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Garleanu, Nicolae; Panageas, Stauros - National Bureau of Economic Research - 2024

We propose a unified theory of asset price determination encompassing both "conventional" and "alternative" asset …

Persistent link: https://www.econbiz.de/10014512038

Crouzet, Nicolas; Eberly, Janice C.; Eisfeldt, Andrea L.; … - National Bureau of Economic Research - 2022

, scope, and investment decisions, and we outline their connection to recent macroeconomic and financial trends in the US …

Persistent link: https://www.econbiz.de/10013362030

Evaluation and Learning in R&D Investment

Frankel, Alex; Krieger, Joshua L.; Li, Danielle; … - National Bureau of Economic Research - 2023

We examine the role of spillover learning in shaping the value of exploratory versus incremental R&D. Using data from drug development, we show that novel drug candidates generate more knowledge spillovers than incremental ones. Despite being less likely to reach regulatory approval, they are...

Persistent link: https://www.econbiz.de/10014287391

Security Analysis : An Investment Perspective

Hou, Kewei - 2019

The investment theory, in which the expected return varies cross-sectionally with investment, expected profitability …

Persistent link: https://www.econbiz.de/10012480008

Consumption and Portfolio Choice with Option-Implied State Prices

Aït-Sahalia, Yacine - 2008

We propose an empirical implementation of the consumption-investment problem using the martingale representation … simplifies the investor's task of specifying the investment opportunity set and inherits the computational convenience of the …

Persistent link: https://www.econbiz.de/10012464793

Current Accounts in the Long and Short Run

Kraay, Aart - 2002

fluctuations in savings on domestic investment and the current account? In the long run, we find that countries invest the marginal … to smooth consumption, but also domestic investment. To achieve this, they use foreign assets as a buffer stock …

Persistent link: https://www.econbiz.de/10012469683

RIM-Based Value Premium and Factor Pricing Using Value-Price Divergence

Cong, Lin William; George, Nathan Darden; Wang, Guojun - National Bureau of Economic Research - 2023

We document that value-to-price, the ratio of Residual-Income-Model-based valuation to market price, subsumes the power of book-to-market ratio and many other value or quality measures in predicting stock returns. Long-short value-to-price portfolios hedge against momentum, revitalize the...

Persistent link: https://www.econbiz.de/10014226164

Asset Pricing with Optimal Under-Diversification

Elenev, Vadim; Landvoigt, Tim - National Bureau of Economic Research - 2023

We study sources and implications of undiversified portfolios in a production-based asset pricing model with financial frictions. Households take concentrated positions in a single firm exposed to idiosyncratic shocks because managerial effort requires equity stakes, and because investors gain...

Persistent link: https://www.econbiz.de/10014250139

Pension Fund Investment Policy

Bodie, Zvi - 1988

The purpose of this paper is to survey what is known about the investment policy of pension funds. Pension fund … investment policy depends critically on the type of plan: defined contribution versus defined benefit. For defined contribution … plans investment policy is not much different than it is for an individual deciding how to invest the money in an Individual …

Persistent link: https://www.econbiz.de/10012476308

Level versus Variability Trade-offs in Wind and Solar Generation Investments : The Case of California

Wolak, Frank A. - 2016

Hourly plant-level wind and solar generation output and real-time price data for one year from the California ISO control area is used to estimate the vector of means and the contemporaneous covariance matrix of hourly output and revenues across all wind and solar locations in the state. Annual...

Persistent link: https://www.econbiz.de/10012456183

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