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[PDF] Top 20 Experiments with the Lucas asset pricing model

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Experiments with the Lucas asset pricing model

Experiments with the Lucas asset pricing model

... On the empirical side, tests of the Lucas model have invariably been applied to historical price (and consumption) series in the ...Starting with Mehra and Prescott (1985), ... See full document

40

The capital asset pricing theory and its misconceptions

The capital asset pricing theory and its misconceptions

... is the fundamental model for pricing financial ...Nevertheless, the way it is proved in Finance textbooks can be fairly confusing, and more complicated than necessary; with an excessive ... See full document

15

He's Polynomials for Analytical Solutions of the Black-Scholes Pricing Model for Stock Option Valuation

He's Polynomials for Analytical Solutions of the Black-Scholes Pricing Model for Stock Option Valuation

... — The Black-Scholes model is one of the most famous and useful models for option valuation as regards option pricing ...solving the classical Black-Scholes pricing model ... See full document

3

Analysis of the Exchange Rate and Pricing Foreign Currency Options on the Croatian Market: the NGARCH Model as an Alternative to the Black-Scholes Model

Analysis of the Exchange Rate and Pricing Foreign Currency Options on the Croatian Market: the NGARCH Model as an Alternative to the Black-Scholes Model

... on the Croatian market is steadily increasing and trading is expected to start after the establishment of the legal ...framework. The quantification of the fair price of such financial ... See full document

22

Introducing additional factors for the Brazilian market in the fama-french five-factor asset pricing model

Introducing additional factors for the Brazilian market in the fama-french five-factor asset pricing model

... create the seven-factor model we first collected governance data from stocks negotiated in the São Paulo Stock Exchange ...(BM&FBOVESPA). With this data, we constructed a governance index ... See full document

65

Conditional alphas and realized betas

Conditional alphas and realized betas

... identify pricing errors within a multifactor asset pricing ...model. The procedure is in two steps. We first estimate the conditional factor loadings ...(e.g., the market ... See full document

51

Optimal Portfolio Selection in Ex Ante Stock Price Bubble and Furthermore Bubble Burst Scenario from Dhaka Stock Exchange with Relevance to Sharpe’s Single Index Model

Optimal Portfolio Selection in Ex Ante Stock Price Bubble and Furthermore Bubble Burst Scenario from Dhaka Stock Exchange with Relevance to Sharpe’s Single Index Model

... Abstract: The paper aims at constructing an optimal portfolio by applying Sharpe’s single index model of capital asset pricing in different scenarios, one is ex ante stock price bubble ... See full document

14

Exact arbitrage, well-diversified portfolios and asset pricing in large markets

Exact arbitrage, well-diversified portfolios and asset pricing in large markets

... to the notion of essential risks and to an associated asset pricing ...theorem. The importance of the theorem comes from its claim that the market only rewards a risk which is ... See full document

39

Understanding Financial Market States Using an Artificial Double Auction Market.

Understanding Financial Market States Using an Artificial Double Auction Market.

... understand the stylized facts of asset prices in financial markets has recently shed light on factors that (1) prompt us to question whether the heterogeneity of investors is more important than that ... See full document

15

Testes multivariados do capital asset pricing model com variabilidade dos prémios de risco ao longo do tempo : aplicação ao mercado accionista português

Testes multivariados do capital asset pricing model com variabilidade dos prémios de risco ao longo do tempo : aplicação ao mercado accionista português

... efficiency with the multivariate simultaneous estimation. On the other hand, the tests are designed to handle both time series and Cross-Sectional variations in the expected stock risk ... See full document

10

Consumption-based macroeconomic models of asset pricing theory

Consumption-based macroeconomic models of asset pricing theory

... a pricing formula with very sharp intuition. The assets are priced in such a way that buying an asset at a certain price incurs consequent marginal loss in utility from current consumption ... See full document

22

The Prediction Performance of Asset Pricing Models and Their  Capability of Capturing the Effects of Economic Crises: The Case of  Istanbul Stock Exchange

The Prediction Performance of Asset Pricing Models and Their Capability of Capturing the Effects of Economic Crises: The Case of Istanbul Stock Exchange

... At the stage of deriving a multifactor APT model, we first undertook the Kolmogorov-Simirnov Normality Test on the return distribution of each stock to conclude if or not the variable ... See full document

22

Long-run valuation risk and asset pricing

Long-run valuation risk and asset pricing

... • We propose a simple model of asset pricing with valuation risk that accounts for the level and volatility of the equity premium and of the risk free rate. • The model is broadly consis[r] ... See full document

69

Economic implications of nonlinear pricing kernels

Economic implications of nonlinear pricing kernels

... illustrate the usefulness of our approach by diagnosing several asset pricing models fea- tured recently in the ...analyze the admissibility of disaster models, long-run risk models, ... See full document

41

Tests of conditional asset pricing models in the brazilian stock market

Tests of conditional asset pricing models in the brazilian stock market

... The author tests a dynamic factor asset pricing model in which the risk loadings are measured with respect to the world market return in excess of a risk-free asset returno The re[r] ... See full document

37

Asset pricing with a bank risk factor

Asset pricing with a bank risk factor

... is the standard two-pass cross-sectional test, to which we add several alternative testing ...use the Fama and MacBeth (1973) procedure to allow for time variation in ...that the risk premium ... See full document

48

A stochastic discount factor approach to asset pricing using panel data

A stochastic discount factor approach to asset pricing using panel data

... from the participants of the conferences “Common Features in Maastricht,” “Semiparametrics in Rio,” and the Econometric Society Meetings of Madrid and Santiago, where this paper was ...thanks ... See full document

19

The pricing of secured non-performing loans: lessons from an internship

The pricing of secured non-performing loans: lessons from an internship

... effect, the resolution time of NPL is related to legal and judicial impediments (part ...principle, the higher the amount of NPL the higher the resolution times, as courts capacity is ... See full document

59

The Orthogonal Interactions Model For Unreplicated Factorial Experiments

The Orthogonal Interactions Model For Unreplicated Factorial Experiments

... using the resampling method to estimate the degrees of freedom, the investi- gator must choose the number of simulation replicates, B, as well as l, the length of the λ ...on ... See full document

135

Active portfolio management using the black-litterman model

Active portfolio management using the black-litterman model

... for the asset allocation theory, which defines the optimal portfolio as the maximisation of the expected returns with respect to a certain level of ...and the assignment ... See full document

6

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