Narrow search
Showing 1 - 10 of 17,737
Cover Image
Behavioral Finance - Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle : The Rational Finance Approach
Rachev, Svetlozar T. - 2020
In this paper we address three main objections of behavioral finance to the theory of rational finance, considered as … “anomalies” the theory of rational finance cannot explain: (i) Predictability of asset returns; (ii) The Equity Premium; (iii … are the only possible explanations of the “anomalies”, but offer statistical models within the rational theory of finance …
Persistent link: https://www.econbiz.de/10012842392
Cover Image
When Uncertainty and Volatility are Disconnected : Implications for Asset Pricing and Portfolio Performance
Ait-Sahalia, Yacine; Matthys, Felix; Osambela, Emilio; … - 2021
We analyze an environment where the uncertainty in the equity market return and its volatility are both stochastic and may be potentially disconnected. We solve a representative investor's optimal asset allocation and derive the resulting conditional equity premium and risk-free rate in...
Persistent link: https://www.econbiz.de/10014349013
Cover Image
When Uncertainty and Volatility Are Disconnected : Implications for Asset Pricing and Portfolio Performance
Ait-Sahalia, Yacine; Matthys, Felix; Osambela, Emilio; … - 2021
We analyze an environment where the uncertainty in the equity market return and its volatility are both stochastic, and may be potentially disconnected. We solve a representative investor's optimal asset allocation and derive the resulting conditional equity premium and risk-free rate in...
Persistent link: https://www.econbiz.de/10013227154
Cover Image
Diffusing Explosive Portfolio Performance Evaluation of High Frequency Traders
Charles-Cadogan, G. - 2018
Several analysts report explosive annualized Sharpe Ratios (ASRs) for investment portfolio performance evaluation of high frequency traders (HFTers) ranging from 4.3 to 5,000. This suggests that the profitability of HFT is much higher than that of other actively managed portfolios. In highly...
Persistent link: https://www.econbiz.de/10012937216
Cover Image
Ambiguity, long-run risks, and asset prices
Wei, Bin - 2021
I generalize the long-run risks (LRR) model of Bansal and Yaron (2004) by incorporating recursive smooth ambiguity aversion preferences from Klibanoff et al. (2005, 2009) and time-varying ambiguity. Relative to the Bansal-Yaron model, the generalized LRR model is as tractable but more flexible...
Persistent link: https://www.econbiz.de/10012617667
Cover Image
Equilibrium-Based Volatility Models of the Market Portfolio Rate of Return (Peacock Tails or Stotting Gazelles)
Feldman, David - 2015
Volatility models of the market portfolio's return are central to financial risk management. Within an equilibrium framework, we introduce an implementation method and study two families of such models. One is deterministic volatility, represented by current popular models. Another is in the...
Persistent link: https://www.econbiz.de/10013036566
Cover Image
Why does return predictability concentrate in bad times?
Cujean, Julien; Hasler, Michael - 2017
-series momentum, which strengthens in bad times, increases with disagreement, and crashes after sharp market rebounds. We provide …
Persistent link: https://www.econbiz.de/10011721618
Cover Image
Does smooth ambiguity matter for asset pricing?
Gallant, A. Ronald; Jahan-Parvar, Mohammad R.; Liu, Hening - 2018
We use the Bayesian method introduced by Gallant and McCulloch (2009) to estimate consumption-based asset pricing models featuring smooth ambiguity preferences. We rely on semi-nonparametric estimation of a flexible auxiliary model in our structural estimation. Based on the market and aggregate...
Persistent link: https://www.econbiz.de/10011780610
Cover Image
Chapter 13 Consumption-based asset pricing
Campbell, John Y. - 2003
theory. Data from other countries are examined to see which features of the U.S. experience apply more generally. The chapter …
Persistent link: https://www.econbiz.de/10014023858
Cover Image
Chapter 12 Tests of multifactor pricing models, volatility bounds and portfolio performance
Ferson, Wayne E. - 2003
Three concepts: stochastic discount factors, multi-beta pricing and mean-variance efficiency, are at the core of modern empirical asset pricing. This chapter reviews these paradigms and the relations among them, concentrating on conditional asset-pricing models where lagged variables serve as...
Persistent link: https://www.econbiz.de/10014023859