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The effect of government bonds on asset prices : an asset markets equilibrium approach
Houston, Joel F.; Protopapadakis, Aris A. - 1989
Persistent link: https://www.econbiz.de/10000780846
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Asset allocation and asset pricing in the face of systemic risk : a literature overview and assessment
Meinerding, Christoph - In: International journal of theoretical and applied finance 15 (2012) 3, pp. 1-27
Persistent link: https://www.econbiz.de/10009624488
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International financial market’s integration and modelling returns of risky assets
Hassene, Ben Mbarek - 2011
The aim of this paper is to test the ability of conditional and unconditional CAPM models to explain emerging markets … conditional CAPM) has lower predictive power for emerging markets than for developed markets. Finally, following the financial … ; unconditional CAPM ; conditional APT ; returns …
Persistent link: https://www.econbiz.de/10009711626
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Factor high-frequency based volatility (HEAVY) models
Sheppard, Kevin; Xu, Wen - 2014
Persistent link: https://www.econbiz.de/10010365630
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International capital flows, returns and world financial integration
Evans, Martin D. D.; Hnatkovska, Viktoria - In: Journal of international economics 92 (2014) 1, pp. 14-33
Persistent link: https://www.econbiz.de/10010438457
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A dynamic equilibrium model of imperfectly integrated financial markets
Bhamra, Harjoat Singh; Coeurdacier, Nicolas; Guibaud, … - In: Journal of economic theory 154 (2014), pp. 490-542
Persistent link: https://www.econbiz.de/10010481321
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Liquidity and asset prices : an empirical investigation of the nordic stock markets
Butt, Hilal Anwar; Virk, Nader Shahzad - In: European financial management : the journal of the … 21 (2015) 4, pp. 672-705
Persistent link: https://www.econbiz.de/10011408519
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Fund flows inducing mispricing of risk in competitive financial markets
Stahmer, Axel - 2015
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
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Equilibrium moment restrictions on asset returns : normal and crisis periods
Simmons, Peter J.; Tantisantiwong, Nongnuch - In: The European journal of finance 20 (2014) 10/12, pp. 1064-1089
Persistent link: https://www.econbiz.de/10010465917
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Arbitrage Opportunity, Impossible Frontier, and Logical Circularity in CAPM Equilibrium
Abad, Pharos - 2020
-variance market equilibrium (CAPM equilibrium, see Proposition 4) …
Persistent link: https://www.econbiz.de/10012841039