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Asset Pricing Theories, Models, and Tests [PDF]
, 2013 An important but still partially unanswered question in the investment field is why different assets earn substantially different returns on average.
Gospodinov, N, Robotti, C
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, 2011 As an asset is traded, its varying prices trace out an interesting time series. The price, at least in a general way, reflects some underlying value of the asset. For most basic assets, realistic models of value must involve many variables relating not only to the individual asset, but also to the asset class, the industrial sector(s) of the asset, and
James E. Gentle, Wolfgang Karl Härdle
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Journal of Statistical Software, 2014 We describe an R package for determining the optimal price of an asset which is perishable in a certain sense, given the intensity of customer arrivals and a time-varying price sensitivity function which speci?es the probability that a customer will ...
Rolf Turner +2 more
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Evaluating asset pricing models with limited commitment using household consumption data [PDF]
, 2006 We evaluate the asset pricing implications of a class of models in which risk sharing is imperfect because of the limited enforcement of intertemporal contracts.
Krueger, Dirk +2 more
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Federal Reserve Bank of Dallas, Globalization and Monetary Policy Institute Working Papers, 2011 Financial markets have become increasingly global in recent decades, yet the pricing of internationally traded assets continues to depend strongly upon local risk factors, leading to several observations that are difficult to explain with standard frameworks. Equity returns depend upon both domestic and global risk factors.
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Portefeuljebestuur, die kapitaalmarkprysmodel en verwante tegnieke
South African Journal of Business Management, 1990 The importance of risk management in business has long been recognised. The importance, assumptions and limitations of the Capital Asset Pricing Model is generally accepted and an elaborate introduction is therefore not necessary.
J. Van Zyl Smit
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Comparing Asset Pricing Factor Models under Multivariate t-Distribution: Evidence from China
Discrete Dynamics in Nature and Society, 2021 Factor models provide a cornerstone for understanding financial asset pricing; however, research on China’s stock market risk premia is still limited.
Xi Sun +5 more
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Nonparametric identification of positive eigenfunctions [PDF]
, 2014 Important features of certain economic models may be revealed by studying positive eigenfunctions of appropriately chosen linear operators. Examples include long-run risk-return relationships in dynamic asset pricing models and components of marginal ...
Christensen, Timothy
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Asset Pricing without Garbage [PDF]
SSRN Electronic Journal, 2013 ABSTRACTThis paper provides an explanation for why garbage implies a much lower relative risk aversion in the consumption‐based asset pricing model than National Income and Product Accounts (NIPA) consumption expenditure: Unlike garbage, NIPA consumption is filtered to mitigate measurement error.
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Self-Consistent Asset Pricing Models [PDF]
, 2006 We discuss the foundations of factor or regression models in the light of the self-consistency condition that the market portfolio (and more generally the risk factors) is (are) constituted of the assets whose returns it is (they are) supposed to explain.
Alexander +41 more
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