Narrow search
Showing 1 - 10 of 2,086
Cover Image
Arbitrage Pricing Theory, the Stochastic Discount Factor and Estimation of Risk Premia from Portfolios
Pesaran, M. Hashem; Smith, Ron - 2021
The arbitrage pricing theory (APT) attributes differences in expected returns to exposure to systematic risk factors …
Persistent link: https://www.econbiz.de/10013233142
Cover Image
Gold and Oil Prices : Abnormal Returns, Momentum and Contrarian Effects
Caporale, Guglielmo Maria - 2020
This paper explores price (momentum and contrarian) effects on the days characterised by abnormal returns and the … returns can usually be detected before the end of the day by estimating specific timing parameters, and a momentum effect can … be detected. On the following day two different price patterns are detected: a momentum effect for Oil prices and a …
Persistent link: https://www.econbiz.de/10012827113
Cover Image
Momentum Effects in the Cryptocurrency Market after One-Day Abnormal Returns
Caporale, Guglielmo Maria - 2019
This paper examines whether there exists a momentum effect after one-day abnormal returns in the cryptocurrency market … returns is different on overreaction days compared to normal days; H2) there is a momentum effect on overreaction days, and H3 … day when it occurs, which implies the existence of a momentum effect on that day giving rise to exploitable profit …
Persistent link: https://www.econbiz.de/10012859990
Cover Image
Redistribution of Return Inequality
Schulz, Karl - 2021
Wealthier households obtain higher returns on their investments than poorer ones. How should the tax system account for this return inequality? I study capital taxation in an economy in which return rates endogenously correlate with wealth. The leading example is a financial market, where the...
Persistent link: https://www.econbiz.de/10013233147
Cover Image
Carbon Dioxide as a Risky Asset
Bauer, Adam Michael; Proistosescu, Christian; Wagner, Gernot - 2023
We develop a financial-economic model for carbon pricing with an explicit representation of decision making under risk and uncertainty that is consistent with the Intergovernmental Panel on Climate Change’s sixth assessment report. We find that this approach provides economic support for the...
Persistent link: https://www.econbiz.de/10014255593
Cover Image
Diverse Risk Preferences and Heterogeneous Expectations in an Asset Pricing Model
Gomez, Thomas - 2020
We propose a heuristic switching model of an asset market where the agents' choice of heuristic is consistent with their individual risk aversion. They choose between a fundamentalist and a trend-following rule to form expectations about the price of a risky asset. Given their risk aversion,...
Persistent link: https://www.econbiz.de/10012844420
Cover Image
The Role of Factor Strength and Pricing Errors for Estimation and Inference in Asset Pricing Models
Pesaran, M. Hashem - 2019
In this paper we are concerned with the role of factor strength and pricing errors in asset pricing models, and their implications for identification and estimation of risk premia. We establish an explicit relationship between the pricing errors and the presence of weak factors that are...
Persistent link: https://www.econbiz.de/10012859988
Cover Image
Asset Pricing and the Carbon Beta of Externalities
Edenhofer, Ottmar; Lessmann, Kai; Tahri, Ibrahim - 2021
Climate policy needs to set incentives for actors who face imperfect, distorted markets and large uncertainties about the costs and benefits of abatement. Investors price uncertain assets according to their expected return and risk (carbon beta). We study carbon pricing and financial incentives...
Persistent link: https://www.econbiz.de/10013214337
Cover Image
World Equity Premium Based Risk Aversion Estimates
Pozzi, Lorenzo - 2013
CAPM under power utility is excessively high. Moreover, estimates in the literature vary considerably across countries. We …
Persistent link: https://www.econbiz.de/10013094420
Cover Image
Dynamic trading and asset prices : Keynes vs. Hayek
Cespa, Giovanni; Vives, Xavier - 2009
term prospects and those only." The analysis explains accommodation and trend chasing strategies as well as momentum and …
Persistent link: https://www.econbiz.de/10010272747