Results 261 to 270 of about 22,369 (310)
Some of the next articles are maybe not open access.
SSRN Electronic Journal, 2020
Climate change is one of the biggest economic challenges of our time. Given the scale of the problem, the question of whether a carbon tax should be introduced is hotly debated in policy circles. This paper studies the optimal design of a carbon tax when environmental factors, such as air carbon dioxide emissions (CO2), directly affect agents' marginal
Benmir, Ghassane +2 more
openaire +2 more sources
Climate change is one of the biggest economic challenges of our time. Given the scale of the problem, the question of whether a carbon tax should be introduced is hotly debated in policy circles. This paper studies the optimal design of a carbon tax when environmental factors, such as air carbon dioxide emissions (CO2), directly affect agents' marginal
Benmir, Ghassane +2 more
openaire +2 more sources
SSRN Electronic Journal, 2018
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Kai Li, Jun Liu
openaire +1 more source
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Kai Li, Jun Liu
openaire +1 more source
SSRN Electronic Journal, 2013
We investigate intermediary asset pricing theories empirically and find strong support for models that have intermediary leverage as the relevant state variable. A parsimonious model that uses de-trended dealer leverage as a price-of-risk variable, and innovations to dealer leverage as a pricing factor, is shown to perform well in time series and cross-
Adrian, Tobias +2 more
openaire +2 more sources
We investigate intermediary asset pricing theories empirically and find strong support for models that have intermediary leverage as the relevant state variable. A parsimonious model that uses de-trended dealer leverage as a price-of-risk variable, and innovations to dealer leverage as a pricing factor, is shown to perform well in time series and cross-
Adrian, Tobias +2 more
openaire +2 more sources
, 2011 This article compares two leading models of asset pricing: the capital asset pricing model (CAPM) and the arbitrage pricing theory (APT): I argue that while the APT is compatible with the data available for testing theories of asset pricing, the CAPM is not.
openaire +1 more source
Price impact and asset pricing
Journal of Financial Markets, 2013Using intradaily order flows processed via the Lee and Ready (1991) algorithm for NYSE/AMEX-listed stocks over the past 27 years, I estimate a set of price-impact parameters. The results provide strong evidence that price impact is priced in the cross-section of stock returns, even after controlling for risk factors, firm characteristics, and other low-
openaire +1 more source
Arbitrage Pricing, Capital Asset Pricing, and Agricultural Assets
American Journal of Agricultural Economics, 1988AbstractA new asset pricing model, the arbitrage pricing theory, has been developed as an alternative to the capital asset pricing model. The arbitrage pricing theory model is used to analyze the relationship between risk and return for agricultural assets. The major conclusion is that the arbitrage pricing theory results support previous capital asset
Louise M. Arthur +2 more
openaire +2 more sources
Autoencoder Asset Pricing Models
SSRN Electronic Journal, 2019zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Gu, Shihao, Kelly, Bryan, Xiu, Dacheng
openaire +1 more source
Heterogeneous intermediary asset pricing
Journal of Financial Economics, 2018I show that the composition of the financial sector has important asset pricing implications beyond the health of the aggregate financial sector. To assess the impact of massive balance sheet adjustments within the intermediary sector during the Great Recession and resolve conflicting asset pricing evidence, I propose a dynamic asset pricing model with
openaire +1 more source
ASSET PRICING THEORY ASSET PRICING THEORY
2020Kutsoati, Theresa, Kutsoati, Marian
openaire +1 more source