Results 31 to 40 of about 2,183,821 (353)
Leverage and asset prices: An experiment [PDF]
Journal of Economic Behavior & Organization, 2012 Abstract We develop a model of leverage that is amenable to laboratory implementation and gather experimental data. We compare two economies that only differ in one dimension: in one economy, agents cannot borrow; in the other, they can leverage a risky asset to issue debt. Leverage increases asset prices in the laboratory.
Marco Cipriani +2 more
openaire +4 more sources
Noncausality and asset pricing [PDF]
Studies in Nonlinear Dynamics and Econometrics, 2011 Summary: Misspecification of agents' information sets or expectation formation mechanisms may lead to noncausal autoregressive representations of asset prices. Within the class of linear (vector) autoregressions, annual US stock prices are found to be best described by noncausal models, implying that agents' expectations are not revealed to an outside ...
openaire +3 more sources
, 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
openaire +2 more sources
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
doaj +1 more source
Inflation and Asset Prices [PDF]
SSRN Electronic Journal, 2011 Changes in the general level of prices and inflation have profound effects on asset prices. There are several reasons for these effects and the influence differs depending on the source of the inflation and whether it is expected or not. To understand these effects it is important to clarify what is meant by inflation, the pure theory of the sources ...
openaire +2 more sources
Disaster Resilience and Asset Prices [PDF]
SSRN Electronic Journal, 2020 This paper investigates whether security markets price the effect of social distancing on firms' operations. We document that firms that are more resilient to social distancing significantly outperformed those with lower resilience during the COVID-19 outbreak, even after controlling for the standard risk factors.
Marco Pagano +2 more
openaire +5 more sources
Emprical Validity of Asset pricing models in Iran's Stock Market: Application of Optimal Significance Level and Equal Probability Test [PDF]
مدلسازی اقتصادسنجی, 2018 One of the most usage of evaluating Empirical Validity of Asset-pricing Models is GRS test. In this paper we implement the GRS test for CAPM and Fama-French 3-factor asset pricing models with explicit consideration of statistical power, by employing the ...
Reza Talebloo +2 more
doaj +1 more source
Asset Prices and Asset Quantities [PDF]
Journal of the European Economic Association, 2007 We propose an organizing framework that determines asset prices by equating household sector asset demand derived from an economic model to the observed supply of assets provided by other sectors. We then use a specific model of household asset demand to decompose historical changes in asset positions into changes in new asset supply and household ...
Monika Piazzesi, Martin Schneider
openaire +1 more source
MathematicsHumans face environmental deterioration. Scholars have identified carbon dioxide as one of the culprits, and they emphasize carbon offset. Researchers are investigating carbon offset investments.
Yue Qi +3 more
doaj +1 more source
Asset price volatility and price extrema
Discrete and Continuous Dynamical Systems - B, 2020 The relationship between price volatilty and a market extremum is examined using a fundamental economics model of supply and demand. By examining randomness through a microeconomic setting, we obtain the implications of randomness in the supply and demand, rather than assuming that price has randomness on an empirical basis.
Caginalp, Carey, Caginalp, Gunduz
openaire +4 more sources