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A simple model of trading and pricing risky assets under ambiguity : any lessons for policy-makers?
Guidolin, Massimo; Rinaldi, Francesca - 2009
performance of individual securities. Risk premia (spreads) increase with the proportion of traders in the market who are averse …
Persistent link: https://www.econbiz.de/10003831933
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A simple model of trading and pricing risky assets under ambiguity : any lessons for policy-makers?
Guidolin, Massimo; Rinaldi, Francesca - In: Applied financial economics 20 (2010) 1/3, pp. 105-135
performance of individual securities. Risk premia (spreads) increase with the proportion of traders in the market who are averse …
Persistent link: https://www.econbiz.de/10003935981
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A simple model of trading and pricing risky assets under ambiguity : any lessons for policy-makers?
Guidolin, Massimo; Rinaldi, Francesca - 2009
performance of individual securities. Risk premia (spreads) increase with the proportion of traders in the market who are averse …
Persistent link: https://www.econbiz.de/10003987284
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Central bank asset purchases, banks' risky security holdings and profitability : macro and micro evidence from Japan and the U.S.
Wang, Ling - In: International review of economics & finance : IREF 87 (2023), pp. 347-364
Persistent link: https://www.econbiz.de/10014472495
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Be greedy when others are fearful : evidence from a two-decade assessment of the NDX 100 and S&P 500 indexes
Day, Min-Yuh; Ni, Yensen - In: International review of financial analysis 90 (2023), pp. 1-13
Persistent link: https://www.econbiz.de/10014468853
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Modelling asset prices for algorithmic and high-frequency trading
Cartea, Álvaro; Jaimungal, Sebastian - In: Applied mathematical finance 20 (2013) 5/6, pp. 512-547
Persistent link: https://www.econbiz.de/10010235563
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Momentum, the Disposition Effect and Beta
O'Brien, John - 2018
The existence of a premium to momentum portfolios, formed by buying recent winners and selling recent losers is widely accepted, although the source of the returns remains controversial. It remains a focus of behavioural finance. We focus on one set of explanations, based on prospect theory,...
Persistent link: https://www.econbiz.de/10012927420
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A Concave Security Market Line
De Giorgi, Enrico G. - 2018
We provide theoretical and empirical arguments in favor of a diminishing marginal premium for market risk. In capital … market equilibrium with binding portfolio restrictions, investors with different risk aversion levels generally hold …-sectional relation between average return and estimated market beta. We estimate that the market risk premium is at least five to six …
Persistent link: https://www.econbiz.de/10012940481
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The search for time-series predictability-based anomalies
Ospina-Holguín, Javier Humberto; Padilla-Ospina, Ana Milena - In: Journal of business economics and management 23 (2022) 1, pp. 1-19
timing strategy that decides between being fully invested in a risky asset or in a risk-free asset, with the trading rule …
Persistent link: https://www.econbiz.de/10013258451
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The idiosyncratic momentum anomaly
Blitz, David; Hanauer, Matthias; Vidojevic, Milan - In: International review of economics & finance : IREF 69 (2020), pp. 932-957
Persistent link: https://www.econbiz.de/10012487461