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Ownership Structure, Income Distribution, and Competitive Equilibrium: A Theory of Business Cycles, Human Capital, and Asset Returns
Dai, Quiang - 2000
In this paper, I present a theory of dynamic economic growth, business cycles, and asset pricing that integrates (1 …
Persistent link: https://www.econbiz.de/10005846603
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Two Paradigms And Nobel Prizes In Economics : A contradiction Or Coexistence?
De Giorgi, Enrico; Hens, Thorsten; Levy, Haim - 2003
-Variance analysis and the Capital Asset Pricing Model (CAPM). In the year2002, Kahneman won the Nobel Prize in Economics for the … development of Prospect Theory.... …
Persistent link: https://www.econbiz.de/10005846386
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Prospect Theory and the CAPM - a contradiction or coexistence?
Levy, Haim; De Giorgi, Enrico; Hens, Thorsten - 2003
Under the assumption of normally distributed returns, we analyzewhether the Cumulative Prospect Theory of Tversky and …
Persistent link: https://www.econbiz.de/10005846387
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Two Paradigms and Nobel Prizes in Economics : A Contradiction or Coexistence?
Levy, Haim; De Giorgi, Enrico; Hens, Thorsten - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
development of Prospect Theory. Can these two apparently contradictory paradigms coexist? In deriving the CAPM, Sharpe, Lintner … wealth rather than total wealth contradicts EU theory. The subjective distortion of probabilities violates the CAPM …-Variance analysis and the Capital Asset Pricing Model (CAPM). In the year 2002, Kahneman won the Nobel Prize in Economics for the …
Persistent link: https://www.econbiz.de/10005858578
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An Evolutionary Explanation of the Value Premium Puzzle
Hens, Thorsten; Schenk-Hoppé, Klaus Reiner; Woehrmann, … - Institut für Schweizerisches Bankwesen <Zürich> - 2006
corresponding regression line determined in our empirical study beats the security market line (SML) of the CAPM in the goodness of …
Persistent link: https://www.econbiz.de/10005858582
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Prospect Theory and the CAPM : A contradiction or coexistence?
Levy, Haim; De Giorgi, Enrico; Hens, Thorsten - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004
Under the assumption of normally distributed returns, we analyzewhether the Cumulative Prospect Theory of Tversky and …
Persistent link: https://www.econbiz.de/10005858756
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Endogenous Completeness of Diffusion Driven Equilibrium Markets
Hugonnier, J.; Malamud, Semyon; Trubowitz, E. - National Centre of Competence in Research - Financial … - 2010
We study the existence of dynamic equilibria with endogenously complete markets incontinuous-time, heterogenous agents economies driven by diusion processes. Ourmain results show that under appropriate conditions on the transition density ofthe state variables, market completeness can be deduced...
Persistent link: https://www.econbiz.de/10009522184
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Bubbles and multiplicity of equilibria under portfolioconstraints
Hugonnier, Julien - Finrisk - 2008
This article shows that, as long as agents are required to maintain positivewealth, the presence of portfolio constraints may give rise to asset pricingbubbles in equilibrium even if there are unconstrained agents in the economywho can benefit from the induced arbitrage opportunity. Furthermore,...
Persistent link: https://www.econbiz.de/10005868914
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The Adequacy of Investment Choices Offered By 401(k) Plans
Elton, Edwin J.; Gruber, Martin J.; Blake, Christopher R. - 2004
Defined-contribution plans represent a major organizational form for investors´ retirement savings. Today more than one third of all workers are enrolled in 401K plans.(...)
Persistent link: https://www.econbiz.de/10005846536
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Firm Migration and Stock Returns
Puopolo, Giovanni W. - Finrisk - 2009
This paper studies the asset pricing implications of a general equi-librium model in which real investment is reversible at a cost. Firmsface higher costs in contracting than in expanding their capital stockand decide to invest when their productive capital is scarce relativeto the overall...
Persistent link: https://www.econbiz.de/10009022140