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ECONIS (ZBW)
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1
Common risk factors of infrastructure firms
Ben Ammar, Semir
;
Eling, Martin
-
2013
-
This version: 05/07/2013
, size, value, momentum, cashflow volatility, leverage,
investment
growth, term risk, and default risk. We empirically test …
Persistent link: https://www.econbiz.de/10010410032
Saved in:
2
Jump factor models in large cross‐sections
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Quantitative economics : QE ; journal of the …
10
(
2019
)
2
,
pp. 419-456
We develop tests for deciding whether a large cross‐section of asset prices obey an exact factor structure at the times of factor jumps. Such jump dependence is implied by standard linear factor models. Our inference is based on a panel of asset returns with asymptotically increasing...
Persistent link: https://www.econbiz.de/10012042424
Saved in:
3
Endogenous completeness of diffusion driven equilibrium markets
Hugonnier, Julien
;
Malamud, Semyon
;
Trubowitz, Eugene
-
2009
We study the existence of equilibria with endogenously complete markets in a continuous-time, heterogenous agents economy driven by a multidimensional diffusion process. Our main results show that if prices are real analytic as functions of time and the state variables of the model then a...
Persistent link: https://www.econbiz.de/10003971255
Saved in:
4
Collateral requirements and asset prices
Brumm, Johannes
;
Grill, Michael
;
Kubler, Felix
; …
-
2011
In this paper we examine the effect of collateral requirements on the prices of long-lived assets. We consider a Lucas-style infinite-horizon exchange economy with heterogeneous agents and collateral constraints. There are two trees in the economy which can be used as collateral for short-term...
Persistent link: https://www.econbiz.de/10009009597
Saved in:
5
Collateral requirements and asset prices
Brumm, Johannes
;
Grill, Michael
;
Kubler, Felix
; …
-
2013
Many assets derive their value not only from future cash flows but also from their ability to serve as collateral. In this paper, we investigate this collateral value and its impact on asset returns in an infinite-horizon general equilibrium model with heterogeneous agents facing collateral...
Persistent link: https://www.econbiz.de/10010203684
Saved in:
6
Stock market volatility and learning
Adam, Klaus
;
Marcet, Albert
;
Nicolini, Juan Pablo
-
2012
We study a standard consumption based asset pricing model with rational investors who entertain subjective prior beliefs about price behavior. Optimal behavior then dictates that investors learn about price behavior from past price observations. We show that this imparts momentum and mean...
Persistent link: https://www.econbiz.de/10011489917
Saved in:
7
State Prices of Conditional Quantiles : New Evidence on Time-Varying Expected Returns
Metaxoglou, Konstantinos
-
2011
We develop statistics to represent the option implied stochastic discount factor for S&P 500 returns between 1990 and 2008. Our statistics, which we call State Prices of Conditional Quantiles (SPOCQ), estimate the market's willingness to pay for insurance against outcomes in various quantiles of...
Persistent link: https://www.econbiz.de/10013119101
Saved in:
8
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) The Volatility Puzzle. We offer resolutions of...
Persistent link: https://www.econbiz.de/10012842392
Saved in:
9
Volatility Ambiguity, Consumption and Asset Prices
Liu, Yu
-
2020
We formulate a stylized model that admits volatility ambiguity to the Lucas framework. The model specifies an economically motivated ambiguity penalty function that makes volatility ambiguity quantifiable with χ2-statistics, and allows for analytical solutions. The addition of volatility...
Persistent link: https://www.econbiz.de/10012843681
Saved in:
10
Internet Appendix for 'Belief Dispersion in the Stock Market'
Atmaz, Adem
-
2017
We develop a dynamic model of belief dispersion with a continuum of investors differing in beliefs. The model is tractable and qualitatively matches many of the empirical regularities in a stock price, its mean return, volatility, and trading volume. We find that the stock price is convex in...
Persistent link: https://www.econbiz.de/10012956341
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