Results 31 to 40 of about 31,395 (311)
Asset Prices and Asset Correlations in Illiquid Markets [PDF]
SSRN Electronic Journal, 2004 We build a new asset pricing framework to study the effects of aggregate illiquidity on asset prices, volatilities and correlations. The Black-Scholes economy is obtained in our framework as the limiting case of perfectly liquid markets. The model is consistent with empirical studies on the effects of illiquidity on asset returns, volatilities and ...
Alessio Caldarera, Celso Brunetti
openaire +2 more sources
Dissecting anomalies and dynamic human capital: The global evidence
Borsa Istanbul Review, 2018 We argue that the risk of an asset is measured by the covariance of an asset's return with the return on the aggregate market and human capital. The intertemporal and consumption-based CAPM, along with an extended version of CAPM framework examines the ...
Rahul Roy, Santhakumar Shijin
doaj +1 more source
Efficiently Inefficient Markets for Assets and Asset Management [PDF]
SSRN Electronic Journal, 2015 ABSTRACTWe consider a model where investors can invest directly or search for an asset manager, information about assets is costly, and managers charge an endogenous fee. The efficiency of asset prices is linked to the efficiency of the asset management market: if investors can find managers more easily, more money is allocated to active management ...
Nicolae B. Gârleanu, Lasse H. Pedersen
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Asset Trees and Asset Graphs in Financial Markets [PDF]
Physica Scripta, 2003 This paper introduces a new methodology for constructing a network of companies called a dynamic asset graph. This is similar to the dynamic asset tree studied recently, as both are based on correlations between asset returns. However, the new modified methodology does not, in general, lead to a tree but a graph, or several graphs that need not be ...
Onnela, J.-P. +4 more
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A New Set of Financial Instruments
Frontiers in Applied Mathematics and Statistics, 2020 In complete markets there are risky assets and a riskless asset. It is assumed that the riskless asset and the risky asset are traded continuously in time and that the market is frictionless. In this paper, we propose a new method for hedging derivatives
Abootaleb Shirvani +3 more
doaj +1 more source
Emerging Markets Crisis: An Asset Markets Perspective [PDF]
IMF Working Papers, 1999 The entire difference between a mild downturn and a devastating crisis is the occurrence of sharp fire sales of domestic assets and possibly foreign exchange and the ensuing collapse in the balance sheets of both the financial and nonfinancial sector. Why and how do such crises materialize?
Arvind Krishnamurthy +1 more
openaire +2 more sources
Virtual asset market participants
Теорія і практика правознавстваThe relevance of the topic is due to the need to specify the circle of participants in the virtual asset market, since participants are an important element of legal relations in the virtual asset market.
Oleh Kulyk
doaj +1 more source
Borsa Istanbul Review, 2019 This paper investigates the effect of liquidity risk on asset returns in an emerging market, Borsa Istanbul, under the LCAPM framework. The results suggest that including illiquidity betas to the CAPM model contribute the explanation power of systematic ...
Erdinç Altay, Seda Çalgıcı
doaj +1 more source
Market beta coefficient and enterprise risk management: A literature review
Research Papers in Economics and Finance, 2023 One of the significant factors in the valuation of publicly listed firms is their market beta coefficient, commonly utilised in the capital asset pricing model (CAPM) as a proxy for stock volatility directly affecting market value.
Mike Skorupski
doaj +1 more source
Advanced Engineering Materials, EarlyView.This study presents micropleated filters manufactured by needleless electrospinning. Nanofibers are deposited onto uniaxially pre‐stretched substrates that contract upon release, forming densely packed micropleats. This architecture increases effective surface area without enlarging the filter size, achieving quality factors comparable to those of ...
Aleksandr Fadeev +6 more
wiley +1 more source