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Dynamic equilibrium with rare events and heterogeneous Epstein-Zin investors

Chabakauri, Georgy - London School of Economics (LSE) - 2015

We consider a general equilibrium Lucas (1978) economy with one consumption good and two heterogeneous Epstein-Zin investors. The output is subject to rare large drops or, more generally, can have non-lognormal distribution with higher cumulants. The heterogeneity in preferences generates excess...

Persistent link: https://www.econbiz.de/10011126596

Arbitrage pricing and equilibrium pricing : compatibility conditions.

Napp, Clotilde; Jouini, Elyès - Université Paris-Dauphine - 2001

financial market, with perfect information : the so-called arbitrage approach permits to construct a unique valuation operator …The problem of fair pricing of contingent claims is well understood in the contex of an arbitrage free, complete … to construct a unique valuation operator which only depends on some particular price processes as well as on the …

Persistent link: https://www.econbiz.de/10008832173

A Class of Models satisfying a Dynamical Version of the CAPM.

Napp, Clotilde; Jouini, Elyès - Université Paris-Dauphine - 2003

Under a comonotonicity assumption between aggregate dividends and the market portfolio, the CCAPM formula becomes more tractable and more easily testable. In this paper, we provide theoretical justifications for such an assumption.

Persistent link: https://www.econbiz.de/10008532425

Viability and equilibrium in securities markets with frictions.

Jouini, Elyès; Kallal, Hedi - Université Paris-Dauphine - 1999

the absence of asymptotic free lunches—a generalization of opportunities of arbitrage. When a market for a nonmarketed …

Persistent link: https://www.econbiz.de/10008800242

Pricing of non-redundant derivatives in a complete market.

Jouini, Elyès; Bizid, Abdelhamid; Koehl, Pierre-François - Université Paris-Dauphine - 1999

We consider a complete financial market with primitive assets and derivatives on these primitive assets. Nevertheless, the derivative assets are non-redundant in the market, in the sense that the market is complete, only with their existence. In such a framework, we derive an equilibrium...

Persistent link: https://www.econbiz.de/10008800245

Does beta move with news?: Systematic risk and firm-specific information flows

Patton, Andrew J.; Verardo, Michela - London School of Economics (LSE) - 2009

This paper shows that the systematic risk (or "beta") of individual stocks increases by an economically and statistically signi…cant amount on days of firm-specific news announcements, and reverts to its average level two to five days later. We employ intra-daily data and recent advances in...

Persistent link: https://www.econbiz.de/10011071113

Modélisation du risque dans les méthodologies d'audit : apport de la psychométrie.

Mansour, Sadok - Université Paris-Dauphine

Le thème de la décision en situation d’incertitude a été abordé par les recherches en audit en utilisant des approches … en psychologie de la décision menées par Kahneman et Tversky. …Audit decision in risk situations was studied by researchers using normative and descriptive approaches issued from …

Persistent link: https://www.econbiz.de/10008529695

Les informations comptables répondent-elles aux besoins informationnels des banquiers lors de l'octroi d'un crédit à une entreprise ?.

Rougès, Véronique - Université Paris-Dauphine

Les informations comptables sont supposées être utiles aux parties prenantes en situation de décision. Cette … communication s'interroge sur l'utilité des données comptables pour les banques lors de la décision de faire crédit à une entreprise …

Persistent link: https://www.econbiz.de/10008532316