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Life insurer cost of equity with asymmetric risk factors
Bajtelsmit, Vickie; Villupuram, Sriram V.; Wang, Tianyang - In: The financial review : the official publication of the … 50 (2015) 3, pp. 435-457
Persistent link: https://www.econbiz.de/10011338149
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Automated machine learning and asset pricing
Healy, Jerome V.; Gregoriou, Andros; Hudson, Robert - In: Risks : open access journal 12 (2024) 9, pp. 1-12
findings suggest that machine learning methods provide more accurate models of stock returns based on risk factors than … standard regression-based methods of estimation. They also indicate that certain risk factors and combinations of risk factors …
Persistent link: https://www.econbiz.de/10015066381
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Prospect theory and asset prices
Barberis, Nicholas; Huang, Ming; Santos, Tano - 2000
Persistent link: https://www.econbiz.de/10001641380
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Prospect theory and asset prices
Barberis, Nicholas; Huang, Ming; Santos, Tano - In: The quarterly journal of economics 116 (2001) 1, pp. 1-53
Persistent link: https://www.econbiz.de/10001556607
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Prospect theory and asset prices
Barberis, Nicholas; Huang, Ming; Santos, Tano - 1999
Persistent link: https://www.econbiz.de/10001399638
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Prospect Theory and Asset Prices
Barberis, Nicholas - 1999
, and predictability of stock returns. The key to our results is that the agent's risk-aversion changes over time as a …
Persistent link: https://www.econbiz.de/10012471569
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Prospect Theory and Asset Prices
Barberis, Nicholas - 2010
, and predictability of stock returns. The key to our results is that the agent's risk-aversion changes over time as a …
Persistent link: https://www.econbiz.de/10012763762
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Prospect Theory and Stock Returns : An Empirical Test
Barberis, Nicholas - 2016
We test the hypothesis that, when thinking about allocating money to a stock, investors mentally represent the stock by the distribution of its past returns and then evaluate this distribution in the way described by prospect theory. In a simple model of asset prices where some investors think...
Persistent link: https://www.econbiz.de/10013005641
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Currency returns and downside risk : Debt, volatility, and the gap from benchmark values
Cavusoglu, Nevin; Goldberg, Michael D.; Stillwagon, Josh - In: Journal of macroeconomics 68 (2021), pp. 1-23
Persistent link: https://www.econbiz.de/10012630994
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The Risk of Beta – Investor Learning and Prospect Theory
Baur, Dirk G. - 2010
weekly data and prospect theory for monthly data. The results demonstrate that the risk of a stock can be underestimated or …
Persistent link: https://www.econbiz.de/10013148953