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Ambiguity, Long-Run Risks, and Asset Prices

Wei, Bin - 2019

risk aversion and the intertemporal elasticity of substitution. The three-way separation allows the model to further … account for the variance premium puzzle, besides the puzzles of the equity premium, the risk-free rate, and the return … predictability. Specifically, the model matches reasonably well key asset pricing moments with risk aversion under 5. By calibration …

Persistent link: https://www.econbiz.de/10012896734

Asset prices and changes in risk within a bivariate model

Jokung Nguena, Octave; Mitra, Sovan - In: Asia-Pacific financial markets 26 (2019) 1, pp. 47-60

Persistent link: https://www.econbiz.de/10012308006

When do investors gamble in the stock market?

Gong, Pu; Wen, Zhuzhu; Xiong, Xiong; Gong, Cynthia M. - In: International review of financial analysis 74 (2021), pp. 1-14

Persistent link: https://www.econbiz.de/10012803966

A theory of asset pricing based on heterogeneous information

Albagli, Elias; Hellwig, Christian; Tsyvinski, Aleh - 2011

Persistent link: https://www.econbiz.de/10009378631

On free lunches in random walk markets with short-sale constraints and small transaction costs, and weak convergence to Gaussian continuous-time processes

Framstad, Nils Chr. - 2011 - Publisert 28. jun. 2011 09:08

for the existence of arbitrage opportunities or free lunches with vanishing risk, of the form of waiting to buy and … ; free lunch with vanishing risk ; arbitrage ; transaction costs …