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Asset Prices and Priceless Assets [PDF]
, 2014 Prix des actifs et actifs sans prix Cette thèse étudie plusieurs aspects de la dynamique du rendement des actifs. Les trois premiers chapitres ont pour objet la formation des prix sur le marché de l'art. Le premier chapitre établit que les prix peuvent s'écarter temporairement, et de manière partiellement prévisible, de la valeur ...
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Journal of Statistical Software, 2014 We describe an R package for determining the optimal price of an asset which is perishable in a certain sense, given the intensity of customer arrivals and a time-varying price sensitivity function which speci?es the probability that a customer will ...
Rolf Turner +2 more
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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 ...
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Experimental Research on Asset Pricing [PDF]
SSRN Electronic Journal, 2013 AbstractThis paper discusses some of the literature on asset market behavior. We do not intend this paper to be an exhaustive survey, but rather a review of some of the more influential results and to illustrate to the nonspecialist reader the diversity of topics that have been pursued.
Noussair, C.N., Tucker, S.
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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 ...
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, 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
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Portefeuljebestuur, die kapitaalmarkprysmodel en verwante tegnieke
South African Journal of Business Management, 1990 The importance of risk management in business has long been recognised. The importance, assumptions and limitations of the Capital Asset Pricing Model is generally accepted and an elaborate introduction is therefore not necessary.
J. Van Zyl Smit
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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
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Rational asset pricing bubbles [PDF]
, 1995 This paper provides a fairly systematic study of general economic conditions under which rational asset pricing bubbles may arise in an intertemporal competitive equilibrium framework.
Woodford, Michael, Santos, Manuel S.
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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
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