Similar Search Results

Investment Options, Assets in Place, and the Risk of Stocks

Chung, Kee H. - 2009

This paper employs contingent claims analysis to decompose the firm's systematic risk into the risk as- sociated with its assets in place and the risk arising from future growth opportunities. 5 Contingent claims analysis is well-suited to such decomposition, since a growth opportunity can be...

Persistent link: https://www.econbiz.de/10013153197

An Empirical Evaluation of the Long-Run Risks Model for Asset Prices

Bansal, Ravi - 2009

We provide an empirical evaluation of the forward-looking long-run risks (LRR) model and highlight model differences with the backward-looking habit based asset pricing model. We feature three key results: (i) Consistent with the LRR model, there is considerable evidence in the data of...

Persistent link: https://www.econbiz.de/10013154563

An Asset Allocation Puzzle

Canner, Niko - 2008

This paper examines popular advice on portfolio allocation among cash, bonds, and stocks. It documents that this advice is inconsistent with the mutual-fund separation theorem, which states that all investors should hold the same composition of risky assets. In contrast to the theorem, popular...

Persistent link: https://www.econbiz.de/10012774873

Re-Evaluating the Value of Modern Portfolio Theory and Asset Pricing Models Based on Behavioral Insights from Benjamin Graham's Value Investing Paradigm

Otuteye, Eben - 2017

Modern Portfolio Theory, the Capital Asset Pricing Model, and the Efficient Market Hypothesis are cornerstone concepts … in both academic and professional curricula. In spite of their long history and reputation, the CAPM and its extensions …

Persistent link: https://www.econbiz.de/10012954957

Do Option-Based Measures of Stock Mispricing Find Investment Opportunities or Market Frictions?

Cremers, Martijn - 2019

This paper considers a plethora of option-based measures of stock mispricing introduced by previous literature. These measures are based on differences between implied and actual stock prices, differences in implied volatilities across options, and on option trading volume. We show that stocks...

Persistent link: https://www.econbiz.de/10012891196

Asset Prices When Agents are Marked-to-Market

Gorton, Gary B. - 2010

quot;Risk managementquot; in securities markets refers to the oversight of portfolio managers and professional traders when they trade on behalf of investors in security markets. Monitoring of their trading performance, profit and loss, and risk-taking behavior, is measured by principals using...

Persistent link: https://www.econbiz.de/10012761724

Asset Pricing with Heterogeneous Consumers and Limited Participation : Empirical Evidence

Brav, Alon - 2010

The Euler equations of consumption are tested on the household consumption of non-durables and services, reconstructed from the CEX database. The estimated relative risk aversion coefficient of the representative household decreases, and the estimated unexplained mean equity premium decreases,...

Persistent link: https://www.econbiz.de/10012763346

Investment in cryptocurrencies : lessons for asset pricing and portfolio theory

Dempsey, Michael; Huy Pham; Ramiah, Vikash - In: Applied economics 54 (2022) 10, pp. 1137-1144

Persistent link: https://www.econbiz.de/10012875129

A Simple Asset Pricing Model with Heterogeneous Agents, Uninsurable Labor Income and Limited Stock Market Participation

Ahn, Seryoong - 2016

In this paper we study a simple two-period asset pricing model to understand the implications of uninsurable labor income risk and/or borrowing constraints, limited stock market participation, heterogeneous labor income volatilities, and heterogeneous preferences. We appraise the performance of...

Persistent link: https://www.econbiz.de/10013006842

The Black-Litterman Model : Extensions and Asset Allocation

Cayirli, Omer - 2019

mean-variance (MV) optimization model and capital asset pricing model (CAPM). Model builds on MV optimization and CAPM by … long and short positions). BLM overcomes these issues by choosing a neutral reference point, CAPM equilibrium. It also … allows investors to express their views with varying confidence levels and integrate these views into CAPM prior by using a …

Persistent link: https://www.econbiz.de/10012861776