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Asset pricing and default risk
Breig, Christoph - 2011
Persistent link: https://www.econbiz.de/10008779050
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Which alpha?
Barillas, Francisco; Shanken, Jay - 2015
Persistent link: https://www.econbiz.de/10011418311
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Which Alpha?
Barillas, Francisco - 2016
, we show that for models with traded factors, when the comparison is framed appropriately in terms of success in pricing … what matters for model comparison. Test assets are irrelevant based on several prominent criteria. For models with … nontraded factors, test assets are relevant for model comparison insofar as they are needed to identify factor mimicking …
Persistent link: https://www.econbiz.de/10013004677
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Which Alpha?
Barillas, Francisco - 2015
distance. All that matters for model comparison is the extent to which each model is able to price the factors in the other …
Persistent link: https://www.econbiz.de/10013012387
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Which Alpha?
Barillas, Francisco - 2015
distance. All that matters for model comparison is the extent to which each model is able to price the factors in the other …
Persistent link: https://www.econbiz.de/10012456972
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Bond yields : models and moments
Gabriel, Christian - 2015
Neben der Einleitung ist die Dissertation in zwei Teile aufgeteilt. In Teil I wird die Annahme eines Investors mit μ-σ Präferenz getroffen. Das erste Kapitel stellt ein Multi-Rating ATSM unter Arbitragefreiheit mit dem klaren Fokus auf Zinsstrukturkurvenmodelle für Unternehmensanleihen vor....
Persistent link: https://www.econbiz.de/10011317335
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The sources of risk spillovers among US REITs : financial characteristics and regional proximity
Adams, Zeno; Füss, Roland; Schindler, Felix - In: Real estate economics : journal of the American Real … 43 (2015) 1, pp. 67-100
Persistent link: https://www.econbiz.de/10010526354
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The real versus the financial economy : a global tale of stability versus volatility
Alfarano, Simone; Förster, Niels; Milaković, Mishael; … - 2013
The question how the real and the financial side of a capitalist economy relate to each other has been a frequently recurring topic in the history of economic thought. Our paper addresses this question from the viewpoint that capital ultimately seeks returns from its perpetual reallocation and...
Persistent link: https://www.econbiz.de/10009692652