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Essays in cross-sectional asset pricing
Cederburg, Scott Hogeland - 2011
returns. The finance literature has uncovered several potential failings of the Capital Asset Pricing Model (CAPM). I … investigate the ability of additional risk factors, which are not considered by the CAPM, to explain these problems. In particular … to refine and reassess the cross-sectional evidence against the CAPM.In the first chapter, I test the cross …
Persistent link: https://www.econbiz.de/10009466087
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Prices as Factors: Approximate Aggregation with Incomplete Markets
Telmer, Chris I; Zin, Stanley E. - 2000
kernel that depends on returns, as in the CAPM or the APT, can accurately price assets. In this sense, theory based on …
Persistent link: https://www.econbiz.de/10009441191
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Asset price and wealth dynamics with heterogeneous expectations : a deterministic nonlinear structural model approach
Florian Heitger - 2010
Based on a classical financial market model different model variants known from the literature are discussed and analyzed, each focussing on modeling financial markets as a nonlinear dynamic system by introducing the formation of (heterogeneous) beliefs about future asset prices into the model...
Persistent link: https://www.econbiz.de/10009428980
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Asset Pricing with Heterogeneous Agents, Incomplete Markets and Trading Constraints
Karagyozova, Tsvetanka - 2007
The consumption capital asset pricing model is the standard economic model used to capture stock market behavior. However, empirical tests have pointed out to its inability to account quantitatively for the high average rate of return and volatility of stocks over time for plausible parameter...
Persistent link: https://www.econbiz.de/10009430235
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A Price Theory of Legal Bargaining: An Inquiry into the Selection of Settlement and Litigation Under Uncertainty
Rhee, Robert J. - 2006
Conventional wisdom says that economic surplus is created when the cost of litigation is foregone in favor of settlement, a theory flowing from the Coase Theorem. The cost-benefit analysis weighs settlement against the expected value of litigation net of transaction cost. This calculus yields...
Persistent link: https://www.econbiz.de/10009432053
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The Effect of Risk on Legal Valuation
Rhee, Robert J. - 2007
From a financial economic perspective, the governing condition of a meritorious civil action is the uncertainty of outcome. Expectation and outcome deviate, and the spread is the measure of uncertainty (or variance). During litigation each party has an option to settle or select trial. The...
Persistent link: https://www.econbiz.de/10009432058
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Oil Prices and Long-Run Risk
READY, ROBERT - 2011
I show that relative levels of aggregate consumption and personal oil consumption provide anexcellent proxy for oil prices, and that high oil prices predict low future aggregate consumptiongrowth. Motivated by these facts, I add an oil consumption good to the long-run risk model of Bansal and...
Persistent link: https://www.econbiz.de/10009438584
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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/10009452545
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On equilibrium prices in continuous time
Martins-da-Rocha, Victor Filipe; Riedel, Frank - 2008
We combine general equilibrium theory and théorie générale of stochastic processes to derive structural results about equilibrium state prices.
Persistent link: https://www.econbiz.de/10009452546
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Three Essays on Asset Pricing
Wang, Zhiguang - 2009
In this dissertation, I investigate three related topics on asset pricing: the consumption-based asset pricing under long-run risks and fat tails, the pricing of VIX (CBOE Volatility Index) options and the market price of risk embedded in stock returns and stock options. These three topics are...
Persistent link: https://www.econbiz.de/10009460573