Results 101 to 110 of about 15,441 (215)
On the Economic Impact of Modeling Non-Linearities: The Asset Pricing Example [PDF]
We investigate the economic importance of modeling non-linearities in the dynamics of exogenous processes on the implied moments of endogenous variables in the context of the consumption-based asset pricing model. For this purpose, we model the endowment
Prasad Bidarkota
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CAPM or APT? A Comparison of Two Asset Pricing Models for Malaysia
Malaysian Management Journal, 1999 This study uses monthly return data on 213 stocks listed on the main board of Kuala Lumpur Stock Exchange, Malaysia for the period September 1988 to June 1997 to compare two frequently cited asset pricing models: the capital asset pricing model, CAPM and
Cung Huck Khoon +2 more
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Asset Pricing with Incomplete Information In a Discrete Time Pure Exchange Economy [PDF]
We study the consumption based asset pricing model in a discrete time pure exchange setting with incomplete information. Incomplete information leads to a filtering problem which agents solve using the Kalman filter.
Prasad Bidarkota, Brice Dupoyet
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Noncausality and Asset Pricing
Misspecification of agents' information sets or expectation formation mechanisms maylead to noncausal autoregressive representations of asset prices. Annual US stock prices are found to be noncausal, implying that agents' expectations are not revealed to
Lof, Matthijs
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Pricing the Global Industry Portfolios [PDF]
We investigate the ability of several international asset pricing models to price the returns on 36 FTSE global industry portfolios. The models are the international capital asset pricing model (ICAPM) the ICAPM with exchange risks, and global two-factor
Moroz Vadim +3 more
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A short note on the problematic concept of excess demand in asset pricing models with mean-variance optimization [PDF]
, 2008 Referring to asset pricing models where demand is proportional to excess returns and said to be derived from a mean-variance optimization problem, the note formulates what probably is common knowledge but hardly ever made an explicit subject of ...
Franke, Reiner
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Variance Swaps and Intertemporal Asset Pricing [PDF]
This paper proposes an ICAPM in which the risk premium embedded in variance swaps is the factor mimicking portfolio for hedging exposure to changes in future investment conditions. Recent empirical evidence shows that the fears by investors to deviations
Belén Nieto +2 more
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Asset Pricing with Idiosyncratic Consumption Risk and Limited Participation [PDF]
A growing body of literature suggests limited asset market participation as a plausible explanation of the empirical failure of the standard consumption capital asset pricing model (CCAPM). Correct identification of capital markets investors is, however,
Andrei Semenov
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ANALISIS SAHAM PT INDOSAT Tbk TERKAIT RENCANA BUY BACK PEMERINTAH
MIX: Jurnal Ilmiah Manajemen, 2015 .The study aims to analyze the value of buyback stock plan related to the acquisition of PT Indosat Tbk (ISAT). Counting reasonable price stock carried method Capital Asset Pricing Models (CAPM), Free Cash Flow to Equity (FCFE), Relative Valuation, and ...
A Zaenal Abidin
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Ambiguity, Information Quality and Asset Pricing [PDF]
When ambiguity averse investors process news of uncertain quality, they act as if they take a worst-case assessment of quality. As a result, they react more strongly to bad news than to good news. They also dislike assets for which information quality is
Larry Epstein, Martin Schneider
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