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Knightian uncertainty and stock-price movements : why the REH present-value model failed empirically
Frydman, Roman; Goldberg, Michael D.; Mangee, Nicholas - 2015
the consumption-based specification of the risk premium. The relevance of Knightian uncertainty is inconsistent with all … REH models, regardless of how they specify the market's risk premium. The authors' evidence is also inconsistent with …
Persistent link: https://www.econbiz.de/10011309720
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Nonparametric tail risk, stock returns and the macroeconomy
Almeida, Caio; Ardison, Kym; Garcia, René; Vicente, … - 2016
Persistent link: https://www.econbiz.de/10011458735
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Comments on: Nonparametric tail risk, stock returns and the macroeconomy
Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - 2016
This paper contains comments on Nonparametric Tail Risk, Stock Returns and the Macroeconomy …
Persistent link: https://www.econbiz.de/10011518800
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The likelihood of various stock market return distributions
Markowitz, Harry - In: Journal of risk and uncertainty : JRU (1996) 13, pp. 207-219
Persistent link: https://www.econbiz.de/10001212811
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The likelihood of various stock market return distributions
Markowitz, Harry - In: Journal of risk and uncertainty : JRU (1996) 13, pp. 221-247
Persistent link: https://www.econbiz.de/10001294511
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What Our Market Return Forecasts Really Mean : Convexity in Equity Returns and its Implications for Investment Sizing
Haghani, Victor - 2019
You're probably familiar, at least in passing, with the 'convexity' of long-term bonds - i.e. that yields dropping 1% produce a bigger price move than yields rising 1%. A significant amount of brainpower has gone into understanding all the ramifications of this convexity in the fixed income...
Persistent link: https://www.econbiz.de/10012902324
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When (If Ever) Has it Paid to Wait for a Stock Market Correction?
Haghani, Victor - 2017
Investors are periodically challenged with this question: with funds ready to invest, but faced with a market that is generally perceived to be expensive, is it better to wait for a market correction before investing? Many investors are certain that a correction must be around the corner, and...
Persistent link: https://www.econbiz.de/10012947040
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Asset Pricing and Truth
Andrikopoulos, Andreas - 2013
Truth is important in finance. Asset valuation, being a constitutive component of investment theory and the allocation … observed market prices. In financial economics, truth is essential in theoretical and empirical work in market microstructure … correspondence theory of truth, the coherence theory as well as the pragmatist approach to truth. A key issue, common with all …
Persistent link: https://www.econbiz.de/10013073027
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Stock price fluctuation as a diffusion in a random enviroment [environment]
Föllmer, Hans - 1993
Persistent link: https://www.econbiz.de/10000881810