Results 261 to 270 of about 204,844 (307)
Some of the next articles are maybe not open access.
SSRN Electronic Journal, 2010
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 K. HHrdle
openaire +1 more source
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 K. HHrdle
openaire +1 more source
Testing Habits in an Asset Pricing Model [PDF]
SSRN Electronic Journal, 2010 We develop an asset pricing model with external habit formation. The model predicts that the effect of consumption shocks on the equity premium depends on the business cycle. We test this empirical implication using a VAR model of the U.S. postwar economy whose parameters are estimated conditioning on Markov-switching regimes that shift according to ...
Melisso Boschi +2 more
openaire +1 more source
The Use of Asset Growth in Empirical Asset Pricing Models
SSRN Electronic Journal, 2017We show that the performance of the new factor models of Hou, Xue, and Zhang (2015) and Fama and French (2015) depends crucially on how their investment factor is constructed. Both models use growth in total assets to measure investment. Their ability to price the cross-section of returns decreases significantly when the investment factor is ...
Michael Cooper, Huseyin Gulen, Mihai Ion
openaire +1 more source
Affect in a Behavioral Asset-Pricing Model
Financial Analysts Journal, 2008Stocks, like houses, cars, watches and most other products exude affect, good or bad, beautiful or ugly, admired or despised. Affect plays a role in pricing models of houses, cars and watches but, according to standard financial theory, affect plays no role in pricing of financial assets.
Meir Statman +2 more
openaire +1 more source
2014
Consider investing a current value of V0 for T periods at the compound periodic rate of r. The future value of the initial investment is given simply by the following: (1.1) .
openaire +2 more sources
Consider investing a current value of V0 for T periods at the compound periodic rate of r. The future value of the initial investment is given simply by the following: (1.1) .
openaire +2 more sources
An Asset Price Model of Aggregate Investment
International Economic Review, 1975IN A RECENT BOOK AND articles, one of the present authors and Miguel Sidrauski [6, 7] have studied a macroeconomic growth model which explicitly includes monetary and fiscal policy tools as distinct parameters. One of the basic ideas of this work was to follow out rigorously an account of the volume of investment originated by Keynes [14], Witte [18 ...
Engle, Robert F, Foley, Duncan K
openaire +1 more source
1987
Two general approaches to the problem of valuing assets under uncertainty may be distinguished. The first approach relies on arbitrage arguments of one kind or another, while under the second approach equilibrium asset prices are obtained by equating endogenously determined asset demands to asset supplies, which are typically taken as exogenous ...
openaire +1 more source
Two general approaches to the problem of valuing assets under uncertainty may be distinguished. The first approach relies on arbitrage arguments of one kind or another, while under the second approach equilibrium asset prices are obtained by equating endogenously determined asset demands to asset supplies, which are typically taken as exogenous ...
openaire +1 more source
2009
This chapter firstly provides a comprehensive review the modern portfolio theory bases including, in particular, investor’s choice, portfolio diversification, and the market model. Then, two most widely used asset pricing models, the CAPM and the APT, are presented.
Mohamed El Hedi Arouri +2 more
openaire +1 more source
This chapter firstly provides a comprehensive review the modern portfolio theory bases including, in particular, investor’s choice, portfolio diversification, and the market model. Then, two most widely used asset pricing models, the CAPM and the APT, are presented.
Mohamed El Hedi Arouri +2 more
openaire +1 more source
An Intertemporal Capital Asset Pricing Model
Econometrica, 1973Summary: An intertemporal model for the capital market is deduced from the portfolio selection behavior by an arbitrary number of investors who act so as to maximize the expected utility of lifetime consumption and who can trade continuously in time.
openaire +1 more source
Equilibrium Models With Singular Asset Prices
Mathematical Finance, 1991General equilibrium models in which economic agents have finite marginal utility from consumption at the origin lead to financial assets having continuous prices with singular components. In particular, there is no bona fide “interest rate” in such models, although asset prices can be determined by equilibrium considerations (and uniquely, up to the ...
Karatzas, Ioannis +2 more
openaire +1 more source