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Risk Premium Factor Valuation Model for Calculating the Equity Market Risk Premium and Estimating S&P 500 Market Values
Hassett, Stephen D. - 2011
associated with Prospect Theory (Kahneman and Tversky, 1979). Since risk free rates had declined so significantly since the early …
Persistent link: https://www.econbiz.de/10013134480
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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
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Value or Growth? Pricing of Idiosyncratic Cash-Flow Risk with Heterogeneous Beliefs
Gallmeyer, Michael F. - 2015
We study a continuous-time pure exchange economy where idiosyncratic cash flow risks are priced via investors' heterogeneous beliefs. Investors perceive idiosyncratic cash flow risks differently through heterogeneous subjective mean growth rates on a firm's cash flow. This impacts equilibrium...
Persistent link: https://www.econbiz.de/10013019887
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The Relative Asset Pricing Model : Toward a Unified Theory of Asset Pricing
Muralidhar, Arun - 2015
Since the development of modern portfolio theory (MPT) in the late 1950s and early 1960s, academics have offered … of the market portfolio and the asset's beta to the market portfolio. Arbitrage pricing theory (APT) suggests that … address specific factors. Prospect theory or behavioral finance (PT) finds that investors do not behave as predicted by MPT …
Persistent link: https://www.econbiz.de/10013032935
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Solution to the Equity Premium Puzzle
Aras, Atilla - 2023
This study provides a solution of the equity premium puzzle. Questioning the validity of the Arrow-Pratt measure of relative risk aversion for detecting the risk behavior of investors under all conditions, a new tool, that is, the sufficiency factor of the model was developed to analyze the risk...
Persistent link: https://www.econbiz.de/10014265470
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Behavioral Finance : An Introduction
Baltussen, Guido - 2011
This survey introduces and reviews the field of behavioral finance. It outlines the traditional finance approach, which builds upon rational acting investors, its assumptions, and its shortcomings. Moreover, it surveys the main findings from psychology and sociology that contrast with this...
Persistent link: https://www.econbiz.de/10013134285
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Liquidity as an Investment Style
Chen, Zhiwu - 2010
We first show that liquidity, as measured by stock turnover or trading volume, is an economically significant investment style that is distinct from traditional investment styles such as size, value/growth, and momentum. We then introduce and examine the performance of several portfolio...
Persistent link: https://www.econbiz.de/10013138291
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Optimal Parameters to Pairs Trading
Temlyakov, Kirill - 2012
Pairs trading is a very common trading strategy, and being able to obtain parameters that tell us when to trade and when to get out is of great importance. In this paper I propose a methodology that can improve the performance of traditional pairs trading strategy. I use stochastic beam search...
Persistent link: https://www.econbiz.de/10013101226
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End the Charade : Replacing the Efficient Frontier with the Efficient Range
Statman, Meir - 2013
Gaps between optimized portfolios produced by mean-variance optimizers and portfolios that investors prefer come from two sources. One is imprecise estimates of mean-variance parameters. The other is investor preferences beyond high expected returns and low risk. We offer the mean-variance...
Persistent link: https://www.econbiz.de/10013085515
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Hierarchical Clustering Based Asset Allocation
Raffinot, Thomas - 2019
A hierarchical clustering based asset allocation method, which uses graph theory and machine learning techniques, is …
Persistent link: https://www.econbiz.de/10012902888