Results 371 to 380 of about 2,240,235 (392)
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Annual Review of Financial Economics, 2015
This article reviews the theoretical literature on asset price bubbles, with an emphasis on the martingale theory of bubbles. The key questions studied are as follows: First, under what conditions can asset price bubbles exist in an economy? Second, if bubbles exist, what are the implications for the pricing of derivatives on the bubble-laden asset ...
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This article reviews the theoretical literature on asset price bubbles, with an emphasis on the martingale theory of bubbles. The key questions studied are as follows: First, under what conditions can asset price bubbles exist in an economy? Second, if bubbles exist, what are the implications for the pricing of derivatives on the bubble-laden asset ...
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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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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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The capital asset pricing model: a critical literature review
, 2016What is the relationship between the risk and expected return of an investment? The capital asset pricing model (CAPM) provides an initial framework for answering this question.
Matteo Rossi
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The Common Factor in Idiosyncratic Volatility: Quantitative Asset Pricing Implications
, 2014We show that firms׳ idiosyncratic volatility obeys a strong factor structure and that shocks to the common idiosyncratic volatility (CIV) factor are priced.
Bernard Herskovic +3 more
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A Capital Asset Pricing Model with Time-Varying Covariances
Journal of Political Economy, 1988Tim Bollerslev, R. Engle, J. Wooldridge
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2001
Publisher Summary The modeling of the yield curve is a function of the movement in the price of the underlying asset, which, in this case, is the movement in interest rates. Both option valuation models and interest-rate models describe an environment where the price of an option (or the modeling of the yield curve) is related to the behavior process ...
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Publisher Summary The modeling of the yield curve is a function of the movement in the price of the underlying asset, which, in this case, is the movement in interest rates. Both option valuation models and interest-rate models describe an environment where the price of an option (or the modeling of the yield curve) is related to the behavior process ...
openaire +2 more sources