Showing 1 - 10 of 4,075
I test the predictions of a new asset pricing model regarding the interaction of ex-ante return skewness and the dispersion of analysts' earnings forecasts on a sample of U.S. stocks. I present evidence that skewness and forecast dispersion have an interactive pricing impact, that forecast...
Persistent link: https://www.econbiz.de/10012934968
We develop a new asset pricing theory that bridges two seemingly unrelated anomalies: (1) the negative relationship between dispersion in financial analysts’ earnings forecasts and expected returns and (2) the negative relationship between ex-ante skewness and expected returns. The results...
Persistent link: https://www.econbiz.de/10013313088
In this paper we survey the theoretical and empirical literatures on market liquidity. We organize both literatures around three basic questions: (a) how to measure illiquidity, (b) how illiquidity relates to underlying market imperfections and other asset characteristics, and (c) how...
Persistent link: https://www.econbiz.de/10014025359
Purpose - The current study aims to investigate the impacts of two behavioral biases, namely, loss aversion and overconfidence on the performance of US companies. First, the impact of loss aversion on the economic performance of companies was assessed. Second, the impact of overconfidence on...
Persistent link: https://www.econbiz.de/10012434081
This paper presents an equilibrium model in a pure exchange economy when investors have three possible sources of heterogeneity. Investors may differ in their beliefs, in their level of risk aversion and in their time preference rate. We study the impact of investors heterogeneity on the...
Persistent link: https://www.econbiz.de/10003971310
We study survival, price impact and portfolio impact in heterogeneous economies. We show that, under the equilibrium risk-neutral measure, long-run price impact is in fact equivalent to survival, whereas longrun portfolio impact is equivalent to survival under an agent-specific, wealth-forward...
Persistent link: https://www.econbiz.de/10003979998
In this paper we examine the effect of collateral requirements on the prices of long-lived assets. We consider a Lucas-style infinite-horizon exchange economy with heterogeneous agents and collateral constraints. There are two trees in the economy which can be used as collateral for short-term...
Persistent link: https://www.econbiz.de/10009009597
The equity premium is a key parameter in asset allocation policies. There is a vigorous debate in the literature regarding the actual measurement of the equity premium, its size and the determinants of its variation. This study aims to take stock of this literature by means of a meta-analysis....
Persistent link: https://www.econbiz.de/10011381035
Many assets derive their value not only from future cash flows but also from their ability to serve as collateral. In this paper, we investigate this collateral value and its impact on asset returns in an infinite-horizon general equilibrium model with heterogeneous agents facing collateral...
Persistent link: https://www.econbiz.de/10010203684
This paper studies the effect of new fund flows on investment behavior and the resulting equilibrium price of risk. The Small Fund Industry model shows equilibria with overinvestment in unprofitable and underinvestment in profitable investment opportunities. The Large Fund Industry model derives...
Persistent link: https://www.econbiz.de/10011389297