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Gene Fama’s Impact : a quantitative analysis
Schwert, George William; Stulz, René M. - 2014
This paper provides a quantitative perspective on Gene Fama's influence on the scholarly community. He has more than …,792. Gene Fama has published highly-cited papers in six decades. His most impactful theoretical work took place earlier than his … most impactful empirical work. While Gene Fama's most impactful empirical asset pricing work was published in the Journal …
Persistent link: https://www.econbiz.de/10010483663
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Mandelbrot, Fama and the emergence of econophysics
Salazar, Boris - In: Cuadernos de economía 35 (2016) 69, pp. 637-662
Persistent link: https://www.econbiz.de/10011649334
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Efficient market theorists in the early nineteenth century : the Earl of Lauderdale (1759-1839) and Yamagata Bantō (1748-1821)
Takatsuki, Yasuo; Hisamatsu, Taro - 2022
Persistent link: https://www.econbiz.de/10013531073
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Threshold dynmamics of short-term interest rates: empirical evidence and implications for the term structure
Archontakis, Theofanis; Lemke, Wolfgang - 2007
This paper studies a nonlinear one-factor term structure model in discrete time. The single factor is the short-term interest rate, which is modeled as a self-exciting threshold autoregressive (SETAR) process. Our specification allows for shifts in the intercept and the variance. The process is...
Persistent link: https://www.econbiz.de/10010295839
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Heterogeneity of Investors and Asset Pricing in a Risk-Value World
Franke, Günter; Weber, Martin - 2001
Persistent link: https://www.econbiz.de/10010324093
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Complex Evolutionary Systems in Behavioral Finance
Hommes, Cars; Wagener, Florian - 2008
Traditional finance is built on the rationality paradigm. This chapter discusses simple models from an alternative approach in which financial markets are viewed as complex evolutionary systems. Agents are boundedly rational and base their investment decisions upon market forecasting heuristics....
Persistent link: https://www.econbiz.de/10010325725
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Default Risk Premia on Government Bonds in a Quantitative Macroeconomic Model
Juessen, Falko; Linnemann, Ludger; Schabert, Andreas - 2009
This paper examines the pricing of public debt in a quantitative macroeconomic model with government default risk. Default may occur due to a fiscal policy that does not preclude a Ponzi game. When a build-up of public debt makes this outcome inevitable, households stop lending such that the...
Persistent link: https://www.econbiz.de/10010325941
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Price and wealth asymptotic dynamics with CRRA technical trading strategies
Anufriev, Mikhail; Bottazzi, Giulio; Pancotto, Francesca - 2005
We consider a simple pure exchange economy with two assets, one riskless, yielding a constant return on investment, and one risky, paying a stochastic dividend. Trading takes place in discrete time and in each trading period the price of the risky asset is fixed by imposing market clearing...
Persistent link: https://www.econbiz.de/10010328454
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Asset pricing model with heterogeneous investment horizons
Anufriev, Mikhail; Bottazzi, Giulio - 2004
In this paper we study the dynamics of a simple asset pricing model describing the trading activity of heterogeneous agents in a stylized market. The economy in the model contains two assets: a bond with risk-less return and a dividend paying stock. The price of the stock is determined through...
Persistent link: https://www.econbiz.de/10010328545
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On the foundations of Lévy finance: Equilibrium for a single-agent financial market with jumps
Herzberg, Frederik - 2008
For a continuous-time financial market with a single agent, we establish equilibrium pricing formulae under the assumption that the dividends follow an exponential Lévy process. The agent is allowed to consume a lump at the terminal date; before, only flow consumption is allowed. The agent's...
Persistent link: https://www.econbiz.de/10010272548