chow, Gregory C. - EconWPA - 2003

Introducing one additional element due to possible misfortune to the return of each of two assets in the basic model of Samuelson (Rev.Econom.Statist.51 (1969)239)on optimum portfolio and consumption decisions,this paper resolves both the excess equity premium and the excess consumption...

Persistent link: https://www.econbiz.de/10005076751

The Effect of Macroeconomic Factors on Asset Returns: A Comparative Analysis of the German and the Turkish Stock Markets in an APT Framework

Altay, Erdinc - EconWPA - 2003

This paper uses factor analytic techniques for deriving factor realizations from a group of main economic indicators of both the German and the Turkish economy in order to test the effect of economic factors on asset returns in an APT framework. The factor structure of the German economy yields...

Persistent link: https://www.econbiz.de/10005076970

Realized Volatility and Asymmetries in the A.S.E. Returns

Thomakos, Dimitrios D.; Koubouros, Michail S. - EconWPA - 2005

volatility of the Athens Stock Exchange (A.S.E.) from 1985 to 2003. Our analysis focuses on the distributional and time series … properties of the realized volatility series and on assessing the connection between realized volatility and returns. In … particular, we find strong evidence on the existence of a volatility feedback effect and the leverage effect, and on the …

Persistent link: https://www.econbiz.de/10005077019

Power Risk Aversion Utility Functions

Xie, Danyang - EconWPA - 2002

This paper introduces a new class of utility function -- the power risk aversion.It is shown that the CRRA and CARA utility functions are both in this class. The implications of the PRA utility functions are explored in the context of growth theory. In particular, it is found that economies...

Persistent link: https://www.econbiz.de/10005556648