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A simple asset pricing model with heterogeneous agents, uninsurable labor income and limited stock market participation
Ahn, Seryoong; Choi, Kyoung Jin; Koo, Hyeng-keun - In: Journal of banking & finance 55 (2015), pp. 9-22
Persistent link: https://www.econbiz.de/10011377843
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Asset pricing of financial institutions : the cross-section of expected stock returns in the property/liability insurance industry
Ben Ammar, Semir; Eling, Martin; Milidonis, Andreas - 2015
from 1988 to 2015. We find that state-of-the-art models such as the Fama and French (2015) five-factor model cannot explain … can explain the cross-section of property/liability insurance-stock returns better than competing models. The priced …
Persistent link: https://www.econbiz.de/10011345060
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Essays on asset pricing and portfolio optimization
Koeppel, Christian - 2021
role in sentiment-augmented asset pricing models for international equity indices. We empirically demonstrate the existence …
Persistent link: https://www.econbiz.de/10012651028
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Navigating the factor zoo around the world : an institutional investor perspective
Bartram, Söhnke M.; Lohre, Harald; Pope, Peter F.; … - In: Journal of business economics : JBE 91 (2021) 5, pp. 655-703
Persistent link: https://www.econbiz.de/10012588809
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Comovement and return predictability in asset markets : an experiment with two Lucas trees
Noussair, Charles; Popescu, Andreea Victoria - In: Journal of economic behavior & organization : JEBO 185 (2021), pp. 671-687
Persistent link: https://www.econbiz.de/10012601339
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Theoretical asset pricing under behavioral decision making
Vries, Martijn Alexander de - 2022
Persistent link: https://www.econbiz.de/10013263004
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Congation and return predictabiity in asset markets : an experiment with two Lucas trees
Noussair, Charles; Popescu, Andreea Victoria - 2020
Persistent link: https://www.econbiz.de/10012227958
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Rationality and asset prices under belief heterogeneity
Giachini, Daniele - 2018
In this paper I study the relationship between rationality and asset prices when agents have heterogeneous and incorrect beliefs about future events. Using the fully rational pricing as a benchmark, I show that when agents behave according to the Subjective Generalized Kelly rule (Bottazzi et...
Persistent link: https://www.econbiz.de/10011805975
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Return comovement
Parsley, David C.; Popper, Helen Ann - 2017
Persistent link: https://www.econbiz.de/10012201567
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Behavioural asset pricing : a review
Nanayakkara, N. S.; Pulukkuttige Don Nimal; Banda, Y. … - In: International journal of economics and financial issues … 9 (2019) 4, pp. 101-108
Persistent link: https://www.econbiz.de/10012150122