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A Generalized Earnings-Based Stock Valuation Model

Dong, Ming; Hirshleifer, David - EconWPA - 2004

This paper provides a model for valuing stocks that takes into account the stochastic processes for earnings and interest rates. Our analysis differs from past research of this type in being applicable to stocks that have a positive probability of zero or negative earnings. By avoiding the...

Persistent link: https://www.econbiz.de/10005561702

A survey on risk-return analysis

Galagedera, Don U.A. - EconWPA - 2004

This paper provides a review of the main features of asset pricing models. The review includes single-factor and multifactor models, extended forms of the Capital Asset Pricing Model with higher order co- moments, and asset pricing models conditional on time-varying volatility.

Persistent link: https://www.econbiz.de/10005561561

Stock Valuation and Investment Strategies

Chen, Zhiwu; Dong, Ming - EconWPA - 2004

This article studies the relative investment performance of several stock-valuation measures. The first is mispricing based on the valuation model developed by Bakshe and Chen (1998)and extended by Dong (1998) (hereafter, the BCD model). The BCD model relates, in closed form, a stock's fair...

Persistent link: https://www.econbiz.de/10005561689

Time-Changed Levy Processes and Option Pricing

Carr, Peter; Wu, Liuren - EconWPA - 2002

As is well known, the classic BlackScholes option pricing model assumes that returns follow Brownian motion. It is widely recognized that return processes differ from this benchmark in at least three important ways. First, asset prices jump, leading to nonnormal return innovations. Second,...

Persistent link: https://www.econbiz.de/10005134892

Variance Risk Premia

Carr, Peter; Wu, Liuren - EconWPA - 2004

We propose a direct and robust method for quantifying the variance risk premium on financial assets. We theoretically … and numerically show that the risk-neutral expected value of the return variance, also known as the variance swap rate, is … between the realized variance and this synthetic variance swap rate quantifies the variance risk premium. Using a large …

Persistent link: https://www.econbiz.de/10005413197

What is the Link Between Margin Loans and Stock Market Bubbles?

Ricke, Markus - EconWPA - 2003

As a reaction to the general suspicion that margin loans had been a key element of the stock market boom and crash of the late 1920s, the Federal Reserve Bank was empowered to regulate margin lending with the Securities and Exchange Act. The efficacy of the Federal Reserve's margin policy has...

Persistent link: https://www.econbiz.de/10005561621

A Temporary Equilibrium Model of Asset Pricing

Vachadze, George - EconWPA - 2001

This paper examines a decision-making problem of rational agents with risk averse utilities in the financial market …

Persistent link: https://www.econbiz.de/10005561670

A Short-Horizon Model of Asset Pricing: Equilibrium Analysis

Vachadze, George - EconWPA - 2001

This paper analyses a temporary financial market equilibrium by considering a two-period model of asset pricing with s securities, one riskless bond, and a continuum of heterogeneous agents with different preferences, endowments, and beliefs. Investors' objectives are to maximize the expected...

Persistent link: https://www.econbiz.de/10005561694

Long-Run Cash-Flow and Discount-Rate Risks in the Cross-Section of US Returns

Koubouros, Michail; Malliaropulos, Dimitrios; … - EconWPA - 2005

Merton’s Intertemporal CAPM to test whether these four sources of risk command different risk prices. The model performs well …-price ratios and past risk. It generates high estimates for the explained cross-sectional variation in average returns, lower … coefficient of relative risk aversion. …

Persistent link: https://www.econbiz.de/10005561735

Wavelet timescales and conditional relationship between higher- order systematic co-moments and portfolio returns: evidence in Australian data

Galagedera, Don U.A.; Maharaj, Elizabeth A. - EconWPA - 2004

enabling investigation at different return intervals. For some portfolios, the relative risk positions indicated by systematic … timescales. The beta risk is priced in the up and down markets and the co-kurtosis is not. Co-skewness does not appear to be …

Persistent link: https://www.econbiz.de/10005125060

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