Results 361 to 370 of about 2,240,235 (392)
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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
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, 1992
"Dynamic Asset Pricing Theory" is a textbook for doctoral students and researchers on the theory of asset pricing and portfolio selection in multiperiod settings under uncertainty. The asset pricing results are based on the three increasingly restrictive
D. Duffie
semanticscholar +1 more source
"Dynamic Asset Pricing Theory" is a textbook for doctoral students and researchers on the theory of asset pricing and portfolio selection in multiperiod settings under uncertainty. The asset pricing results are based on the three increasingly restrictive
D. Duffie
semanticscholar +1 more source
The Asset-Pricing Implications of Government Economic Policy Uncertainty
Management Sciences, 2015Using the news-based measure of Baker et al. [Baker SR, Bloom N, Davis SJ 2013 Measuring economic policy uncertainty. Working paper, Stanford University, Stanford, CA] to capture economic policy uncertainty EPU in the United States, we find that EPU ...
Jonathan Brogaard, Andrew Detzel
semanticscholar +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-
Tobias Adrian +3 more
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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-
Tobias Adrian +3 more
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Estimating Latent Asset-Pricing Factors
Journal of Econometrics, 2018We develop an estimator for latent factors in a large-dimensional panel of financial data that can explain expected excess returns. Statistical factor analysis based on Principal Component Analysis (PCA) has problems identifying factors with a small ...
M. Lettau, Markus Pelger
semanticscholar +1 more source
, 2017
The model takes into account the asset’s sensitivity to non-diversifiable risk (also known as systematic risk or market risk), often represented by the quantity beta (β) in the financial industry, as well as the expected return of the market and the ...
T. Severini
semanticscholar +1 more source
The model takes into account the asset’s sensitivity to non-diversifiable risk (also known as systematic risk or market risk), often represented by the quantity beta (β) in the financial industry, as well as the expected return of the market and the ...
T. Severini
semanticscholar +1 more source
Asset Pricing: A Tale of Night and Day
Journal of Financial Economics, 2018The 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 +2 more
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Intermediary Asset Pricing and the Financial Crisis
Annual Review of Financial Economics, 2018Intermediary 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
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Variations of the asset prices
Physical Review E, 2001The 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.
Beatrix M. Schulz +2 more
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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-
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