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We study an equilibrium asset pricing model with several Lucas (1978) trees subject toevent risk, that is, the …
Persistent link: https://www.econbiz.de/10005868703
We perform a detailed asymptotic analysis of the equilibrium behavior of the assetprices, wealth size and portfolio weights in complete markets equilibria, with long-livedfunds. In equilibrium, the fund with the (closest to) log preference will dominate theother funds in size, in the long-run,...
Persistent link: https://www.econbiz.de/10005868786
We find that price and earnings momentum are pervasive features of international equitymarkets when controlling for data snooping biases. For European countries, we find that pricemomentum is subsumed by earnings momentum on an aggregate level. However, this rationaledoes not apply to each and...
Persistent link: https://www.econbiz.de/10005868982
Based on an empirical analysis of European corporations, we investigate the impact of sovereign risk on the pricing of … corresponding corporate CDS spreads and are a significant factor for corporate CDS pricing models. We also find that this impact …
Persistent link: https://www.econbiz.de/10011343850
-driven convertible bonds pricing model, which is inspired by the recent success of generative adversarial networks (GAN), to address the … model has a better convertible bonds pricing performance than both model-driven models, i.e. Black-Scholes, the constant …
Persistent link: https://www.econbiz.de/10013272634
This paper is the first to analyze the joint determinants of premiums and spreads in structured financial products, while also focusing on issuers' hedging costs. We evaluate more than 396,000 single stock discount certificates on an intraday basis in the German secondary market. We find that...
Persistent link: https://www.econbiz.de/10011960799
developments in discrete time asset pricing methods based on the notions of stochastic discount factor and of compound …
Persistent link: https://www.econbiz.de/10010861561
. Our approach leads to an interval of admissible prices much better than the arbitrage pricing interval. …
Persistent link: https://www.econbiz.de/10010905222
Based on an empirical analysis of European corporations, we investigate the impact of sovereign risk on the pricing of … corresponding corporate CDS spreads and are a significant factor for corporate CDS pricing models. We also find that this impact in …
Persistent link: https://www.econbiz.de/10011213799
building block of no-arbitrage pricing theory. Nowadays, in the modern financial world after the credit crunch, some Libors are …
Persistent link: https://www.econbiz.de/10011259157