Similar Search Results

Is Market Volatility Systematically Priced While Illiquidity Is Only Priced on the Down-Side?

Swan, Peter L. - 2016

I show in a setting of a buyer and seller with the same preferences trading two related assets so as to share volatility risk that illiquidity and virtually all impediments to trade cannot be priced in the absence of excess short-selling costs. This is because the buyer values the asset at the...

Persistent link: https://www.econbiz.de/10012998134

Delegated Information Acquisition and Asset Pricing

Huang, Shiyang - 2017

This paper studies the joint determination of optimal contracts and equilibrium asset prices in an economy with multiple principal-agent pairs. Principals design optimal contracts that provide incentives for agents to acquire costly information. With agency problems, the agents' compensation...

Persistent link: https://www.econbiz.de/10012970952

Single Beta and Dual Beta Models : A Testing of CAPM on Condition of Market Overreactions

Sembiring, Ferikawita - 2017

Indonesia and the market factor in CAPM, or a single beta, is able to explain the portfolio returns. As a continuation of that … study, we now use the concept of conditional CAPM, or a dual beta, to test whether the performance of the dual beta can … winner and the loser. The conditional CAPM is applied by separating the market into upstream markets and downstream markets …

Persistent link: https://www.econbiz.de/10012950964

Right-of-Use Assets

Nissim, Doron - 2023

Accounting Standard Codification (ASC) Topic 842, which is effective since 2019, requires balance sheet recognition of operating lease obligations and right-of-use (ROU) assets. For many firms, the implementation of this standard resulted in a large increase in reported operating assets, thus...

Persistent link: https://www.econbiz.de/10014359150

Asset prices and liquidity with market power and non-Gaussian payoffs

Glebkin, Sergei; Malamud, Semyon; Teguia, Alberto - 2020

We consider an economy populated by CARA investors who trade, accounting for their price impact, multiple risky assets with arbitrary distributed payoffs. We propose a constructive solution method: finding the equilibrium reduces to solving a linear ordinary differential equation. With market...

Persistent link: https://www.econbiz.de/10012419350

Asset Prices in the Presence of a Tax Authority

Rapp, Marc Steffen; Schwetzler, Bernhard - 2009

We are interested in the effect of capital income taxes upon security prices when investors face locally segmented stock markets and a global bond market. Therefore, we analyze an equilibrium model of an economy with binomial uncertainty, an exogenous risk-free interest rate and a representative...

Persistent link: https://www.econbiz.de/10014071690

Financial Market Frictions and Learning from the Stock Price

Rösch, Dominik - 2019

Liquid stocks may attract short-term traders who could attenuate the informativeness of stock prices about long-run fundamentals. As a result, managers may be less (more) likely to rely on the market prices of more (less) liquid stocks when making real investment decisions. Supporting this...

Persistent link: https://www.econbiz.de/10012858656

Empirical Social Asset Pricing

Hwang, Byoung-Hyoun - 2022

I review the empirical literature on word of mouth (WOM) among investors. I begin with an outline of the empirical challenges that WOM research faces and possible strategies to overcome those challenges. I then discuss recent studies on WOM among retail and institutional investors. The research...

Persistent link: https://www.econbiz.de/10013406015

Predicting Agri-Commodity Prices : An Asset Pricing Approach

Chen, Yu-Chin - 2010

Volatile and rising agricultural prices put significant strain on the global fight against poverty. An accurate reading of future food price movements can be an invaluable budgetary planning tool for various government agencies and food aid programs. Using the asset-pricing approach developed in...

Persistent link: https://www.econbiz.de/10013142959

Equity Risk Premia and the Pricing of Foreign Exchange Risk

Korajczyk, Robert A. - 2011

equity markets using the Arbitrage Pricing Theory. If returns on well-diversified equity portfolios explain movements in …

Persistent link: https://www.econbiz.de/10013119670