Stock profiling using time-frequency-varying systematic risk measure. [PDF]
Financ Innov, 2023 Mestre R.
europepmc +1 more source
The Futility of Utility: how market dynamics marginalize Adam Smith [PDF]
, 1999 Econometrics is based on the nonempiric notion of utility. Prices, dynamics, and market equilibria are supposed to be derived from utility. Utility is usually treated by economists as a price potential, other times utility rates are treated as ...
McCauley, Joseph L.
core +2 more sources
Housing Collateral, Consumption Insurance and Risk Premia: An Empirical Perpective [PDF]
In a model with housing collateral, the ratio of housing wealth to human wealth shifts the conditional distribution of asset prices and consumption growth.
Hanno Lustig, Stijn Van Nieuwerburgh
core
The Conditional Capital Asset Pricing Model: Evidence from Karachi Stock Exchange [PDF]
This is an attempt to empirically investigate the risk and return relationship of individual stocks traded at Karachi Stock Exchange (KSE), the main equity market in Pakistan. The analysis is based on daily as well as monthly data of 49 companies and KSE
Attiya Y. Javid, Eatzaz Ahmad
core
A Rehabilitation of Stochastic Discount Factor Methodology [PDF]
In a recent Journal of Finance article, Kan and Zhou (1999) find that the 'Stochastic discount factor' methodology using GMM is markedly inferior to traditional maximum likelihood even in a simple test of the static CAPM with i.i.d. normal returns.
John H. Cochrane
core
Conditional autoencoder asset pricing models for the Korean stock market. [PDF]
PLoS One, 2023 Kim E, Cho T, Koo B, Kang HG.
europepmc +1 more source
Herd behavior towards the market index: Evidence from 21 financial markets [PDF]
This paper uses the cross-sectional variance of the betas to study herd behavior towards the market index in major developed and emerging financial markets (categorized as Developed group, Asian group, and Latin American group).
Wang, Daxue
core
Minimum-variance kernels, economic risk premia, and tests of multi-beta models [PDF]
This paper uses minimum-variance (MV) admissible kernels to estimate risk premia associated with economic risk variables and to test multi-beta models.
Cesare Robotti, Pierluigi Balduzzi
core
Determinants of Exchange Rate Practices in the MENA Countries: Some Further Empirical Results [PDF]
, 2009 This paper analyses the determinants of exchange rate practices in 15 MENA countries for the 1977- 2007 period placing special emphasis on structural and macroeconomic explanations.
Daly, Sfia Mohamed, Sami, Mouley
core
Factor investing: A stock selection methodology for the European equity market. [PDF]
Heliyon, 2021 Bermejo R +3 more
europepmc +1 more source