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A Rational Asset Pricing Model for Premiums and Discounts on Closed-End Funds : The Bubble Theory

Jarrow, Robert A. - 2017

theory of asset price bubbles. This is a rational asset pricing model that is shown to be consistent with the existing … research for their resolution. This bubble theory also applies equally well to understanding discounts and premiums on exchange …

Persistent link: https://www.econbiz.de/10012960808

Noise and Deficiency of the Implied Cost of Capital as an Expected Return Proxy

Cheng, Agnes; Fang, Jing - 2022

Because stock price generally deviates from the intrinsic value, stock price is a noisy indicator of the intrinsic value. As an expected return proxy, the implied cost of capital (ICC)—the internal rate of return that equates the noisy stock price to discounted expected future dividends—thus...

Persistent link: https://www.econbiz.de/10014361606

Listening to the noise : on price efficiency with dynamic trading

Arnold, Lutz; Russ, David - 2024

This paper shows that, in the canonical dynamic rational expectations equilibrium model, public information about future noise trading is potentially detrimental to contemporaneous price efficiency. Our result supports concerns that social sentiment investing, sparked by growing availability of...

Persistent link: https://www.econbiz.de/10014559283

Dectecting speculative bubbles in stock prices : a new approach and some evidence for the US

Bohl, Martin T.; Siklos, Pierre L. - 2001

Persistent link: https://www.econbiz.de/10001617689

Dectecting speculative bubbles in stock prices : a new approach and some evidence for the US

Bohl, Martin T.; Siklos, Pierre L. - 2001

speculative bubbles and/or noise trading behavior. Our empirical findings for the US stock market covering the 1871:1 - 2000 …

Persistent link: https://www.econbiz.de/10010503717

Are Household Investors Noise Traders : Evidence from Belief Dispersion and Stock Trading Volume

Li, Dan - 2014

We document a robust positive relationship between the belief dispersion about macroeconomic conditions among household investors and the stock market trading volume, using more than 30 years of household survey data and a novel approach to measuring belief dispersions. Notably, such a...

Persistent link: https://www.econbiz.de/10013053896

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

Investor sentiment and stock return volatility : evidence from the Johannesburg Stock Exchange

Rupande, Lorraine; Muguto, Hilary Tinotenda; … - In: Cogent economics & finance 7 (2019) 1, pp. 1-16

risk distribution of financial assets. In conventional financial theory, investors are considered to be rational and any …

Persistent link: https://www.econbiz.de/10012023919

Risk Premia, Asset Price Bubbles, and Monetary Policy

Jarrow, Robert A. - 2019

on prices, risk premia, asset price bubbles, and financial stability. Bubble risk premia arise from an interaction … adjusted risk and bubble risk premia increase. We propose a new framework for monetary policy with respect to bubbles. What …/pessimists). Accommodative policy can lead to a larger fraction of trading constrained agents that disagree, larger bubbles, and increased …

Persistent link: https://www.econbiz.de/10012866817

Levered Noise and the Limits of Arbitrage Pricing : Implications for the Term Structure of Equity Risk Premia

Boguth, Oliver - 2019

We show theoretically and empirically that no-arbitrage pricing magnifies the importance of noise when replication requires offsetting positions with similar fundamentals. This occurs because fundamentals are hedged, while any errors in the underlying asset prices are levered and amplified....

Persistent link: https://www.econbiz.de/10012905818