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How the Risk Premium Factor Model and Loss Aversion Solve the Equity Premium Puzzle

Hassett, Stephen D. - 2019

relationship with loss aversion coefficients associated with Prospect Theory (Kahneman and Tversky, 1979) suggest it as a solution …

Persistent link: https://www.econbiz.de/10012906021

Convergence of Expected Returns through Arbitrage : Beta Is Indifferent to Equity Valuation

Miyamoto, Kenji - 2018

The CAPM is commonly used for an introduction of the equity cost in practice to calculate the corporate value, which is …

Persistent link: https://www.econbiz.de/10012907181

Asset Pricing Bubbles Under Rational Expectations

Seidens, Sebastian - 2018

The Efficiency Market Hypotheses (EMH) imply rational investors and no asset mispricing in the medium run. This paper critically evaluates on the point of whether an asset price bubble is an irrational phenomenon that cannot be detected. Thereby, I review the existing literature and reflect on...

Persistent link: https://www.econbiz.de/10012908576

Stochastic Portfolio Theory and the Low Beta Anomaly

Agapova, Anna - 2018

LBAs are due to stocks' differential growth rates, because the tested portfolios are traded. Stochastic Portfolio Theory …

Persistent link: https://www.econbiz.de/10012909054

Countercyclical Stockholders' Consumption Risk and Tests of Conditional CCAPM

Elkamhi, Redouane - 2019

Heterogeneous-agents asset pricing theories imply that stockholders' consumption has the first-order effect on equity premium. Motivated by these theories, we evaluate the performance of the conditional CCAPM in explaining time-variation in market returns and cross-sectional variation in...

Persistent link: https://www.econbiz.de/10012890965

Instantaneous Arbitrage and the CAPM

Nielsen, Lars Tyge - 2019

This paper studies the concept of instantaneous arbitrage in continuous time and its relation to the instantaneous CAPM …. Absence of instantaneous arbitrage is equivalent to the existence of a trading strategy which satisfies the CAPM beta pricing … relation in place of the market. Thus the difference between the arbitrage argument and the CAPM argument in Black and Scholes …

Persistent link: https://www.econbiz.de/10012894845

Beta Risk in the Cross-Section of Equities

Boloor, Ali - 2019

We develop a continuous-time intertemporal CAPM model that allows for risky beta exposure, which we explicitly specify …

Persistent link: https://www.econbiz.de/10012899147

Fixed Income Asset Pricing in Europe and the US : Extending the Elton et al. (1995) Four-Factor Model

Hoepner, Andreas G. F. - 2018

This paper is enhancing the four-factor fixed income asset pricing model initially developed by Elton et al. (1995). Progress into fixed income asset pricing has been slow, and there is still no consensus of which combinations of bond indexes are most suitable for explaining the returns of fixed...

Persistent link: https://www.econbiz.de/10012935129

Asset Pricing Under Prior-Induced Beta Uncertainty

Hu, Shuting (Sophia) - 2018

We show theoretically that when Bayesian investors face time-series uncertainty about assets' risk exposures, differences in their priors affect the pricing of risk in the cross-section: different priors for the same asset can generate differences in perceived risk exposures, and thereby...

Persistent link: https://www.econbiz.de/10012935196

Disagreement Beta

Gao, George - 2018

When two investors agree to disagree on market prospects and bet against each other, both expect to profit from their trades. Hence, an increase in disagreement leads to higher perceived trading profits and lower marginal utilities for both investors, so disagreement betas can affect...

Persistent link: https://www.econbiz.de/10012936009