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Is the pricing of sovereign risk linear during bearish episodes? Or can initial shocks on economic fundamentals be … nonlinear dynamics. 2) The deterioration of mark et conditions for financial names changes the way investors price risk of the …
Persistent link: https://www.econbiz.de/10010764083
This paper uses a stylised asset-pricing model to show that sunspots may cause asset returns to be predictable, a widely documented feature of many speculative markets. This result parallels and extends previous works showing that sunspots render asset prices excessively volatile.
Persistent link: https://www.econbiz.de/10010905155
reverting and countercyclical (instead of constant in the standard model) market prices of risk, mean reverting and procyclical … (instead of constant) risk free rates, decreasing (instead of flat) yield curves in the long run, possibly higher returns and … higher risk premia in the long run (instead of a flat structure), momentum in stock returns in the short run, more variance …
Persistent link: https://www.econbiz.de/10010707972
inflation, the model accounts for the C-CAPM expectations puzzle. Risk aversion coefficients between 2 and 7 are elicited. …
Persistent link: https://www.econbiz.de/10011246084
This doctoral thesis develops regime-switching models of the term structure of interest rates. A general framework is proposed to model the joint dynamics of yield curves associated with different debtors (Chapter 2). This framework is exploited to analyse the fluctuations of ten euro-area...
Persistent link: https://www.econbiz.de/10011273996
Mutual funds industry has been sought by French politicians as mediation between the popular savings and company … funds industry has becoming a global competitive industry draining an even greater share of the savings, it has failed in …
Persistent link: https://www.econbiz.de/10011199615
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/10010905244
In financial economics risk-return tradeoffs show how expected rates of return and consequently asset prices are altered …: (i) Present some of the recent literature that is concerned with the effect of long run risk on returns and prices. (ii …) Develop an analytical structure that reveals the long-run risk-return relationship in nonlinear continuous time Markov …
Persistent link: https://www.econbiz.de/10011072770
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