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Dividend sensitivity to economic factors, stock valuation, and long-run risk
Bergeron, Claude - In: Finance research letters 10 (2013) 4, pp. 184-195
Persistent link: https://www.econbiz.de/10010252342
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Earnings-consumption betas and stock valuation
Bergeron, Claude; Gueyie, Jean-Pierre; Sedzro, Komlan - In: American journal of finance and accounting 5 (2018) 2, pp. 151-172
Persistent link: https://www.econbiz.de/10011966800
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Dividend multifactor process, long-run risk and payout ratios
Bergeron, Claude; Gueyie, Jean-Pierre; Sedzro, Komlan - In: American journal of finance and accounting 4 (2015/2016) 2, pp. 172-191
Persistent link: https://www.econbiz.de/10011607134
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Dividend growth, stock valuation, and long-run risk
Bergeron, Claude - In: Journal of economics and finance 37 (2013) 4, pp. 547-559
Persistent link: https://www.econbiz.de/10010345810
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An estimation of economic models with recursive preferences
Chen, Xiaohong; Favilukis, Jack; Ludvigson, Sydney C. - 2012 - This draft: October 3, 2012
This paper presents estimates of key preference parameters of the Epstein and Zin (1989, 1991) and Weil (1989) (EZW) recursive utility model, evaluates the model's ability to fit asset return data relative to other asset pricing models, and investigates the implications of such estimates for the...
Persistent link: https://www.econbiz.de/10009667007
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Asset pricing and the carbon beta of externalities
Edenhofer, Ottmar; Lessmann, Kai; Tahri, Ibrahim - 2021
Climate policy needs to set incentives for actors who face imperfect, distorted markets and large uncertainties about the costs and benefits of abatement. Investors price uncertain assets according to their expected return and risk (carbon beta). We study carbon pricing and financial incentives...
Persistent link: https://www.econbiz.de/10012607579
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The consumption-oriented capital asset pricing model in the Nigerian Stock Exchange
Adegboye, Abidemi C. - In: CBN journal of applied statistics 8 (2017) 2, pp. 117-142
In this study, the Consumption-oriented Capital Asset Pricing Model (CCAPM) is tested for Nigeria by considering … formulations of the CCAPM; and the third test included consumption growth variable in a multifactor risk analysis to compare with … consumption beta estimates, CCAPM is found to only be relevant for few portfolios in the stock market, with negative betas for the …
Persistent link: https://www.econbiz.de/10011843526
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On equilibrium prices in continuous time
Martins-da-Rocha, Victor Filipe (contributor);  … - 2008
We combine general equilibrium theory and théorie générale of stochastic processes to derive structural results about equilibrium state prices. -- General equilibrium ; Continuous-time finance ; Théorie générale of stochastic processes ; Asset pricing ; State prices
Persistent link: https://www.econbiz.de/10003729456
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Application of stochastic optimal control to financial market debt crises
Stein, Jerome L. - 2009
This interdisciplinary paper explains how mathematical techniques of stochastic optimal control can be applied to the recent subprime mortgage crisis. Why did the financial markets fail to anticipate the recent debt crisis, despite the large literature in mathematical finance concerning optimal...
Persistent link: https://www.econbiz.de/10003807893
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Asset pricing and consumption-portfolio choice with recursive utility and unspanned risk
Kraft, Holger; Seiferling, Thomas; Seifried, Frank Thomas - 2014 - First version: March 6, 2014; this version: June 1, 2014
We study consumption-portfolio and asset pricing frameworks with recursive preferences and unspanned risk. We show that in both cases, portfolio choice and asset pricing, the value function of the investor/representative agent can be characterized by a specific semilinear partial differential...
Persistent link: https://www.econbiz.de/10010359861