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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) The Volatility Puzzle. We offer resolutions of...
Persistent link: https://www.econbiz.de/10012842392
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Comovement and return predictability in asset markets : an experiment with two Lucas trees
Noussair, Charles; Popescu, Andreea Victoria - In: Journal of economic behavior & organization : JEBO 185 (2021), pp. 671-687
Persistent link: https://www.econbiz.de/10012601339
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Financial markets with trade on risk and return
Smith, Kevin - 2019
's expected payoff and its risk. These investors trade in the stock and a derivative whose payoff is driven by the stock's risk …. In equilibrium, the derivative is used to speculate on the stock's risk and to hedge against adverse fluctuations in the … stock's risk. I analyze the derivative price and variance risk premium that arise in this equilibrium and their predictive …
Persistent link: https://www.econbiz.de/10012244489
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Congation and return predictabiity in asset markets : an experiment with two Lucas trees
Noussair, Charles; Popescu, Andreea Victoria - 2020
Persistent link: https://www.econbiz.de/10012227958
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Financial markets with trade on risk and return
Smith, Kevin - In: The review of financial studies 32 (2019) 10, pp. 4042-4078
Persistent link: https://www.econbiz.de/10012108175
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Return comovement
Parsley, David C.; Popper, Helen Ann - 2017
Persistent link: https://www.econbiz.de/10012201567
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Option Pricing in an Investment Risk-Return Setting
Kim, Young Shin - 2019
In this paper, we combine modern portfolio theory and option pricing theory so that a trader who takes a position in a European option contract and the underlying assets can construct an optimal portfolio such that at the moment of the contract's maturity the contract is perfectly hedged. We...
Persistent link: https://www.econbiz.de/10012865720
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A credit-risk valuation under the variance-gamma asset return
Ivanov, Roman V. - In: Risks : open access journal 6 (2018) 2, pp. 1-25
This paper considers risks of the investment portfolio, which consist of distributed mortgages and sold European call options. It is assumed that the stream of the credit payments could fall by a jump. The time of the jump is modeled by the exponential distribution. We suggest that the returns...
Persistent link: https://www.econbiz.de/10011867389