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Multiple Trees Subject to Event Risk
Porchia, Paolo; Trojani, Fabio - National Centre of Competence in ResearchFinancial … - 2009
We study an equilibrium asset pricing model with several Lucas (1978) trees subject toevent risk, that is, the …
Persistent link: https://www.econbiz.de/10005868703
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International Price and Earnings Momentum
Leippold, Markus; Lohre, Harald - National Centre of Competence in ResearchFinancial … - 2008
We find that price and earnings momentum are pervasive features of international equitymarkets when controlling for data snooping biases. For European countries, we find that pricemomentum is subsumed by earnings momentum on an aggregate level. However, this rationaledoes not apply to each and...
Persistent link: https://www.econbiz.de/10005868982
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Dynamic utility-based good deal bounds
Kloppel, Susanne; Schweizer, Martin - Institut für Schweizerisches Bankwesen <Zürich> - 2008
, viaduality, restrictions on pricing kernels and thereby gives tighter valuation boundson payoffs than absence of arbitrage alone … and global (conditional) pricing kernel restrictions for the temporally dynamicsetting. For the dynamic case, we show in a …
Persistent link: https://www.econbiz.de/10005857734
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Market Liquidity Risk - An Overview
Stange, Sebastian; Kaserer, Christoph - Center for Entrepreneurial and Financial Studies <München> - 2009
Market liquidity is the ease of trading an asset. Its risk is the potential loss, because a security can only be traded at high or prohibitive costs. While the omnipresence and importance of market liquidity is widely acknowledged, it has long remained a more or less elusive concept. Treatment...
Persistent link: https://www.econbiz.de/10005870300
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Firm Migration and Stock Returns
Puopolo, Giovanni W. - Finrisk - 2009
This paper studies the asset pricing implications of a general equi-librium model in which real investment is …
Persistent link: https://www.econbiz.de/10009022140
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Asset Pricing with Matrix Jump Diffusions
Leippold, Markus; Trojani, Fabio - Swiss National Centre of Competence in Research North … - 2010
applications to, e.g., multivariate option pricing with stochasticvolatilities and correlations, fixed-income models with …
Persistent link: https://www.econbiz.de/10009248844
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Three Solutions to the Pricing Kernel Puzzle
Hens, Thorsten; Reichlin, Christian - Swiss National Centre of Competence in Research North … - 2010
The pricing kernel puzzle is the observation that the pricing kernelmight be increasing in some range of the market … returns. This paperanalyzes the pricing kernel in a nancial market equilibrium. If mar-kets are complete and investors are … risk-averse and have common andtrue beliefs, the pricing kernel is a decreasing function of aggregateresources. If at least …
Persistent link: https://www.econbiz.de/10009305117
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Which, Why, and for How Long Do IPOs Underperform?
Hoechle, Daniel; Schmid, Markus - Wirtschaftswissenschaftliches Zentrum <Basel> - 2008
Based on a sample of 7,378 firms going public in the 1975-2005 period, we document a significant underperformance of IPO firms over the first year after going public, while there is virtually no underperformance thereafter. Moreover, by decomposing the Carhart-alpha we find that IPO...
Persistent link: https://www.econbiz.de/10005862629
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The cross section of positively weighted portfolios
Niedermayer, Daniel; Zimmermann, Heinz - Wirtschaftswissenschaftliches Zentrum <Basel> - 2007
as well as for asset pricing and for the improvement of proxies' benchmark properties. In contrast to current literature … the results suggest that the CAPM's pricing error is small when slightly inefficient, positively weighted proxies are used. …
Persistent link: https://www.econbiz.de/10005862639
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Nomen est Omen : How Company Names Influence Short- and Long-Run Stock Market Performance
Pensa, Pascal - Wirtschaftswissenschaftliches Zentrum <Basel> - 2006
I use a survey methodology to obtain consensus ratings of 64 Swiss company names. The survey evidence suggests that simple cognitive company name characteristics do affect the buy and sell decision of respondents. Furthermore, I find that respondents attribute positive stock performance rather...
Persistent link: https://www.econbiz.de/10005862886