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An Adjustment Cost Model of Asset Pricing
International Economic Review, 1987An intertemporal asset-pricing model is constructed incorporating an explicit adjustment-cost technology. The capital stock can be altered by investment, but there are adjustment costs whi ch lower the marginal return of investment. In a model involving an i nfinitely-lived representative agent, it is shown how changes in adju stment costs influence ...
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Capital Asset Pricing Model & Adjusted Capital Asset Pricing Model
SSRN Electronic Journal, 2010Capital Asset Pricing Model, as one of the basic theories in finance and investment area, developed a model for estimation of expected rate of return and equity cost of capital. This model has many applications in the field of finance. Investors consider to various factors to choose and buy stocks. One of the most important factors is liquidity.
Ahmad Khalife Soltani +2 more
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A Review of Capital Asset Pricing Models
SSRN Electronic Journal, 2004PurposeThe main aspect of security analysis is its valuation through a relationship between the security return and the associated risk. The purpose of this paper is to review the traditional capital asset pricing model (CAPM) and its variants adopted in empirical investigations of asset pricing.Design/methodology/approachPricing models are discussed ...
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HEAT KERNEL MODELS FOR ASSET PRICING
International Journal of Theoretical and Applied Finance, 2014A heat kernel approach is proposed for the development of a novel method for asset pricing over a finite time horizon. We work in an incomplete market setting and assume the existence of a pricing kernel that determines the prices of financial instruments. The pricing kernel is modeled by a weighted heat kernel driven by a multivariate Markov process.
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What Do Asset Pricing Models Say About Asset Prices?
SSRN Electronic Journal, 2012This paper introduces a new non-parametric procedure -- the empirical projection method -- for solving structural models. The method is an alternative to value-function iteration or similar methods, but has the crucial advantage that it requires no distributional assumptions for the random variables in the model. The procedure is complementary to GMM --
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A Multiperiod Equilibrium Asset Pricing Model
Econometrica, 1978Stapleton, R C, Subrahmanyam, Marti G
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Risk Premium: Capital Asset Pricing Model and Asset Pricing Theory
2003If stocks are priced rationally, systematic differences in average returns are due to differences in risk. Fama and French (1995)
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