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Kapitalmarktmodelle und erwartete Renditen am deutschen Aktienmarkt
Schneider, Sebastian - 2001
Persistent link: https://www.econbiz.de/10001530439
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Forecasting value at risk and expected shortfall using high-frequency data of domestic and international stock markets
Wang, Man; Cheng, Yihan - In: Journal of forecasting 41 (2022) 8, pp. 1595-1607
Persistent link: https://www.econbiz.de/10013465725
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On the volatility of measures of financial risk : an investigation using returns from European markets
Eftekhari, Babak; Pedersen, Christian S.; Satchell, Stephen - In: The European journal of finance 6 (2000) 1, pp. 18-38
Persistent link: https://www.econbiz.de/10001526025
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Asset pricing in a Lucas fruit-tree economy with the best and worst in mind
Zimper, Alexander - In: Journal of economic dynamics & control 36 (2012) 4, pp. 610-628
Persistent link: https://www.econbiz.de/10009554332
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The relative asset pricing model : implications for asset allocation, rebalancing and asset pricing
Muralidhar, Arun S.; Ōhashi, Kazuhiko; Shin, Sunghwan - In: The Journal of financial perspectives 3 (2015) 1, pp. 115-128
Persistent link: https://www.econbiz.de/10011372859
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Size and value risk in financial firms
Baek, Seungho; Bilson, John F. - In: Journal of banking & finance 55 (2015), pp. 295-326
Persistent link: https://www.econbiz.de/10011379102
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Asset pricing of financial institutions : the cross-section of expected stock returns in the property/liability insurance industry
Ben Ammar, Semir; Eling, Martin; Milidonis, Andreas - 2015
We conduct a comprehensive asset pricing analysis for the U.S. property/liability insurance industry using monthly data from 1988 to 2015. We find that state-of-the-art models such as the Fama and French (2015) five-factor model cannot explain the returns of property/liability insurance stocks...
Persistent link: https://www.econbiz.de/10011345060
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Investor sentiment, information and asset pricing model
Yang, Chunpeng; Li, Jinfang - In: Economic modelling 35 (2013), pp. 436-442
Persistent link: https://www.econbiz.de/10010336779
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Behavioral Finance - Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle : The Rational Finance Approach
Rachev, Svetlozar T. - 2020
In this paper we address three main objections of behavioral finance to the theory of rational finance, considered as … “anomalies” the theory of rational finance cannot explain: (i) Predictability of asset returns; (ii) The Equity Premium; (iii … are the only possible explanations of the “anomalies”, but offer statistical models within the rational theory of finance …
Persistent link: https://www.econbiz.de/10012842392