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Recursive portfolio selection with decision trees

Andriyashin, Anton (contributor); … - 2008

A great proportion of stock dynamics can be explained using publicly available information. The relationship between dynamics and public information may be of nonlinear character. In this paper we offer an approach to stock picking by employing so-called decision trees and applying them to XETRA...

Persistent link: https://www.econbiz.de/10003636039

An overreaction implementation of the coherent market hypothesis and option pricing

Schöbel, Rainer (contributor); Veith, Jochen (contributor) - 2006

Inspired by the theory of social imitation (Weidlich 1970) and its adaptation to financial markets by the Coherent …

Persistent link: https://www.econbiz.de/10003636657

Expected inflation, expected stock returns, and money illusion : what can we learn from survey expectations?

Schmeling, Maik (contributor); Schrimpf, Andreas (contributor) - 2008

We show empirically that survey-based measures of expected inflation are significant and strong predictors of future aggregate stock returns in several industrialized countries both in-sample and out-of-sample. By empirically discriminating between competing sources of this return predictability...

Persistent link: https://www.econbiz.de/10003727414

On equilibrium prices in continuous time

Martins-da-Rocha, Victor Filipe (contributor); … - 2008

We combine general equilibrium theory and théorie générale of stochastic processes to derive structural results about … equilibrium state prices. -- General equilibrium ; Continuous-time finance ; Théorie générale of stochastic processes ; Asset …

Persistent link: https://www.econbiz.de/10003729456

Excess returns and the distinguished player paradox

Blonski, Matthias (contributor); … - 2008

distinguished player if he also can trade shares of the firm on a market. Arbitrage-free asset pricing theory suggests that the … hypothesis. It further involves a substantial reinterpretation of traditional no-arbitrage towards a game-theoretic understanding … behavior. -- excess returns ; underpricing ; no-arbitrage ; asset pricing ; corporate finance …

Persistent link: https://www.econbiz.de/10003776197

The factor-spline-GARCH model for high and low frequency correlations

Rangel, Jose Gonzalo; Engle, Robert F. - 2009

We propose a new approach to model high and low frequency components of equity correlations. Our framework combines a factor asset pricing structure with other specifications capturing dynamic properties of volatilities and covariances between a single common factor and idiosyncratic returns....

Persistent link: https://www.econbiz.de/10003821063

Dynamic trading and asset prices : Keynes vs. Hayek

Cespa, Giovanni; Vives, Xavier - 2009

We investigate the dynamics of prices, information and expectations in a competitive, noisy, dynamic asset pricing equilibrium model. We show that prices are farther away from (closer to) fundamentals compared with average expectations if and only if traders over- (under-) rely on public...

Persistent link: https://www.econbiz.de/10003897551

Shape invariant modelling pricing kernels and risk aversion

Grith, Maria; Härdle, Wolfgang; Park, Juhyun - 2009

Pricing kernels play a major role in quantifying risk aversion and investors' preferences. Several empirical studies reported that pricing kernels exhibit a common pattern across different markets. Mostly visual inspection and occasionally numerically summarise are used to make comparison. With...

Persistent link: https://www.econbiz.de/10003871796

Systematic mispricing in European equity prices?

Berneburg, Marian (contributor) - 2007

One empirical argument that has been around for some time and that clearly contra- dicts equity market efficiency is that market prices seem too volatile to be optimal estimates of the present value of future discounted cash flows. Based on this, it is deduced that systematic pricing errors...

Persistent link: https://www.econbiz.de/10003482498

Agent-based financial markets and New Keynesian macroeconomics :a synthesis

Lengnick, Matthias; Wohltmann, Hans-Werner - 2010

We combine a simple agent-based model of financial markets with a standard New Keynesian macroeconomic model via two straightforward channels. The result is a macroeconomic model that allows for the endogenous development of stock price bubbles. Even with such a simplistic comprehensive model,...

Persistent link: https://www.econbiz.de/10008696723