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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
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The Impact of the Return Interval on The estimation of Systematic Risk in Australia.
Jesev, T.; Brailsford, T. - School of Economics, Finance and Marketing, RMIT University - 1996
The estimation of systematic risk (or 'beta') in central to the implementation of the Capital Asset Pricing Model and …
Persistent link: https://www.econbiz.de/10005487292
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The epistemology of modern finance
De Scheemaekere, Xavier - Centre Emile Bernheim, Solvay Brussels School of … - 2006
economics and their connection to risk and uncertainty. Risk-neutral valuation, a direct consequence of Black-Scholes model …, restricts the range of individual and subjective uncertainty by putting a price on replicable risk, thereby conferring to modern …
Persistent link: https://www.econbiz.de/10005558854
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Hetergeneous Beliefs and Routes to Chaos in a Simple Asset Pricing Model.
Brock, W.A.; Hommes, C.H. - Wisconsin Madison - Social Systems - 1996
This paper investigates the dynamics in the simple present discounted value asset pricing model with heterogeneous beliefs.
Persistent link: https://www.econbiz.de/10005795331
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A Unifying Approach to Asset Pricing
Platen, Eckhard - Finance Discipline Group, Business School - 2008
assumptions of risk neutral pricing. In several ways the numeraire portfolio is the “best” performing portfolio and cannot be …
Persistent link: https://www.econbiz.de/10004984601
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The predictability of aggregate returns on commodity futures
Lutzenberger, Fabian T. - In: Review of Financial Economics 23 (2014) 3, pp. 120-130
This paper provides evidence that aggregate returns on commodity futures (without the returns on collateral) are predictable, both in-sample and out-of-sample, by various lagged variables from the stock market, bond market, macroeconomics, and the commodity market. Out of the 32 candidate...
Persistent link: https://www.econbiz.de/10010907043
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What Does the Convenience Yield Curve Tell Us about the Crude Oil Market?
Alquist, Ron; Bauer, Gregory; Rios, Antonio Diez de los - Bank of Canada - 2014
Using the prices of crude oil futures contracts, we construct the term structure of crude oil convenience yields out to one-year maturity. The crude oil convenience yield can be interpreted as the interest rate, denominated in barrels of oil, for borrowing a single barrel of oil, and it measures...
Persistent link: https://www.econbiz.de/10010960394
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Theoretical and Empirical Review of Asset Pricing Models:A Structural Synthesis
Celik, Saban - In: International Journal of Economics and Financial Issues 2 (2012) 2, pp. 141-178
the way to evaluate the present value of the pay offs or cash flows discounted for risk and time lags. The difficulty …
Persistent link: https://www.econbiz.de/10010543306
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Risk Premium, Variance Premium and the Maturity Structure of Uncertainty
Feunou, Bruno; Fontaine, Jean-Sébastien; Taamouti, … - Bank of Canada - 2012
Expected returns vary when investors face time-varying investment opportunities. Longrun risk models (Bansal and Yaron … 2004) and no-arbitrage affine models (Duffie, Pan, and Singleton 2000) emphasize sources of risk that are not observable to … the econometrician. We show that, for both classes of models, the term structure of risk implicit in option prices can …
Persistent link: https://www.econbiz.de/10010548355
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Insider Trading in Credit Derivatives
Acharya, Viral V; Johnson, Tim - C.E.P.R. Discussion Papers - 2005
Insider trading in the credit derivatives market has become a significant concern for regulators and participants. This paper attempts to quantify the problem. Using news reflected in the stock market as a benchmark for public information, we report evidence of significant incremental...
Persistent link: https://www.econbiz.de/10005666591