Results 91 to 100 of about 15,441 (215)

ASSET PRICING, MARKET INTEGRATION, AND CONTAGION: A BIBLIOMETRIC PERSPECTIVE [PDF]

Analele Universităţii Constantin Brâncuşi din Târgu Jiu : Seria Economie
This paper provides a comprehensive bibliometric analysis of the existing literature concerning the broader asset pricing literature, with a particular focus on the topics of market integration, financial contagion, risk transmission, and ...
BUDRIȘ CRISTIAN-ANDREI
doaj  

Estimating Asset Pricing Models in the Presence of Cross-Sectionally Correlated Pricing Errors

Mathematics
In this study, we propose an adversarial learning approach to the asset pricing model estimation problem which aims to find estimates of factors and loadings that capture time-series covariations while minimizing the worst-case cross-sectional pricing ...
Hyuksoo Kim, Saejoon Kim
doaj   +1 more source

Test of Multi-moment Capital Asset Pricing Model: Evidence from Karachi Stock Exchange [PDF]

This study examines the Capital Asset Pricing Model of Sharpe (1964) Lintner (1965) and Black (1972) as the benchmark model in the asset pricing theory.
Attiya Y. Javid, Eatzaz Ahmad
core  

Nonparametric estimation of conditional beta pricing models [PDF]

, 2008
We propose a new procedure to estimate and test conditional beta pricing models which allows for flexibility in the dynamics of assets' covariances with risk factors and market prices of risk (MPR).
Orbe, Susan, Ferreira, Eva, Gil-Bazo, Javier   +2 more
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Asset pricing, habit memory, and the labor market [PDF]

This article studies the asset pricing and the business cycle implications of habit formation in a production economy with capital adjustment costs and endogenous labor supply. A specification of internal habit in the mix of consumption and leisure which
Jaccard, Ivan
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On the Interpretation of Price Adjustments and Demand in Asset Pricing Models with Mean-Variance Optimization [PDF]

With reference to the class of asset pricing models with a market maker and mean-variance optimization of speculative agents, the note seeks to clarify the concepts behind the price adjustment rule, which are often treated somewhat carelessly in this ...
Franke, Reiner
core  

Asset Pricing in Small Sized Developed Markets [PDF]

, 2013
Asset pricing as a subject is a quest to rationalize different prices associated with different assets that are on offer in financial markets. It does so, using a set of assumptions to mathematically model investors’ behavior, over a set of alternative ...
Butt, Hilal Anwar
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Production Based Asset Pricing [PDF]

This paper exploits producer's first order conditions to link asset prices to data on investment, output, etc. through marginal rates of transformation, just as consumer's first order conditions are commonly used to link asset prices to consumption data ...
John H. Cochrane
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Essays on Asset Pricing Anomalies, Information Flow and Risk [PDF]

, 2016
Asset pricing models provide investors with a relation between risk and expected returns. Higher risk levels should be linked to higher expected returns.
Haga, Jesper
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Infinitely many securities and the fundamental theorem of asset pricing [PDF]

Several authors have pointed out the possible absence of martingale measures for static arbitrage-free markets with an infinite number of available securities.
Anna Downarowicz, Alejandro Balbas
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