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Capital market equilibrium without riskless assets: heterogeneous expectations
Won, D.; Hahn, G.; Yannelis, N. - In: Annals of Finance 4 (2008) 2, pp. 183-195
Persistent link: https://www.econbiz.de/10005701360
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On user costs of risky monetary assets
Barnett, William A.; Wu, Shu - In: Annals of Finance 1 (2005) 1, pp. 35-50
We extend the monetary-asset user-cost risk adjustment of Barnett, Liu and Jensen (1997) and their risk-adjusted Divisia monetary aggregates to the case of multiple non-monetary assets and intertemporal non-separability. Our model can generate potentially larger and more accurate CCAPM user-cost...
Persistent link: https://www.econbiz.de/10005701383
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Market Power, Efficiency and the Dispersion of Systematic Risk
Alexander, Donald; Thistle, Paul - In: Review of Industrial Organization 14 (1999) 4, pp. 377-390
Persistent link: https://www.econbiz.de/10005701984
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The Impact of Multiperiod Planning Horizons on Portfolios and Asset Prices
Hillebrand, Marten - Society for Computational Economics - SCE - 2004
result from classical CAPM to the case with multiperiod planning horizons by proving that under homogeneous beliefs …
Persistent link: https://www.econbiz.de/10005706546
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The Capital Asset Pricing Model as a General Equilibrium with Incomplete Markets
Geanakoplos, John; Shubik, Martin - Cowles Foundation for Research in Economics, Yale University - 1989
We recast the capital asset pricing model (CAPM) in the broader context of general equilibrium with incomplete markets … (GEI). In this setting we give proofs of three properties of CAPM equilibria: they are efficient, asset prices lie on a … depend on covariances, not variances. We extend CAPM to many consumption goods in such a way that all three properties hold …
Persistent link: https://www.econbiz.de/10005762656
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Adjusting the CAPM for Threshold Effects: An Application to Food and Agribusiness Stocks
Wilson, Christine; Featherstone, Allen - Department of Agricultural Economics, Purdue University - 2006
The dynamics in stock returns and the market return for 21 food and agribusiness firms are estimated in a threshold switching-regression framework. Threshold adjustment levels and capital asset pricing model risk parameters are estimated and tested. Results indicate risk parameters differ for...
Persistent link: https://www.econbiz.de/10005771575
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EMU and European Stock Market Integration
Hardouvelis, Gikas A; Malliaropoulos, Dimitrios; … - C.E.P.R. Discussion Papers - 1999
The paper examines whether or not the convergence process of European economies towards Economic and Monetary Union has led to increased integration of European stock markets. We estimate a conditional asset pricing model, which allows for a time-varying degree of integration that measures the...
Persistent link: https://www.econbiz.de/10005788933
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An Empirical Investigation of Stock Market Behavior in the Middle East and North Africa
Cheng, Ai-ru; Jahan-Parvar, Mohammad R.; Rothman, Philip - Volkswirtschaftliche Fakultät, … - 2009
international CAPM; the constant-parameter intertemporal CAPM; and a Markov-switching intertemporal CAPM which allows for the degree …
Persistent link: https://www.econbiz.de/10005789590
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Equilibrium of Real Financial Markets: Theory and Experimental Evidence
Bossaerts, Peter - C.E.P.R. Discussion Papers - 2004
than at (CAPM) equilibrium. Experimental evidence confirms the predictions conclusively. …
Persistent link: https://www.econbiz.de/10005792218
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Optimal Financial Market Integration and Security Design
Acharya, Viral V; Bisin, Alberto - C.E.P.R. Discussion Papers - 2003
We study two-period pure-exchange Capital Asset Pricing Model (CAPM) economies, for given degrees of incompleteness of …
Persistent link: https://www.econbiz.de/10005792424