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An experimental comparison of two exchange economies : long-lived asset vs. short-lived asset
Carbone, Enrica; Hey, John Denis; Neugebauer, Tibor - In: Management science : journal of the Institute for … 67 (2021) 11, pp. 6946-6962
Persistent link: https://www.econbiz.de/10012703757
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The Market Price of Aggregate Risk and the Wealth Distribution
Lustig, Hanno - 2005
We introduce limited liability in a model with a continuum of ex ante identical agents who face aggregate and idiosyncratic income risk. These agents can trade a complete menu of contingent claims, but they cannot commit and shares in a Lucas tree serve as collateral to back up their...
Persistent link: https://www.econbiz.de/10012467553
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The empirical foundations of the arbitrage pricing theory
Lehmann, Bruce Neal; Modest, David M. - 1985
Persistent link: https://www.econbiz.de/10000687104
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Asset pricing in a monetary economy with heterogeneous beliefs
Croitoru, Benjamin; Lu, Lei - In: Management science : journal of the Institute for … 61 (2015) 9, pp. 2203-2219
Persistent link: https://www.econbiz.de/10011372432
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Rational speculators, contrarians, and excess volatility
Lof, Matthijs - In: Management science : journal of the Institute for … 61 (2015) 8, pp. 1889-1901
Persistent link: https://www.econbiz.de/10011338806
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Competition in portfolio management : theory and experiment
Asparouhova, Elena; Bossaerts, Peter L.; Čopič, Jernej; … - In: Management science : journal of the Institute for … 61 (2015) 8, pp. 1868-1888
Persistent link: https://www.econbiz.de/10011338808
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Asset-pricing implications of dividend volatility
Li, Yan; Yang, Liyan - In: Management science : journal of the Institute for … 59 (2013) 9, pp. 2036-2055
Persistent link: https://www.econbiz.de/10010194838
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Electricity trading and negative prices : storage vs. disposal
Zhou, Yangfang; Scheller-Wolf, Alan; Secomandi, Nicola; … - In: Management science : journal of the Institute for … 62 (2016) 3, pp. 880-898
Persistent link: https://www.econbiz.de/10011453616
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Skewness and the relation between risk and return
Theodossiou, Panayiotis; Savva, Christos S. - In: Management science : journal of the Institute for … 62 (2016) 6, pp. 1598-1609
Persistent link: https://www.econbiz.de/10011502439
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Macroeconomic volatilities and long-run risks of asset prices
Zhou, Guofu; Zhu, Yingzi - In: Management science : journal of the Institute for … 61 (2015) 2, pp. 413-430
Persistent link: https://www.econbiz.de/10010490848