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Model Complexity, Expectations, and Asset Prices [PDF]
Review of Economic Studies, 2021 Abstract This paper analyses how limits to the complexity of statistical models used by market participants can shape asset prices. We consider an economy in which the stochastic process that governs the evolution of economic variables may not have a simple representation, and yet, agents are only capable of entertaining statistical ...
Molavi, Pooya +2 more
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Consumption-based macroeconomic models of asset pricing theory [PDF]
Ekonomski Anali, 2016 The family of consumptionbased asset pricing models yields a stochastic discount factor proportional to the marginal rate of intertemporal substitution of consumption.
Đorđević Marija
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Asset Pricing Theories, Models, and Tests [PDF]
, 2013 An important but still partially unanswered question in the investment field is why different assets earn substantially different returns on average.
Gospodinov, N, Robotti, C
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A mathematical model for asset pricing
Applied Mathematics and Computation, 2011 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Hüseyin Merdan, M. Alisen
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BIBLIOMETRIC ANALYSIS OF SHARIAH COMPLIANT CAPITAL ASSET PRICING MODELS
Journal of Islamic Monetary Economics and Finance, 2023 This study conducts a bibliometric analysis of the literature on shariah compliant asset pricing based on Scopus-indexed publications. The data on publications are collected employing a search string encompassing various keywords related to Islamic ...
Nihal Touti, Asmâa Alaoui Taïb
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Nonparametric identification of positive eigenfunctions [PDF]
, 2014 Important features of certain economic models may be revealed by studying positive eigenfunctions of appropriately chosen linear operators. Examples include long-run risk-return relationships in dynamic asset pricing models and components of marginal ...
Christensen, Timothy
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Identifying outliers in asset pricing data with a new weighted forward search estimator
Revista Contabilidade & Finanças, 2020 The purpose of this work is to present the Weighted Forward Search (FSW) method for the detection of outliers in asset pricing data. This new estimator, which is based on an algorithm that downweights the most anomalous observations of the dataset, is ...
Alexandre Aronne +2 more
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Developing "Multifactor Asset Pricing Models" Using Threshold Regression Approach and Credit Risk Factor [PDF]
تحقیقات مالیObjective This study aims to develop threshold asset pricing models to enhance the performance of common multi-factor models. Over the past thirty years, asset pricing models have evolved by incorporating pricing anomalies as new factors that previous ...
Hadi Gharehbaghii, Mahmoud Botshekan
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Relative Entropy and Minimum-Variance Pricing Kernel in Asset Pricing Model Evaluation
Entropy, 2020 Recent literature shows that many testing procedures used to evaluate asset pricing models result in spurious rejection probabilities. Model misspecification, the strong factor structure of test assets, or skewed test statistics largely explain this.
Javier Rojo-Suárez +1 more
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Econometric Evaluation of Asset Pricing Models [PDF]
Review of Financial Studies, 1995 In this paper we provide econometric tools for the evaluation of intertemporal asset pricing models using specification-error and volatility bounds. We formulate analog estimators of these bounds, give conditions for consistency and derive the limiting distribution of these estimators.
Hansen, Lars Peter +2 more
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