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Li, Erica X. N. - 2010

We take a simple q-theory model and ask how well it can explain external financing anomalies, both qualitatively and … performance of issuing and cash-distributing firms, and the failure of the CAPM in explaining the long-term stock-price drifts …

Persistent link: https://www.econbiz.de/10013149934

Fundamental Anomalies

Li, Erica X. N.; Ma, Guoliang; Wang, Shujing; Yu, Cindy - 2021

This paper examines to what extent stock market anomalies are driven by firm fundamentals in an investment-based asset pricing framework. Using Bayesian Markov Chain Monte Carlo (MCMC), we estimate a two-capital q-model to match firm-level stock returns, instead of matching portfolio-level...

Persistent link: https://www.econbiz.de/10013245422

Investment-Based Corporate Bond Pricing

Kuehn, Lars-Alexander - 2014

A standard assumption of structural models of default is that firms' assets evolve exogenously. In this paper, we examine the importance of accounting for investment options in models of credit risk. In the presence of financing and investment frictions, fi rm-level variables that proxy for...

Persistent link: https://www.econbiz.de/10013067398

Risk Premium Factor Valuation Model for Calculating the Equity Market Risk Premium and Estimating S&P 500 Market Values

Hassett, Stephen D. - 2011

associated with Prospect Theory (Kahneman and Tversky, 1979). Since risk free rates had declined so significantly since the early …

Persistent link: https://www.econbiz.de/10013134480

Does Q-Theory with Investment Frictions Explain Anomalies in the Cross-Section of Returns?

Li, Dongmei - 2011

Q-theory predicts that investment frictions steepen the relation between expected returns and firm investment. Using … constrained firms. There is no evidence that q-theory with investment frictions explains the investment growth, net stock issues …, abnormal corporate investment, or net operating assets anomalies. Limits-to-arbitrage proxies dominate q-theory with investment …

Persistent link: https://www.econbiz.de/10013133882

Aggregation, Capital Heterogeneity, and the Investment CAPM

Gonçalves, Andrei - 2019

CAPM. Firm-level predicted returns are constructed from firm-level accounting variables and aggregated to the portfolio …

Persistent link: https://www.econbiz.de/10012868493

Asset Prices and Efficiency in a Krebs Economy

Toda, Alexis Akira - 2015

I study the asset pricing implications and the efficiency of a tractable dynamic stochastic general equilibrium model with heterogeneous agents and incomplete markets along the lines of Krebs (2003a). Contrary to previous applications of these types of models, I find that generically the...

Persistent link: https://www.econbiz.de/10013033787

Dynamic Asset (Mis)Pricing : Build-up vs. Resolution Anomalies

Binsbergen, Jules H. van; Boons, Martijn; Opp, Christian; … - 2021

We classify asset pricing anomalies into those that exacerbate mispricing (build-up anomalies) and those that resolve it (resolution anomalies). To this end, we estimate the dynamics of price wedges for a large number of well-known anomaly portfolios in the factor zoo and map them to firm-level...

Persistent link: https://www.econbiz.de/10013241479

Time-to-Produce, Inventory, and Asset Prices

Chen, Zhanhui - 2015

Time-to-build, time-to-produce, and inventory have important implications for asset prices and quantity dynamics in a general equilibrium model with recursive preferences. Time-to-build captures the delay in transforming new investments into productive capital, and time-to-produce captures the...

Persistent link: https://www.econbiz.de/10013038422

Asset Pricing with a CEO

Ehling, Paul - 2020

We study an economy with a CEO who trades off the incentive to divert funds, which leads to underinvestment, against the incentive to overinvest based on his optimism. In equilibrium, we see overinvestment relative to what the shareholder or a social planner would implement but underinvestment...

Persistent link: https://www.econbiz.de/10012825633