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Economic Activity of Firms and Asset Prices
Kogan, Leonid - 2012
how firms' systematic risk and their investment and production decisions are jointly determined in equilibrium. Models … with production provide insights into several types of empirical patterns, including (a) the correlations between firms … returns and cash flows to fundamental shocks, models with production connect the analysis of financial markets with the …
Persistent link: https://www.econbiz.de/10013098425
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Essays on investment-based asset pricing
Lin, Xiaoji - 2008
Persistent link: https://www.econbiz.de/10011573133
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Corporate failure and the business cycle : measuring systematic risk
Ogneva, Maria; Piotroski, Joseph D.; Zakolyukina, … - 2016
In this paper, we use accounting fundamentals to measure systematic risk of distress. Our main testable prediction—that this risk increases with the probability of recessionary failure, P(R|F)—is based on a stylized model that guides our empirical analyses. We first apply the lasso method to...
Persistent link: https://www.econbiz.de/10011524470
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Is beta dead? : reevaluation of equity returns in the US diversified financial sector
Mohan, Ramesh; Nguyen, Huong; Nandialath, Anup - In: The IUP journal of applied economics 12 (2013) 3, pp. 56-80
Persistent link: https://www.econbiz.de/10010190779
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Credit risk in general equilibrium
Eichberger, Jürgen; Rheinberger, Klaus; Summer, Martin - 2011
Credit risk models used in quantitative risk management treat credit risk analysis conceptually like a single person decision problem. From this perspective an exogenous source of risk drives the fundamental parameters of credit risk: probability of default, exposure at default and the recovery...
Persistent link: https://www.econbiz.de/10009385153
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The Fama portfolio : selected papers of Eugene F. Fama
Fama, Eugene F.; Cochrane, John H.; Moskowitz, Tobias J. - 2017
Divide / Clifford Asness and John Liew ; Efficient Capital Markets: A Review of Theory and Empirical Work / Eugene F. Fama …. Corporate Finance / Amit Seru and Amir Sufi ; Agency Problems and the Theory of the Firm / Eugene F. Fama ; Separation of … Kenneth R. French -- Financing Decisions: Who Issues Stock? / Eugene F. Fama and Kenneth R. French -- Banking in the Theory of …
Persistent link: https://www.econbiz.de/10011534483
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Term structures of asset prices and returns
Backus, David; Boyarchenko, Nina; Chernov, Mikhail - 2016
Persistent link: https://www.econbiz.de/10011535572
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Term structures of asset prices and returns
Backus, David; Boyarchenko, Nina; Chernov, Mikhail - 2016
We explore the term structures of claims to a variety of cash flows: U.S. government bonds (claims to dollars), foreign government bonds (claims to foreign currency), inflation-adjusted bonds (claims to the price index), and equity (claims to future equity indexes or dividends). Average term...
Persistent link: https://www.econbiz.de/10011457568
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Long-run bulls and bears
Albuquerque, Rui; Eichenbaum, Martin S.; Papanikolaou, … - In: Journal of monetary economics 76 (2015), pp. 21-36
Persistent link: https://www.econbiz.de/10011488090
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Heterogeneity in decentralized asset markets
Hugonnier, Julien; Lester, Benjamin; Weill, Pierre-Olivier - 2014
Persistent link: https://www.econbiz.de/10010467577