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Gambling, risk appetite and asset pricing

de Carvalho, Carlos Viana; Cordeiro, Daniel; Ribeiro, … - 2018

Persistent link: https://www.econbiz.de/10011933957

Assessing the usefulness of daily and monthly asset-pricing factors for Australian equities

Gray, Philip K.; Zhong, Angel - In: Accounting and finance 62 (2022) 1, pp. 181-211

Persistent link: https://www.econbiz.de/10013166392

Long-term discount rates do not vary across firms

Keloharju, Matti; Linnainmaa, Juhani; Nyberg, Peter - In: Journal of financial economics 141 (2021) 3, pp. 946-967

Persistent link: https://www.econbiz.de/10012873077

Do you really know your cost of capital?

Keloharju, Matti; Linnainmaa, Juhani; Nyberg, Peter - 2021

Conventional wisdom, reflected in firm, investment bank, and court practice and the way academics teach corporate finance, suggests that the equity cost of capital varies considerably across firms. This practice builds on a vast amount of evidence on expected rate of return differences between...

Persistent link: https://www.econbiz.de/10012816634

Time-series efficient factors

Ehsani, Sina; Linnainmaa, Juhani - 2020

Factors in prominent asset pricing models are positively autocorrelated. We derive a transformation that turns an … autocorrelated factor to a ``time-series efficient'' factor. Time-series efficient factors earn significantly higher Sharpe ratios … than the original factors and contain all the information found in the original factors. Momentum strategies profit from …

Persistent link: https://www.econbiz.de/10012244867

Factor-based investing in government bond markets : a survey of the current state of research

Bektic, Demir; Hachenberg, Britta; Schiereck, Dirk - In: The journal of asset management 21 (2020) 2, pp. 94-105

Persistent link: https://www.econbiz.de/10012292753

Bill Gross' alpha : the king versus the oracle

Brown, Aaron; Dewey, Richard - In: Journal of investment management : JOIM 17 (2019) 3, pp. 65-81

Persistent link: https://www.econbiz.de/10012111184

Gambling, risk appetite and asset pricing

Carvalho, Carlos Viana de; Cordeiro, Daniel; Ribeiro, … - 2018 - This version: March 2018

A measure of the propensity to gamble in casinos constructed without any asset price data provides relevant information for asset pricing. This measure of risk appetite improves the fit of conditional asset pricing models such as the conditional CAPM, explains crosssectional differences in...

Persistent link: https://www.econbiz.de/10011817098

The cross-section of investment and profitability : implications for asset pricing

Kilic, Mete; Yang, Louis; Zhang, Miao Ben - In: Journal of financial economics 145 (2022) 3, pp. 706-724

Persistent link: https://www.econbiz.de/10013475434

An investment-based explanation of currency excess returns

Jamali, Ibrahim; Yamani, Ehab; Smallwood, Aaron D. - In: Journal of international money and finance 133 (2023), pp. 1-18

Persistent link: https://www.econbiz.de/10014304722