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Systematic mispricing in European equity prices?
Berneburg, Marian (contributor) - 2007
One empirical argument that has been around for some time and that clearly contra- dicts equity market efficiency is …
Persistent link: https://www.econbiz.de/10003482498
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Monotonicity of the stochastic discount factor and expected option returns
Chaudhuri, Ranadeb; Schroder, Mark D. - In: The review of financial studies 28 (2015) 5, pp. 1463-1505
Persistent link: https://www.econbiz.de/10011338195
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Asset prices in a lifecycle economy
Farmer, Roger E. A. - 2014
Persistent link: https://www.econbiz.de/10010363302
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Asset prices in a lifecycle economy
Farmer, Roger E. A. - 2014
Persistent link: https://www.econbiz.de/10010339678
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Discount factor and conditional return volatility
Poti, Valerio - In: Applied financial economics letters 1 (2005) 6, pp. 369-372
Persistent link: https://www.econbiz.de/10003229637
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Stochastic discount factor bounds with conditioning information
Ferson, Wayne E.; Siegel, Andrew F. - In: The review of financial studies 16 (2003) 2, pp. 567-595
Persistent link: https://www.econbiz.de/10001764239
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Robust aggregate implications of stochastic discount factor volatility
Mulligan, Casey B. - 2004
Persistent link: https://www.econbiz.de/10001888805
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Subjective discount factors
Luttmer, Erzo Gerrit Jan; Mariotti, Thomas - 2000
Persistent link: https://www.econbiz.de/10001502413
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Stochastic discount factor bounds with conditioning information
Ferson, Wayne E.; Siegel, Andrew F. - 2002
Persistent link: https://www.econbiz.de/10001650667
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Distribution Effect and Idiosyncratic Volatility Discount
Savickas, Robert - 2013
Based on information signaling theory, this paper empirically shows that distribution effect matters for idiosyncratic …
Persistent link: https://www.econbiz.de/10013091378