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Empirical Pricing Kernels and Investor Preferences

Detlefsen, Kai; Härdle, Wolfgang; Moro, Rouslan - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2007

This paper analyzes empirical market utility functions and pricing kernelsderived from the DAX and DAX option data for …

Persistent link: https://www.econbiz.de/10005861046

Put Options Are Not Too Expensive— An Analysis of Path Peso Problems —

Branger, Nicole; Schlag, Christian - Universität <Münster, Westfalen> / Lehrstuhl für … - 2005

The observed prices of out-of-the money put options seem too high given standardderivative pricing models. One possible … explanation is a Peso problem: crashes (forwhich the payoff of a put is high) are taken into account for pricing, but are under … derived pricing restriction controllingfor the peso problem is violated.In this paper, we argue that the approach presented by …

Persistent link: https://www.econbiz.de/10005867630

Predictability in the cross-sectionof European bank stock returns

Drobetz, Wolfgang; Erdmann, Thomas; Zimmermann, Heinz - Universität <Hamburg> / Fachbereich …; … - 2007

This paper investigates the impact of individual bank fundamental variables onstock market returns using data from a panel of 235 European banks from 1991to 2005. The sample period marks a significant transition in the European bankingsector, characterized by higher competition, lower profit...

Persistent link: https://www.econbiz.de/10005867860

Multiple Trees Subject to Event Risk

Porchia, Paolo; Trojani, Fabio - National Centre of Competence in ResearchFinancial … - 2009

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

Asset Prices, Funds’ Size and PortfolioWeights in Equilibrium with Heterogeneousand Long-Lived Funds

Cvitani, Jaksa; Malamud, Semyon - Swiss National Centre of Competence in Research North … - 2009

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

International Price and Earnings Momentum

Leippold, Markus; Lohre, Harald - National Centre of Competence in ResearchFinancial … - 2008

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

Vincenz Bronzins Optionspreismodelle intheoretischer und historischer Perspektive

Hafner, Wolfgang; Zimmermann, H. - Wirtschaftswissenschaftliches Zentrum <Basel> - 2006

Was seit 1973 als Durchbruch in der Optionspreistheorie gilt und im Jahre1997 mit dem Wirtschafts-Nobelpreis ausgezeichnet wurde, hat der sterreicherVinzenz Bronzin 65 Jahre frher – im Jahr 1908 – umfassender, einfacherverstndlich und notabene: auf deutsch in einer kurzen Monografie...

Persistent link: https://www.econbiz.de/10005868199

Marketing favours : formal and informal criteria for pricing Albrecht Dürer‘s works between 1500 and 1650

Grebe, Anja - In: Journal for art market studies 1 (2017) 1, pp. 6-20

Persistent link: https://www.econbiz.de/10011872588

On the price of priceless goods : sociological Observations on and around Art Basel

Schultheis, Franz - In: Journal for art market studies 1 (2017) 1, pp. 68-82

Persistent link: https://www.econbiz.de/10011872646

How do investors' expectations drive asset prices?

Lüders, Erik; Peisl, Bernhard - 2001

general continous time pricing kernel framework. To derive the asset price process we make use of the modern technique of …

Persistent link: https://www.econbiz.de/10013428399