Results 61 to 70 of about 15,441 (215)
Asset Pricing with Delayed Consumption Decisions [PDF]
The attempt to match characteristics of asset pricing models such as the risk-free interest rate, equity premium and the Sharpe ratio for models with instantaneous consumption decisions in the context of stochastic growth models has not been very ...
Willi Semmler, Lars Grüne
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Persistence in the performance of South African unit trusts
South African Journal of Business Management, 2000 The persistence of performance of the General Equity Unit Trusts and All Unit Trusts that traded in South Africa during the period January 1988 to December 1997 and January 1993 to December 1997, is analysed using three models of performance measurement,
J. F.C. Von Wielligh, E. V.D.M. Smit
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On Stiffness in Affine Asset Pricing Models
SSRN Electronic Journal, 2004 Economic and econometric analysis of continuous-time affine asset pricing models often necessitates solving systems of ordinary differential equations (ODEs) numerically. Explicit Runge-Kutta methods have been suggested to solve these ODEs in both the theoretical finance and financial econometrics literature.
HUANG, Shirley Junying, Yu, Jun
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Testing Multi-Factor Asset Pricing Models in the Visegrad Countries [PDF]
There is no consensus in the literature as to which model should be used to estimate stock returns and the cost of capital in the emerging markets. The Capital Asset Pricing Model (CAPM), which is most often used for this purpose in the developed markets,
Borys, Magdalena Morgese Borys
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Essays on Asset Pricing Models with Jump Processes
, 2017 This dissertation contains four autonomous academic papers on asset pricing models with jump processes, including the studies of equilibrium asset pricing model, option pricing model, and empirical test.
CUI, Xuecan
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Consistency of a method of moments estimator based on numerical solutions to asset pricing models [PDF]
, 1993 This paper considers the properties of estimators based on numerical solutions to a class of economic models. In particular, the numerical methods discussed are those applied in the solution of linear integral equations, specifically Fredholm equations ...
Burnside, C., Craig Burnside, A
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Evaluating Asset-Pricing Models Using The Hansen-Jagannathan Bound: A Monte Carlo Investigation [PDF]
We conduct Monte Carlo experiments to examine whether the bound proposed by Hansen and Jagannathan (1991) is a useful device for evaluating asset pricing models.
Charles H. Whiteman +2 more
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Econometric Evaluation of Asset Pricing Models
, 1996 We provide a brief review of the techniques that are based on the Generalized Method of Moments (GMM) and used for evaluating capital asset pricing models. We first develop the CAPM and multi-beta models and discuss the classical two-stage regression method originally used to evaluate them.
Wayne E. Ferson, Ravi Jagannathan
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Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Models [PDF]
A leading explanation of aggregate stock market behavior suggests that assets are priced as if there were a representative investor whose utility is a power function of the difference between aggregate consumption and a "habit" level, where the habit is ...
Xiaohong Chen, Sydney Ludvigson
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Modeling American Option Switching Model Regime and Oil Derivatives [PDF]
فصلنامه پژوهشهای اقتصادی ایران, 2011 In this paper we are going to model stocks and derivatives markets by means of recent research work that can be used in Iran and explain some of the market shortages.
Abdolsedeh Neisy
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