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Market imperfections, equilibrium and arbitrage
Jouini, Elyès - EconWPA - 2003
The theory of asset pricing, which takes its roots in the Arrow-Debreu model (Theory of value [1959, chap. 7]), the … frictionless. The main result is that a price process is arbitrage free (or, equivalently, compatible with some equilibrium) if and … only if it is, when appropriately renormalized, a martingale for some equivalent probability measure. The theory of pricing …
Persistent link: https://www.econbiz.de/10005076947
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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
This paper decomposes the overall market beta of common stocks into four parts reflecting uncertainty related to the long-run dynamics of stock- specific and market-wide cash flows and discount rates. We employ a discrete time version of Merton�s Intertemporal CAPM to test whether these four...
Persistent link: https://www.econbiz.de/10005076992
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Wavelet timescales and conditional relationship between higher- order systematic co-moments and portfolio returns: evidence in Australian data
Galagedera, Don U.A.; Maharaj, Elizabeth A. - EconWPA - 2004
This paper investigates association between portfolio returns and higher-order systematic co-moments at different timescales obtained through wavelet multi-scaling- a technique that decomposes a given return series into different timescales enabling investigation at different return intervals....
Persistent link: https://www.econbiz.de/10005125060
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Optimal Asian Multi-Currency Strategy Portfolios with Exact Risk Attribution
LOS, CORNELIS A. - EconWPA - 2004
return-risk attribution accounting framework is applied to monthly return data of Hong Kong, Indonesia, Japan, Malaysia, the …
Persistent link: https://www.econbiz.de/10005125061
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The international diversification puzzle is not worse than you think
Julliard, Christian - EconWPA - 2003
This paper offers two main contributions. First, it shows how the Baxter and Jermann (1997) claim that, once we consider human capital risk, the international diversification puzzle is worse than we think, is based on an econometric misspecification rejected by the data. Second, it outlines how,...
Persistent link: https://www.econbiz.de/10005125551
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Computing Equilibria in Finance Economies
Herings, P.J.J.; Kubler, F. - EconWPA - 2001
Persistent link: https://www.econbiz.de/10005125623
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A SURVEY ON INVESTMENT PERFORMANCE APPRAISAL METHODS WITH SPECIAL REFERENCE TO DATA ENVELOPMENT ANALYSIS
Galagedera, Don U.A. - EconWPA - 2004
This paper offers a review of investment performance appraisal methods. The review starts with an exhaustive coverage of various methods ranging from early measures of risk-adjusted return to more recent methods including the rating given by ASSIRT, a financial services organisation that assess...
Persistent link: https://www.econbiz.de/10005134916
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Structural versus Temporary Drivers of Country and Industry Risk
Baele, Lieven; Inghelbrecht, Koen - EconWPA - 2005
This paper analyzes the dynamics and determinants of the relative benefits of geographical and industry diversification over the last 30 years. First, we develop a new structural regime-switching volatility spillover model to decompose total risk into a systematic and a country (industry)...
Persistent link: https://www.econbiz.de/10005408196
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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 market model is assumed to follow a Markov switching process of order one. The results indicate very strong evidence of volatility switching behaviour in a sample of returns in...
Persistent link: https://www.econbiz.de/10005413049
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Asset Price Dynamics in a Financial Market with Heterogeneous Trading Strategies and Time Delays
Sansone, Alessandro; Garofalo, Giuseppe - EconWPA - 2005
In this paper we present a continuous time dynamical model of heterogeneous agents interacting in a financial market where transactions are cleared by a market maker. The market is composed of fundamentalist, trend following and contrarian agents who process information from the market with...
Persistent link: https://www.econbiz.de/10005413058