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Actual and Warranted Relations Between Asset Prices
Beltratti, Andrea E.; Shiller, Robert J. - Cowles Foundation for Research in Economics, Yale University - 1991
Efficient markets models assert that the price of each asset is equal to the optimal forecast of its ex-post or fundamental value. These models do not imply, however, that the covariance between two asset prices is given by the covariance between the ex-post values they respectively forecast:...
Persistent link: https://www.econbiz.de/10005463944
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Does Volatility matter? Expectations of price return and variability in an asset pricing experiment
Bottazzi, Giulio; Devetag, Giovanna; Pancotto, Francesca - Laboratory of Economics and Management (LEM), Scuola … - 2009
period ahead; in the Volatility treatment, we also elicit subjective confidence intervals of forecasts, which we take as a … measure of perceived volatility. The realized asset price is derived from a Walrasian market equilibrium equation with non …-linear feedback from individual forecasts. Our experimental markets exhibit high volatility, fat tails and other properties typical of …
Persistent link: https://www.econbiz.de/10005518715
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Does Volatility matter? Expectations of price return and variability in an asset pricing experiment.
Bottazzi, Giulio; Devetag, Giovanna; Pancotto, Francesca - Dipartimento di Economia e Management, Università … - 2008
period ahead; in the Volatility treatment, we also elicit subjective confidence intervals of forecasts, which we take as a … measure of perceived volatility. The realized asset price is derived from a Walrasian market equilibrium equation with non …-linear feedback from individual forecasts. Our experimental markets exhibit high volatility, fat tails and other properties typical of …
Persistent link: https://www.econbiz.de/10005465209
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ON THE PRICING OF DUAL CLASS STOCKS: EVIDENCE FROM BERKSHIRE HATHAWAY
He, Ling T.; Casey, K. Michael - In: The International Journal of Business and Finance Research 5 (2011) 1, pp. 103-112
investors. However, the higher overnight returns for B shares may be offset by higher volatility embedded in the B shares. …
Persistent link: https://www.econbiz.de/10011206057
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Subjective Discount Factors
Luttmer, Erzo G J; Mariotti, Thomas - C.E.P.R. Discussion Papers - 2000
-root process. Hyperbolic and quasi-hyperbolic discount factors can significantly increase the volatility of aggregate wealth and …
Persistent link: https://www.econbiz.de/10005662071
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Changes in the span of systematic risk exposures
Liao, Yuan; Todorov, Viktor - In: Quantitative economics : QE ; journal of the … 15 (2024) 3, pp. 817-847
We develop a test for deciding whether the linear spaces spanned by the factor exposures of a large cross-section of assets toward latent systematic risk factors at two distinct points in time are the same. The test uses a panel of asset returns in local windows around the two time points. The...
Persistent link: https://www.econbiz.de/10015053883
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Abnormal returns and idiosyncratic volatility puzzle : an empirical investigation in Vietnam stock market
Xuan Vinh Vo; Van Phong Vo; Thanh Phuc Nguyen - In: Cogent economics & finance 8 (2020) 1, pp. 1-25
This paper aims to examine the relation between idiosyncratic volatility (IVOL) and stock returns with full-sample and …
Persistent link: https://www.econbiz.de/10012219258
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The pricing of unexpected volatility in the currency market
Lu, Wenna; Copeland, Laurence S.; Xu, Yongdeng - 2021
Many recent papers have investigated the role played by volatility in determining the cross-section of currency returns … returns from the currency carry trade. We show that the importance of volatility depends on whether the currency markets are … unexpectedly volatile. Volatility innovations during relatively tranquil periods are largely unrewarded in the market, whereas …
Persistent link: https://www.econbiz.de/10012591966
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Does 'Paper Oil' Matter? Energy Markets’ Financialization and Equity-Commodity Co-Movements
Buyuksahin, Bahattin - 2014
We construct a uniquely detailed, comprehensive dataset of trader positions in U.S. energy futures markets. We find considerable changes in the make-up of the open interest between 2000 and 2010 and show that these changes impact asset pricing. Specifically, dynamic conditional correlations...
Persistent link: https://www.econbiz.de/10013067957
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When Energy Finance of New Era Paddling in the Choppy Ocean Named World : Applying Price Discovery Model to Crude Oil Market
Zhai, Yonghao Archaelake - 2021
In 2020, the futures & spot markets of crude oil have changed dramatically. This paper analyzes the price discovery process of the WTI and Brent crude oil futures & spot markets using the information share model of Hasbrouck (1995), and finds that each reverse of the dominant asset can indicate...
Persistent link: https://www.econbiz.de/10013313949