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Gomes, Joao F; Kogan, Leonid; Zhang, Lu - C.E.P.R. Discussion Papers - 2002

intertemporal CAPM with the market portfolio as the only factor, size and book-to-market play separate roles in describing the cross …-section of stock returns is not necessarily inconsistent with a single-factor conditional CAPM model. …

Persistent link: https://www.econbiz.de/10005123908

Optimal Financial Market Integration and Security Design

Acharya, Viral V; Bisin, Alberto - C.E.P.R. Discussion Papers - 2003

We study two-period pure-exchange Capital Asset Pricing Model (CAPM) economies, for given degrees of incompleteness of …

Persistent link: https://www.econbiz.de/10005792424

Basic Principles Of Asset Pricing Theory: Evidence From Large-Scale Experimental Financial Markets

Bossaerts, Peter; Plott, Charles - C.E.P.R. Discussion Papers - 2000

-markets model, and the Sharpe-Lintner-Mossin Capital Asset Pricing Model (CAPM). This framework enabled us to measure how far our … discovered swift convergence towards equilibrium prices of Arrow and Debreu's model or the CAPM. This discovery is significant … walk, in favour of stochastic convergence towards CAPM and Arrow-Debreu equilibrium. …

Persistent link: https://www.econbiz.de/10005662411

EMU and European Stock Market Integration

Hardouvelis, Gikas A; Malliaropoulos, Dimitrios; … - C.E.P.R. Discussion Papers - 1999

The paper examines whether or not the convergence process of European economies towards Economic and Monetary Union has led to increased integration of European stock markets. We estimate a conditional asset pricing model, which allows for a time-varying degree of integration that measures the...

Persistent link: https://www.econbiz.de/10005788933

Equilibrium of Real Financial Markets: Theory and Experimental Evidence

Bossaerts, Peter - C.E.P.R. Discussion Papers - 2004

than at (CAPM) equilibrium. Experimental evidence confirms the predictions conclusively. …

Persistent link: https://www.econbiz.de/10005792218

Rare Events, Financial Crises, and the Cross-Section of Asset Returns

Bianchi, Francesco - C.E.P.R. Discussion Papers - 2015

, Good Beta" Intertemporal CAPM that allows for regime changes. …

Persistent link: https://www.econbiz.de/10011213314

Effect of Regulatory Constraints on Fund Performance: New Evidence from UCITS Hedge Funds

Joenväärä, Juha; Kosowski, Robert - C.E.P.R. Discussion Papers - 2015

We economically motivate and then test a range of hypotheses regarding performance and risk differences between UCITS-compliant and other hedge funds. The latter exhibit more suspicious return patterns than do absolute return UCITS (ARUs), but ARUs exhibit higher levels of operational risk. We...

Persistent link: https://www.econbiz.de/10011272713

Bank Credit Tightening, Debt Market Frictions and Corporate Yield Spreads

Massa, Massimo; Zhang, Lei - C.E.P.R. Discussion Papers - 2015

We study how debt market frictions constraining the ability to replace bank with bond financing during a tightening in bank credit supply affect corporate yield spreads. We document that more inflexible firms suffer bigger increases in bond yield spreads as bank credit supply tightens. Debt...

Persistent link: https://www.econbiz.de/10011252612

Biased Shorts: Stock Market Implications of Short Sellers’ Disposition Effect

Massa, Massimo; von Beschwitz, Bastian - C.E.P.R. Discussion Papers - 2015

We investigate whether short sellers are subject to the disposition effect using a novel dataset that allows to identify the weekly closing of short positions. Consistent with the disposition effect, the closing of short sale positions is strongly related to a proxy of Shortsale Capital Gains...

Persistent link: https://www.econbiz.de/10011252613

First to “Read” the News: News Analytics and Institutional Trading

Keim, Donald B; Massa, Massimo; von Beschwitz, Bastian - C.E.P.R. Discussion Papers - 2015

We investigate whether providers of high frequency news analytics affect the stock market. As identification, we exploit a unique experiment based on differences in news event classifications between different product releases of a major provider of news analytics. We document a causal effect of...

Persistent link: https://www.econbiz.de/10011252620

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