Asset Pricing with Incomplete Information In a Discrete Time Pure Exchange Economy [PDF]
We study the consumption based asset pricing model in a discrete time pure exchange setting with incomplete information. Incomplete information leads to a filtering problem which agents solve using the Kalman filter.
Prasad Bidarkota, Brice Dupoyet
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Weather Attention in Online Discourse and Price Uncertainty in Agricultural Futures Markets
Agribusiness, EarlyView.ABSTRACT Weather is a central determinant of production risk in agricultural markets, but markets respond not only to weather conditions themselves, but also to how those conditions are noticed, framed, and interpreted in public discourse. In this setting, real‐time online weather discussions may shape price uncertainty by influencing how market ...
Mario A. Ortez +3 more
wiley +1 more source
Human capital-based four-factor asset pricing model: An empirical study from Pakistan. [PDF]
Heliyon, 2023 Khan N, Zada H, Ahmed S, Shah FA, Jan S.
europepmc +1 more source
On the Economic Impact of Modeling Non-Linearities: The Asset Pricing Example [PDF]
We investigate the economic importance of modeling non-linearities in the dynamics of exogenous processes on the implied moments of endogenous variables in the context of the consumption-based asset pricing model. For this purpose, we model the endowment
Prasad Bidarkota
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Economic Impact of Sustainability in Wine Sector: A Systematic Literature Review
Agribusiness, EarlyView.ABSTRACT Sustainability has become a key issue in the wine sector, raising questions about its compatibility with firms' economic performance. Despite growing attention to environmental and social practices, evidence on their economic implications remains fragmented.
Valentina Di Chiara +2 more
wiley +1 more source
Corrigendum to "An augmented capital asset pricing model using new macroeconomic determinants" [Volume 6, Issue 10 (October 2020) e05185]. [PDF]
Heliyon, 2023 Pham CD, Phuoc LT.
europepmc +1 more source
Evaluating Asset Pricing Implications of DSGE Models [PDF]
This paper conducts an econometric evaluation of structural macroeconomic asset pricing models. A one-sector dynamic stochastic general equilibrium model (DSGE) with habit formation and capital adjustment costs is considered.
Kevin L. Reffett, Frank Schorfheide
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The Effect of Sustainability Information on Consumers' Preferences for Fungus‐Resistant Grape Wine
Agribusiness, EarlyView.ABSTRACT The demand for sustainable food production is intensifying the need to reduce the environmental and social impacts of pesticide use in agriculture. In viticulture, where dependence on pesticides is high because grapevines are susceptible to fungal diseases, fungus‐resistant grape varieties (PIWI) offer a promising strategy to reduce chemical ...
Daniel Vecchiato +2 more
wiley +1 more source
The role of vaccination in a model of asset pricing during a pandemic. [PDF]
PLoS One, 2022 Saito Y.
europepmc +1 more source
Asset Pricing with Delayed Consumption Decisions [PDF]
The attempt to match characteristics of asset pricing models such as the risk-free interest rate, equity premium and the Sharpe ratio for models with instantaneous consumption decisions in the context of stochastic growth models has not been very ...
Willi Semmler, Lars Grüne
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