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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
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Liquidity Models in Continuous and Discrete Time
Roch, Alexandre F.; Gökay, Selim; Soner, H. Mete - Swiss National Centre of Competence in Research North … - 2010
The study of liquidity in financial markets either invokes the ease with whichfinancial securities can be bought and sold, or addresses the ability to tradewithout triggering important changes in asset prices. More specifically, onecan think of liquidity as an exogenous measure of the added...
Persistent link: https://www.econbiz.de/10009305121
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Aircraft Noise Derivatives
Dalbert, Curdin; Vanini, Paolo - Swiss National Centre of Competence in Research North … - 2009
Changing noise levels have a severe impact on house prices and through the leveragein nancing on households wealth. This risk is essential for houses close to airportswith uncertain aircraft regimes. We design and calibrate real options based on aircraftnoise to hedge against noise risk. The...
Persistent link: https://www.econbiz.de/10005868724
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Approximate Derivative Pricing for Large Class ofHomogeneous Assets
Gagliardini, Patrick; Gourieroux, Christian - Swiss National Centre of Competence in Research North … - 2008
prediction and pricing formulas for the future factorvalues and their proxies, when the size n of the class is large. Up to order …
Persistent link: https://www.econbiz.de/10005868923
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“Ownership Concentration, ‘Private Benefits of Control’and Debt Financing
Filatotchev, Igor; Mickiewicz, Tomasz - Centre for the Study of Economic and Social Change in … - 2001
Building on the ‘law and economics’ literature, this paper analyses corporategovernance implications of debt financing in an environment where a dominant owner isable to extract ex ante ‘private benefits of control’. Ownership concentration may result inlower efficiency, measured as a...
Persistent link: https://www.econbiz.de/10005868255
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Die Validität eines Ansatzes zur Separierung der Allokations- und Informationsfunktion des Preises
Sattler, Henrik; Rao, Vithala R. - Universität <Jena> / Wirtschaftswissenschaftliche Fakultät - 1997
Consumers use price of a product both as a signal of product quality and as a monetary constraint in choosing it. Consequently, price has two distinct roles - informational and allocative - in the evaluation of a product. In this paper, we test the validity of a research approach proposed by...
Persistent link: https://www.econbiz.de/10005867844
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Preisschwellen und Deckungsbeitrag - Verschenkt der Handel große Potentiale?
Gedenk, Karen; Sattler, Henrik - Universität <Jena> / Wirtschaftswissenschaftliche Fakultät - 1997
Retailers have been criticized for heavily relying on odd prices although their advantage over even prices has not been convincingly proven. In this paper we argue that such behavior does not have to stem solely from tradition, but may be seen as a rational way of dealing with uncertainty. We...
Persistent link: https://www.econbiz.de/10005867847
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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
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Hazard Processes and Martingale Hazard Processes
Coculescu, Delia; Nikeghbali, Ashkan - National Centre of Competence in ResearchFinancial … - 2009
In this paper, we build a bridge between different reduced-form approaches to pricing defaultable claims. In particular … of Collin Dufresne et al. [8], wepropose a simple pricing formula under an equivalent change of measure.Two processes …
Persistent link: https://www.econbiz.de/10005868712
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Loan Pricing: Thinking Collateral
Akgün, Aydin; Vanini, Paolo - National Centre of Competence in ResearchFinancial … - 2009
We introduce a framework for analyzing the interplay between credit risk and collateralmarket risk on loan pricing. To …. The framework allows usto develop semi-analytical pricing formulae for loans where the borrower's creditworthinessand …
Persistent link: https://www.econbiz.de/10005868725