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Theoretical asset pricing under behavioral decision making

Vries, Martijn Alexander de - 2022

Persistent link: https://www.econbiz.de/10013263004

Momentum and reversal in financial markets with persistent heterogeneity

Bottazzi, Giulio; Dindo, Pietro; Giachini, Daniele - In: Annals of finance 15 (2019) 4, pp. 455-487

Persistent link: https://www.econbiz.de/10012240169

Financial markets with trade on risk and return

Smith, Kevin - 2019

's expected payoff and its risk. These investors trade in the stock and a derivative whose payoff is driven by the stock's risk …. In equilibrium, the derivative is used to speculate on the stock's risk and to hedge against adverse fluctuations in the … stock's risk. I analyze the derivative price and variance risk premium that arise in this equilibrium and their predictive …

Persistent link: https://www.econbiz.de/10012244489

Congation and return predictabiity in asset markets : an experiment with two Lucas trees

Noussair, Charles; Popescu, Andreea Victoria - 2020

Persistent link: https://www.econbiz.de/10012227958

Asset pricing with heterogeneous preferences, beliefs, and portfolio constraints

Chabakauri, Georgy - In: Journal of monetary economics 75 (2015), pp. 21-34

Persistent link: https://www.econbiz.de/10011569353

Issues in applying financial econometrics to factor-based modeling in investment management

Engle, Robert F.; Focardi, Sergio M.; Fabozzi, Frank J. - In: The journal of portfolio management : a publication of … 42 (2016) 5, pp. 94-106

Persistent link: https://www.econbiz.de/10011686773

Financial markets with trade on risk and return

Smith, Kevin - In: The review of financial studies 32 (2019) 10, pp. 4042-4078

Persistent link: https://www.econbiz.de/10012108175

Rationality and asset prices under belief heterogeneity

Giachini, Daniele - 2018

In this paper I study the relationship between rationality and asset prices when agents have heterogeneous and incorrect beliefs about future events. Using the fully rational pricing as a benchmark, I show that when agents behave according to the Subjective Generalized Kelly rule (Bottazzi et...

Persistent link: https://www.econbiz.de/10011805975

Asset price risk, banks and markets

Zhang, Yu - In: Finance research letters 21 (2017), pp. 21-25

Persistent link: https://www.econbiz.de/10011807275

Return comovement

Parsley, David C.; Popper, Helen Ann - 2017

Persistent link: https://www.econbiz.de/10012201567