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Meta-Communication and Market Dynamics. Reflexive Interactions of Financial Markets and the Mass Media

Schuster, Thomas - 2003

A widely held belief in financial economics suggests that stock prices always adequately reflect all available information. Price movements away from fundamentals are assumed to occur only infrequently, if at all. quot;Falsequot; prices are supposed to be corrected by the counter-actions of...

Persistent link: https://www.econbiz.de/10012739503

Meta-Communication and Market Dynamics. Reflexive Interactions of Financial Markets and the Mass Media

Schuster, Thomas - EconWPA - 2003

A widely held belief in financial economics suggests that stock prices always adequately reflect all available information. Price movements away from fundamentals are assumed to occur only infrequently, if at all. „False“ prices are supposed to be corrected by the counter-actions of...

Persistent link: https://www.econbiz.de/10005134753

Basic Principles Of Asset Pricing Theory: Evidence From Large-Scale Experimental Financial Markets

Bossaerts, Peter; Plott, Charles - C.E.P.R. Discussion Papers - 2000

propositions of modern asset pricing theory, namely, that the interaction between risk averse agents in a competitive market leads …-markets model, and the Sharpe-Lintner-Mossin Capital Asset Pricing Model (CAPM). This framework enabled us to measure how far our … discovered swift convergence towards equilibrium prices of Arrow and Debreu's model or the CAPM. This discovery is significant …

Persistent link: https://www.econbiz.de/10005662411

A Simple Characterization of Dynamic Completeness in Continuous Time

Diasakos, Theodoros M. - Collegio Carlo Alberto, Università degli Studi di Torino - 2011

I establish a necessary and sufficient condition for the securities' market to be dynamically-complete in a single-commodity, pure-exchange economy with many Lucas' trees whose dividends are geometric Brownian motions. Even though my analysis is based upon the representative-agent version of...

Persistent link: https://www.econbiz.de/10009320155

Economic Activity of Firms and Asset Prices

Kogan, Leonid; Papanikolaou, Dimitris - In: Annual Review of Financial Economics 4 (2012) 1, pp. 361-384

In this review we survey the recent research on the fundamental determinants of stock returns. These studies explore how firms' systematic risk and their investment and production decisions are jointly determined in equilibrium. Models with production provide insights into several types of...

Persistent link: https://www.econbiz.de/10010603965

"Which Improves Welfare More: Nominal or Indexed Bond?"

Magill, M.; Quinzii, M. - California Davis - Institute of Governmental Affairs - 1995

Persistent link: https://www.econbiz.de/10005774129

Financial Leverage Does Not Cause the Leverage Effect

Aydemir, A. Cevdet; Gallmeyer, Michael; Hollifield, Burton - Society for Economic Dynamics - SED - 2006

We quantify the effect of financial leverage on stock return volatility in a dynamic general equilibrium economy with debt and equity claims. We study the effects of financial leverage on the market portfolio, and on a small firm with idiosyncratic and market risk. In an economy with both a...

Persistent link: https://www.econbiz.de/10004977944

Growth to value: Option exercise and the cross section of equity returns

Ai, Hengjie; Kiku, Dana - In: Journal of Financial Economics 107 (2013) 2, pp. 325-349

model (CAPM) prediction. The model also quantitatively accounts for the pattern in mean returns on book-to-market sorted … portfolios, the magnitude of the CAPM-alphas, and other stylized features of the cross-sectional data. …

Persistent link: https://www.econbiz.de/10010616813

Does Human Capital Risk Explain The Value Premium Puzzle?

Sylvain, Serginio - Volkswirtschaftliche Fakultät, … - 2014

relative Book-to-Market Equity, greater long-run risk exposure for Value firms, and failure of the CAPM. Hence, it replicates …

Persistent link: https://www.econbiz.de/10011110609

Derivatives and the Efficient Allocation of Price Risks in a General Equilibrium World.

Heal, G. - Graduate School of Business, Columbia University - 1995

Persistent link: https://www.econbiz.de/10005631025

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