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Asset prices, booms and recessions : financial economics from a dynamic perspective

Semmler, Willi - 2006 - 2nd ed.

Theory: CAPM and Extensions.- Consumption Based Asset Pricing Models.- Production Based Asset Pricing Models. Foreign … financial market and how asset prices and financial market volatility feed back to economic activity. The focus in this book is … international portfolio theory, multi-agent and evolutionary approaches, capital asset pricing beyond consumption-based models and …

Persistent link: https://www.econbiz.de/10003139161

Asset prices, booms and recessions : financial market, economic activity and the macroeconomy ; with 22 tables

Semmler, Willi - 2003

Persistent link: https://www.econbiz.de/10001734208

Asset Prices, Booms and Recessions : Financial Economics from a Dynamic Perspective

Semmler, Willi - 2006 - Second Edition

Persistent link: https://www.econbiz.de/10013520458

Macroeconomic Perceptions and Asset Prices

Su, Zhiwei - 2022

This paper studies the heterogeneous effects of macroeconomic perceptions on asset prices. An upward revision in aggregate productivity expectations is accompanied by an increase in external financing and investment, inflating prices, and lowering subsequent returns, especially for low...

Persistent link: https://www.econbiz.de/10013306268

Asset Prices, Booms and Recessions : Financial Economics from a Dynamic Perspective

Semmler, Willi - 2011

: Static Portfolio Theory: CAPM and Extentsions -- Consumption Based Asset Pricing Models -- Asset Pricing Models with … how economic activity affects asset prices and the financial market, and how asset prices and financial market volatility … theory, multi-agent and evolutionary approaches, capital asset pricing beyond consumption-based models, and dynamic portfolio …

Persistent link: https://www.econbiz.de/10013522915

Speculative growth, overreaction, and the welfare cost of technology-driven bubbles

Lansing, Kevin J. - In: Journal of economic behavior & organization : JEBO 83 (2012) 3, pp. 461-483

Persistent link: https://www.econbiz.de/10009698060

Investor sentiment and financial market volatility

Shu, Hui-chu; Chang, Jung-Hsien - In: The journal of behavioral finance : a publication of … 16 (2015) 3, pp. 206-219

Persistent link: https://www.econbiz.de/10011566059

Cross-asset signals and time series momentum

Pitkäjärvi, Aleksi; Suominen, Matti; Vaittinen, Lauri - In: Journal of financial economics 136 (2020) 1, pp. 63-85

Persistent link: https://www.econbiz.de/10012545360

Implied volatility duration and the early resolution premium

Schlag, Christian; Thimme, Julian; Weber, Rüdiger - In: Essays in asset pricing, (pp. 1-77). 2018

We introduce Implied Volatility Duration (IVD) as a new measure for the timing of uncertainty resolution, with a high …

Persistent link: https://www.econbiz.de/10012665341

Endogenous indeterminacy and volatility of asset prices under ambiguity

Mandler, Michael - In: Theoretical economics : TE ; journal of the Econometric … 8 (2013) 3, pp. 729-750

Persistent link: https://www.econbiz.de/10010207658