Results 21 to 25 of about 994,359 (25)
Capital Asset Pricing Model with Size Factor and Normalizing by Volatility Index [PDF]
arXivThe Capital Asset Pricing Model (CAPM) relates a well-diversified stock portfolio to a benchmark portfolio. We insert size effect in CAPM, capturing the observation that small stocks have higher risk and return than large stocks, on average. Dividing stock index returns by the Volatility Index makes them independent and normal.
arxiv
arXiv, 2019 An open market is a subset of an entire equity market composed of a certain fixed number of top capitalization stocks. Though the number of stocks in the open market is fixed, the constituents of the market change over time as each company's rank by its market capitalization fluctuates.
arxiv
Universal bad news principle and pricing of options on dividend-paying assets [PDF]
arXiv, 2004 We solve the pricing problem for perpetual American puts and calls on dividend-paying assets. The dependence of a dividend process on the underlying stochastic factor is fairly general: any non-decreasing function is admissible. The stochastic factor follows a Levy process.
arxiv
Asset Prices with Overlapping Generations and Capital Accumulation: Tirole (1985) Revisited [PDF]
arXivWe revisit the classic paper of Tirole "Asset Bubbles and Overlapping Generations" (1985, Econometrica), which shows that the emergence of asset bubbles solves the capital over-accumulation problem. While Tirole's main insight holds with pure bubbles (assets without dividends), we argue that his original analysis with a dividend-paying asset contains ...
arxiv
Recurrent Stochastic Fluctuations with Financial Speculation [PDF]
arXivThroughout history, many countries have repeatedly experienced large swings in asset prices, which are usually accompanied by large fluctuations in macroeconomic activity. One of the characteristics of the period before major economic fluctuations is the emergence of new financial products; the situation prior to the 2008 financial crisis is a ...
arxiv