Results 111 to 120 of about 204,844 (307)
A Skeptical Appraisal of Asset-Pricing Tests [PDF]
It has become standard practice in the cross-sectional asset-pricing literature to evaluate models based on how well they explain average returns on size- and B/M-sorted portfolios, something many models seem to do remarkably well.
Jay Shanken +2 more
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A Parsimonious Macroeconomic Model for Asset Pricing [PDF]
, 2009 I study asset prices in a two-agent macroeconomic model with two key features: limited stock market participation and heterogeneity in the elasticity of intertemporal substitution in consumption (EIS). The model is consistent with some prominent features of asset prices, such as a high equity premium; relatively smooth interest rates; procyclical stock
openaire +3 more sources
Agribusiness, EarlyView.Abstract This study examines producer participation choices considering a variety of potential benefits linked to state‐sponsored marketing programs, using a real choice dataset of farmers in Missouri. Multinomial logit models are employed to predict determinants of farmer enrollment in three tiers of the Missouri Grown local food marketing program ...
Lan Tran, Ye Su, Laura McCann
wiley +1 more source
Agribusiness, EarlyView.Abstract This study explores the rent price ratio in agricultural land markets, crucial for evaluating market efficiency, policy needs, and farmer decision‐making. Traditionally, the analyses faced challenges due to the absence of concurrent sale and rent data for the same land, potentially leading to biased results.
Marius Michels +4 more
wiley +1 more source
Optimal Design of Multi-Asset Options
RisksThe combination of stochastic derivative pricing models and downside risk measures often leads to the paradox (risk, return) = (−infinity, +infinity) in a portfolio choice problem. The construction of a portfolio of derivatives with high expected returns
Alejandro Balbás +2 more
doaj +1 more source
Agribusiness, EarlyView.ABSTRACT This study aims to explore the influence of Wine Tourism (WT) on the Sustainable Performance (SP) of wineries in Spain. It particularly investigates how Corporate Social Legitimacy (CSL) and Green Innovation (GI) may act as intermediary factors in this relationship.
Javier Martínez‐Falcó +3 more
wiley +1 more source
REGE Revista de Gestão, 2005 This study analyzed the Capital Asset Pricing Model CAPM as well as the Downside Capital Asset Pricing Model D-CAPM and evaluated the latter as an efficient alternative asset pricing model.
Felipe Dias Paiva
doaj
Jump risk, time-varying risk premia, and technical trading profits [PDF]
In this paper we investigate the recently documented trading profits based on technical trading rules in an asset pricing framework that incorporates jump risk and time-varying risk premia.
Chenyang Feng, Stephen D. Smith
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The Relationship Between Interest Rates and Agricultural Commodity Price Dynamics
Agribusiness, EarlyView.ABSTRACT The U.S. Federal Reserve has undertaken several interest rate interventions in the past decade. This study explores the relationship between U.S. corn and soybean prices and Federal Reserve monetary policy interventions, in the short and long run.
Zhining Sun, Ani L. Katchova
wiley +1 more source
Idiosyncratic Volatility Matter? New Zealand Evidence [PDF]
Standard asset pricing models ignore idiosyncratic risk. In this study we examine if stock idiosyncratic or unique risk affects returns for New Zealand stocks using the factor portfolio mimicking approach of Fama and French (1993, 1996). We find evidence
Alastair Marsden +2 more
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