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A new Model for Stock Price Movements
Venier, Guido - Volkswirtschaftliche Fakultät, … - 2007
and to discuss the implications for economic theory with respect to market efficiency and option pricing. … Brownian motion it proposes deterministic diffusion for the modelling of stock price movements. These diffusion processes are a … phenomena could not be explained by a simple Brownian motion and have been the most criticism to the lognormal random walk. The …
Persistent link: https://www.econbiz.de/10005836494
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Risk exchange as a market or production game
Borglin, Anders; Flåm, Sjur Didrik - Institutt for Økonomi, Universitetet i Bergen - 2007
Risk exchange is considered here as a cooperative game with transferable utility. The set-up fits markets for insurance, securities and contingent endowments. When convoluted payoff is concave at the aggregate endowment, there is a price-supported core solution. Under variance aversion the...
Persistent link: https://www.econbiz.de/10008876396
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CAPM for estimating the cost of equity capital: Interpreting the empirical evidence
Da, Zhi; Guo, Re-Jin; Jagannathan, Ravi - In: Journal of Financial Economics 103 (2012) 1, pp. 204-220
We argue that the empirical evidence against the capital asset pricing model (CAPM) based on stock returns does not …
Persistent link: https://www.econbiz.de/10010702354
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Security Analysis, Portfolio Management, and Financial Derivatives
Lee, Cheng-Few; Finnerty, Joseph; Lee, John; Lee, Alice C; … - World Scientific Publishing Co. Pte. Ltd.
financial derivatives includes detailed analyses of options, futures, option pricing models, and hedging strategies. A unique …
Persistent link: https://www.econbiz.de/10011184563
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Imperfect predictability and mutual fund dynamics. How managers use predictors in changing systematic risk.
Amisano, Gianni; Savona, Roberto - 2008
Suppose a fund manager uses predictors in changing port-folio allocations over time. How does predictability translate into portfolio decisions? To answer this question we derive a new model within the Bayesian framework, where managers are assumed to modulate the systematic risk in part by...
Persistent link: https://www.econbiz.de/10011604927
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Heterogeneity of Investors and Asset Pricing in a Risk-Value World
Franke, Günter; Weber, Martin - 2001
Persistent link: https://www.econbiz.de/10010324093
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Risk Exchange as a Market or Production Game
Borglin, Anders; Flåm, Sjur - 2007
Risk exchange is considered here as a cooperative game with transferable utility. The set-up fits markets for insurance, securities and contingent endowments. When convoluted payoff is concave at the aggregate endowment, there is a price-supported core solution. Under variance aversion the...
Persistent link: https://www.econbiz.de/10013208519
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A survey on risk-return analysis
Galagedera, Don U.A. - EconWPA - 2004
This paper provides a review of the main features of asset pricing models. The review includes single-factor and … multifactor models, extended forms of the Capital Asset Pricing Model with higher order co- moments, and asset pricing models …
Persistent link: https://www.econbiz.de/10005561561
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A Non-Parametric Test of the Conditional CAPM for the Mexican Economy
Castillo-Spíndola, Jorge H. del - In: Estudios Económicos 21 (2006) 2, pp. 275-297
widely used is the Sharpe-Lintner-Black Capital Asset Pricing Model (CAPM). However many anomalies and evidence against this …
Persistent link: https://www.econbiz.de/10005434714
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Modelling the Risk and Return Relation Conditional on Market Volatility and Market Conditions
Galagedera, Don U.A.; Faff, Robert - Department of Econometrics and Business Statistics, … - 2004
', 'neutral' and 'high'. The market model is extended to allow for these three market regimes and a three-beta asset-pricing model … premium in the three market volatility regimes is priced. These significant results are uncovered only in the pricing model …
Persistent link: https://www.econbiz.de/10005149085