Results 341 to 350 of about 2,292,114 (394)

Asset Pricing: A Tale of Night and Day

Journal of Financial Economics, 2018
The capital asset pricing model (CAPM) performs poorly overall, as market risk (beta) is weakly related to 24-hour returns. This is because stock prices behave very differently with respect to their sensitivity to beta when markets are open for trading ...
T. Hendershott, Dmitry Livdan, Dominik Rösch   +2 more
semanticscholar   +1 more source

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
openaire   +2 more sources

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

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.
openaire   +1 more source

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
openaire   +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.
openaire   +2 more sources

Arbitrage Pricing, Capital Asset Pricing, and Agricultural Assets

American Journal of Agricultural Economics, 1988
AbstractA 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, Colin A. Carter, Fay Abizadeh   +2 more
openaire   +2 more sources

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
openaire   +1 more source

AN INTERTEMPORAL CAPITAL ASSET PRICING MODEL

, 1973
R. C. Merton
semanticscholar   +1 more source

A Capital Asset Pricing Model with Time-Varying Covariances

Journal of Political Economy, 1988
Tim Bollerslev, R. Engle, J. Wooldridge
semanticscholar   +1 more source