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Ziegler, Alexandre - 2002

This paper shows that preferences alone cannot explain the patterns reported in the literature.

Persistent link: https://www.econbiz.de/10005843337

Kellerhals, B. Philipp; Schöbel, Rainer - 2001

In this paper the authors measure the risk attitudes of bond investors which can be revealed from settled market prices. They present an equilibrium model which focuses on the stochastic behavior of tastes in addition to the dynamics of investor beliefs.

Persistent link: https://www.econbiz.de/10005846139

Empirical pricing kernels and investor preferences

Detlefsen, Kai; Härdle, Wolfgang Karl; Moro, Rouslan A. - 2007

This paper analyzes empirical market utility functions and pricing kernels derived from the DAX and DAX option data for …

Persistent link: https://www.econbiz.de/10010275864

An overreaction implementation of the coherent market hypothesis and option pricing

Schöbel, Rainer; Veith, Jochen - 2006

our dynamic stock price model, we develop a two factor general equilibrium model for pricing derivative securities. The … rationally explained and justified in equilibrium. Applying Monte Carlo methods, we examine the pricing of European call options …. We show that option prices depend significantly on the level of overreaction, regardless of prevailing risk preferences …

Persistent link: https://www.econbiz.de/10010301798

Incomplete diversification and asset pricing

Elliott, Robert; Madan, Dilip; Milne, Frank - 2002

pricing models reflect these risks. Averaging across the pool of investors we obtain a market asset pricing model that … investors, that many personally relevant risk considerations can be eliminated from the market asset pricing model. Examples … on asset pricing include a need to focus on identifying and explaining investor specific risk exposures. …

Persistent link: https://www.econbiz.de/10010290440

Liquidity Spillovers Across Assets Classes

Zafeiridou, Christina - 2016

Liquidity spillovers -- i.e., the transmissions of liquidity shocks from one asset to another -- are an important yet not fully understood feature of price formation in financial markets. In this paper, I examine liquidity spillovers across four asset classes traded in U.S. futures markets: Oil,...

Persistent link: https://www.econbiz.de/10013003036

The Trend Is Your Friend : Time-Series Momentum Strategies Across Equity and Commodity Markets

Athina Georgopoulou, Athina - 2016

This paper documents a significant time-series momentum effect that is consistent and robust across all examined conventional asset classes from 1969 to 2015. We find that the duration and magnitude of time-series momentum is different in developed and emerging markets, but this is no longer the...

Persistent link: https://www.econbiz.de/10013004567