Results 31 to 40 of about 78,464 (44)
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Machine Learning for Continuous-Time Finance
Social Science Research NetworkWe develop an algorithm for solving a large class of nonlinear high-dimensional continuous-time models in finance. We approximate value and policy functions using deep learning and show that a combination of automatic differentiation and Ito’s lemma ...
Victor F. Duarte +2 more
semanticscholar +1 more source
Hazard Stocks and Expected Returns: JEL classification:G10, G11, G12
, 2021Jared DeLisle +3 more
semanticscholar +1 more source
News and Asset Pricing: A High-Frequency Anatomy of the SDF
The Review of financial studiesUtilizing real-time newswire data, together with a robustly estimated intraday stochastic discount factor (SDF), we identify and quantify the economic news that is priced.
Saketh Aleti, Tim Bollerslev
semanticscholar +1 more source
Beliefs about the Stock Market and Investment Choices: Evidence from a Survey and a Field Experiment
The Review of financial studiesWe survey retail investors at an online bank to study how beliefs about the autocorrelation of aggregate stock returns shape investment decisions measured in administrative account data.
Christine Laudenbach +3 more
semanticscholar +1 more source
Valuing Long-Term Property Rights with Anticipated Political Regime Shifts
The American Economic ReviewWe identify exposure to political risk by exploiting a unique variation around land lease extension protection after 2047 in Hong Kong’s housing market due to historical arrangements. Relative to properties that have been promised an extension protection,
Zhiguo He +3 more
semanticscholar +1 more source
The Review of financial studies
Fractional trading (FT)—the ability to trade less than a whole share—removes barriers to high-priced stocks and facilitates entry by capital-constrained retail investors.
Zhi Da, Vivian W Fang, Wenwei Lin
semanticscholar +1 more source
Fractional trading (FT)—the ability to trade less than a whole share—removes barriers to high-priced stocks and facilitates entry by capital-constrained retail investors.
Zhi Da, Vivian W Fang, Wenwei Lin
semanticscholar +1 more source
The Effects of Macroeconomic Shocks: Household Financial Distress Matters
The Review of financial studiesWhen a macroeconomic shock arrives, variation in household balance sheet health (captured by the presence of financial distress, or “FD”) leads to differential access to credit and hence a distribution in consumption responses.
José Mustre-del-Ŕıo +3 more
semanticscholar +1 more source
Equity Return Predictability with the ICAPM
Review of Asset Pricing StudiesThis paper highlights a positive and significant beta-return relationship in high expected market return states, as suggested by the ICAPM. The ICAPM has strong out-of-sample predictive power for equity returns.
Michael Hasler, Charles Martineau
semanticscholar +1 more source
Consumer Confidence and Asset Prices: Some Empirical Evidence
, 2002M. Lemmon, Evgenia V. Golubeva
semanticscholar +1 more source