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Non-ergodic Behavior in a Financial Market with Interacting Investors
Horst, Ulrich; Wezelburger, Jan - Society for Economic Dynamics - SED - 2006
We identify possible long-run market shares and the long-run asset price dynamics of financial markets with heterogenous interacting agents. This involves stability conditions for a class of difference equation in a random environment, where the random environment is endogenously generated by...
Persistent link: https://www.econbiz.de/10005069285
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A class of models satisfying a dynamical version of the CAPM
Jouini, Elyès; Napp, Clotilde - HAL - 2003
Under a comonotonicity assumption between aggregate dividends and the market portfolio, the CCAPM formula becomes more tractable and more easily testable. In this paper, we provide theoretical justifications for such an assumption.
Persistent link: https://www.econbiz.de/10008793270
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A Class of Models satisfying a Dynamical Version of the CAPM
Napp, Clotilde; Jouini, Elyès - Université Paris-Dauphine (Paris IX) - 2003
Under a comonotonicity assumption between aggregate dividends and the market portfolio, the CCAPM formula becomes more tractable and more easily testable. In this paper, we provide theoretical justifications for such an assumption.
Persistent link: https://www.econbiz.de/10010905244
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On the determinants of equity international risk premium : Are emerging zones different ?
Guesmi, Khaled; Abid, Ilyes; Arouri, Mohamed Hedi; … - Institut de Préparation à l'Administration et à la … - 2014
This article contributes to the financial literature by investigating the formation of the international stock risk premium in emerging market zones. Our results from the estimation of a dynamic augmented capital asset pricing model show that the currency risk premium is the most important...
Persistent link: https://www.econbiz.de/10010778658
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The impact of multiperiod planning horizons on portfolios and asset prices in a dynamic CAPM
Hillebrand, Marten; Wenzelburger, Jan - 2005
determining market clearing prices is calculated explicitly. The classical capital market line result of CAPM theory is extended …
Persistent link: https://www.econbiz.de/10009452468
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Equilibrium of Real Financial Markets: Theory and Experimental Evidence
Bossaerts, Peter - C.E.P.R. Discussion Papers - 2004
than at (CAPM) equilibrium. Experimental evidence confirms the predictions conclusively. …
Persistent link: https://www.econbiz.de/10005792218
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A Class of Models satisfying a Dynamical Version of the CAPM.
Napp, Clotilde; Jouini, Elyès - Université Paris-Dauphine - 2003
Under a comonotonicity assumption between aggregate dividends and the market portfolio, the CCAPM formula becomes more tractable and more easily testable. In this paper, we provide theoretical justifications for such an assumption.
Persistent link: https://www.econbiz.de/10008532425
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Analysis of UAE Bank Stocks
Rao, Ananth - EconWPA - 2003
and riskiness. Capital Asset Pricing Model (CAPM) a market equilibrium model is applied to these seven bank’s stocks. The … general models like multi-factor CAPM and arbitrage pricing theory (APT) models could be more appropriate models for analysing …
Persistent link: https://www.econbiz.de/10005413135
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A puzzle of excessive equity risk premium and the case of Poland
Kliber, Paweł - In: E-Finanse : finansowy kwartalnik internetowy 12 (2016) 1, pp. 1-11
The article presents a historical review of the literature related to the empirical problem of excessive risk premium. The risk premium (the difference between the return on equities and risk-free rate) observed in financial markets cannot be reconciled with theoretical models of financial...
Persistent link: https://www.econbiz.de/10011539760
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A comparison between a dynamic and static approach to asset management using CAPM models on the Australian securities market
Mazzola, Paul; Gerace, Dionigi - In: Australasian accounting business and finance journal : AABF 9 (2014) 2, pp. 43-58
Persistent link: https://www.econbiz.de/10011376768