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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

Cvitanić, Jakša; Malamud, Semyon - Swiss National Centre of Competence in Research North … - 2010

We study survival, price impact and portfolio impact in heterogeneouseconomies. We show that, under the equilibrium risk-neutral measure,long-run price impact is in fact equivalent to survival, whereas longrunportfolio impact is equivalent to survival under an agent-specic,wealth-forward...

Persistent link: https://www.econbiz.de/10009305110

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

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

Asset Prices, Funds’ Size and PortfolioWeights in Equilibrium with Heterogeneousand Long-Lived Funds

Cvitani, Jaksa; Malamud, Semyon - Swiss National Centre of Competence in Research North … - 2009

We perform a detailed asymptotic analysis of the equilibrium behavior of the assetprices, wealth size and portfolio weights in complete markets equilibria, with long-livedfunds. In equilibrium, the fund with the (closest to) log preference will dominate theother funds in size, in the long-run,...

Persistent link: https://www.econbiz.de/10005868786

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

Fundamental Theorem of Asset Pricing, Stochastic Dimension

Strong, Winslow - National Centre of Competence in Research - Financial … - 2011

fundamental theorems of asset pricing (FTAPs): theequivalence of no free lunch with vanishing risk to the existence of an …

Persistent link: https://www.econbiz.de/10009418977

Long Horizons, High Risk Aversion, and EndogeneousSpreads

Guasoni, Paolo; Muhle-Karbe, Johannes - National Centre of Competence in Research - Financial … - 2011

For an investor with constant absolute risk aversion and a long horizon, who trades in amarket with constant investment opportunities and small proportional transaction costs, weobtain explicitly the optimal investment policy, its implied welfare, liquidity premium, andtrading volume. We...

Persistent link: https://www.econbiz.de/10009418986

Transaction Costs, Trading Volume, and the Liquidity Premium

Gerhold, Stefan; Guasoni, Paolo; Schachermayer, Walter; … - National Centre of Competence in Research - Financial … - 2011

In a market with one safe and one risky asset, an investor with a long horizon, constantinvestment opportunities, and constant relative risk aversion trades with small proportionaltransaction costs. We derive explicit formulas for the optimal investment policy, its impliedwelfare, liquidity...

Persistent link: https://www.econbiz.de/10009418987

Time-Varying Risk Premium in Large Cross-Sectional Equity Datasets

Gagliardini, Patrick; Ossola, Elisa; Scaillet, Olivier - National Centre of Competence in Research - Financial … - 2011

returns. We estimate the time-varying risk premia implied by conditional linearasset pricing models where the conditioning …. Weaddress consistent estimation of the asymptotic variance, and testing for asset pricing restrictions inducedby the no … strays from standard unconditionalestimates and follow the macroeconomic cycles. The asset pricing restrictions are rejected …

Persistent link: https://www.econbiz.de/10009418989