Similar Search Results

Implied risk aversion and volatility risk premiums

Yoon, Sun-joong; Byun, Suk Joon - In: Applied financial economics 22 (2012) 1/3, pp. 59-70

Persistent link: https://www.econbiz.de/10009419575

The security market plane

Bollen, Bernard - In: Applied financial economics 20 (2010) 13/15, pp. 1231-1240

Persistent link: https://www.econbiz.de/10009010289

The Q theory of investment, the capital asset pricing model and the capitalization rate in real estate valuation

McDonald, John F. - In: Applied financial economics 20 (2010) 13/15, pp. 1133-1143

Persistent link: https://www.econbiz.de/10009010299

Investor perceptions and volatility within a risk-return framework

Berger, Dave - In: Applied financial economics 20 (2010) 13/15, pp. 1003-1010

Persistent link: https://www.econbiz.de/10009010335

The risk premiums of the four-factor asset pricing model in the Hong Kong stock market

Lam, Keith S. K.; Li, Frank K. - In: Applied financial economics 18 (2008) 18/21, pp. 1667-1680

Persistent link: https://www.econbiz.de/10003800234

Semiparametric estimation of asset pricing kernel

Yang, Jun - In: Applied financial economics 19 (2009) 4/6, pp. 257-272

This article empirically studies the pricing kernel implicit in option prices. Based on the cross-sectional fits alone, no significant difference can be detected between models with different factor dynamics. A cubic pricing kernel provides almost perfect fits in the sample. Nonlinearity in the...

Persistent link: https://www.econbiz.de/10003828464