Results 301 to 310 of about 2,183,821 (353)

Leverage Asset Pricing

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, Moench, Emanuel, Shin, Hyun Song   +2 more
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Price impact and asset pricing

Journal of Financial Markets, 2013
Using 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-
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Variations of the asset prices

Physical Review E, 2001
The empirical established non-Gaussian behavior of asset price fluctuations is studied using an analytical approach. The analysis is based on a nonlinear Fokker-Planck equation with a self-organized feedback-coupling term, devised as a fundamental model for price dynamics.
M, Schulz, S, Trimper, B, Schulz
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Asset pricing theories [PDF]

, 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.
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Asset pricing with endogenous aspirations

Decisions in Economics and Finance, 2001
The authors develop the classical asset pricing analysis assuming that the representative agent of a Lucas's equilibrium model is characterized by an instantaneous utility which is as usual a function of the consumption but which is also affected negatively by a process describing the agent's aspiration. This aspiration is given by a linear combination
ANTONELLI F., BARUCCI E., MANCINO, MARIA ELVIRA   +2 more
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Intermediary Asset Pricing and the Financial Crisis

Annual Review of Financial Economics, 2018
Intermediary asset pricing understands asset prices and risk premia through the lens of frictions in financial intermediation. Perhaps motivated by phenomena in the financial crisis, intermediary asset pricing has been one of the fastest-growing areas of
Zhiguo He, A. Krishnamurthy
semanticscholar   +1 more source

Ageing and Asset Prices

SSRN Electronic Journal, 2010
The paper investigates how ageing will affect asset prices. A small model is used to show that economic and demographic factors drive asset, and in particular house, prices. These factors are estimated in a panel regression framework encompassing BIS real house price data from 22 advanced economies between 1970 and 2009.
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Tax Clienteless and Asset Pricing

The Journal of Finance, 1986
ABSTRACTTaxation of asset returns can create various clientele effects. If every agent is marginal on all assets, no clientele effects arise. If some (but not every) agent is marginal on all assets, there arises a clientele effect in quantities but none in prices.
Dybvig, Philip H, Ross, Stephen A
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Asset Pricing in Economies with Frictions

Econometrica, 1996
Summary: This paper examines how proportional transaction costs, short-sale constraints, and margin requirements affect inferences based on asset return data about intertemporal marginal rates of substitution (IMRSs). It is shown that small transaction costs can greatly reduce the required variability of IMRSs. This suggests that the low variability of
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The arbitrage theory of capital asset pricing

, 1976
S. Ross
semanticscholar   +1 more source