Showing 81 - 90 of 4,642
This paper analyzes whether consumption-based asset pricing models improve the equity premium forecasts of a hypothetical investor with access to these models from 1947 onwards. The investor imposes economic constraints derived from asset pricing models as model-based priors on predictive...
Persistent link: https://www.econbiz.de/10012856784
We document value and momentum across thirteen well-known stock market anomalies. We find anomalies that have performed well in the past month continue to outperform those that have performed poorly by about 60bp per month. These results hold for both relative momentum and absolute momentum...
Persistent link: https://www.econbiz.de/10012841623
Persistent link: https://www.econbiz.de/10012659556
This paper studies the evolution of the greenium, i.e. a risk premium linked to firms' greenness and environmental transparency, based on individual stock returns. We estimate an asset pricing model with time-varying risk premia, where the greenium is associated to a priced 'greenness and...
Persistent link: https://www.econbiz.de/10012813579
Within a financial market where a risk-free bond and a long-lived risky asset are exchanged by investors with heterogeneous trading rules, we assume that the investors most exposed to the risky asset are subject to joint liquidation needs. The latter encompass a risk whenever the market impact...
Persistent link: https://www.econbiz.de/10012930535
We formulate a tractable continuous-time rational expectations model in which the agent is ambiguity averse and would like to robustify asset return specification. Ambiguity affects the portfolio rule and asset pricing both individually and collectively with risk. Independently existing...
Persistent link: https://www.econbiz.de/10012931950
We provide strong evidence that the dispersion of individual stock options trading volume across moneynesses (IDISP) contains valuable information about future stock returns. Stocks with high IDISP consistently underperform those with low IDISP by more than 1% per month. In line with the idea...
Persistent link: https://www.econbiz.de/10012937333
The perspective of behavioral finance is that anomalies in the cross-section of returns are driven by mispricing that arises from investor irrationality that cannot be easily arbitraged away. In this study, we examine the implications of this for international government bond markets. Using data...
Persistent link: https://www.econbiz.de/10012893037
When the pricing kernel is U-shaped, then expected returns of claims with payout on the upside are negative for strikes beyond a threshold, determined by the slope of the U-shaped kernel in its increasing region, and have negative partial derivative with respect to strike in the increasing...
Persistent link: https://www.econbiz.de/10012940716
We study asset prices and portfolio choice with overlapping generations, where the young disregard history to learn from own experience. Disregarding history implies less precise estimates of output growth, which in equilibrium leads the young to increase their investment in risky assets after...
Persistent link: https://www.econbiz.de/10012973608