[PDF] Top 20 Is liquidity the missing piece in asset-pricing models?
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Is liquidity the missing piece in asset-pricing models?
... Liquidity is usually defined as the easiness of trading an ...throughout the years but none of them have ever received a general consensus, thus leading to different results regarding ... See full document
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Fractional diffusion models and option pricing in jump models
... of the main focuses of this work is the derivation of the pric- ing FPDE for a model which assumes that the price dynamics of the underlying asset is governed by a ... See full document
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Constructing good deals in discrete time arbitrage-free dynamic pricing models
... classical pricing models (Black and Sc- holes, Heston, ...on the risk measures V aR and CV aR and analyzes this caveat in a discrete time complete pricing ...conditions the ... See full document
22
Asset liquidity and fiscal consolidation programs
... shows the other step of the mechanism which states that economies with more financially constrained agents react less to fiscal consolidation policies and so the fiscal multipliers are closer to ... See full document
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Asset pricing with a bank risk factor
... that the aggregate Distance-to-Default of the banking sector can be an exogenous source of risk for nonfinancial firms, we proceed in several ...drop in banks’ DD is associated with a ... See full document
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Young, Old, Conservative and Bold: The Implications of Heterogeneity of Finite Lives for Asset Pricing
... life-cycle-of-earnings models in general equilibrium. The paper most closely related to ours is Gomes and Michaelides ...for asset returns and stock-market participation decisions ... See full document
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Option pricing under jump-diffusion models
... obtain the simplest case of a jump-diffusion — a process which sometimes jumps and has a continuous but random evolution between the jump times and that is why we are trying to model our asset ... See full document
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Introducing additional factors for the Brazilian market in the fama-french five-factor asset pricing model
... described the empirical role of size and book-to-market ratio in explaining rates of return on stocks, but also presented a method to generate factor portfolios and applied their methods to these firm ... See full document
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The 52-Week High and Momentum Investing: Implications for Asset Pricing Models
... are in line with Barroso and Santa-Clara (2015) and Daniel and Moskowitz (2016) which find that, despite high positive average re- turns, momentum strategies can experience infrequent, but persistent and ... See full document
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The Prediction Performance of Asset Pricing Models and Their Capability of Capturing the Effects of Economic Crises: The Case of Istanbul Stock Exchange
... extent the models can reflect economic crisis information within their independent variables, the linear discriminant analysis has been used to test the explanatory power of each independent ... See full document
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The 52-Week High and Momentum Investing: Implications for Asset Pricing Models
... model is based on investor overconfidence and asymmetric shifts in confidence arising from biased ...self-attribution. In particular, the theory pertains that investors overestimate their own ... See full document
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Consumption-based macroeconomic models of asset pricing theory
... Equilibrium pricing comprises many different models that postulate different preferences of ...example, the Capital Asset Pricing Model assumes that agents have preferences defined over ... See full document
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Time-aggregation effects on estimating asset pricing models
... As the state variable is assumed to be exogenous, the functions a(z) and b(z) are known ...It is worth noting that the general class of affine processes nests some endow- ments ... See full document
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Three essays on the estimation of asset pricing models
... that the economy follows the habit model of Campbell and Cochrane ...(1999). The model explains the equity premium puzzle by adding a new component to the stochastic discount factor ... See full document
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A stochastic discount factor approach to asset pricing using panel data
... of the stochastic discount factor (SDF) mimicking portfolio that takes seriously the consequences of the Pricing Equation established by Har- rison and Kreps (1979), Hansen and Richard (1987), ... See full document
19
Conservatism is not the missing viewpoint for true diversity
... colleagues in two regards: Yes, there are problems with under- representation of some viewpoints among academics in social psychology, and, yes, theory and ideology are occasionally mixed in theory ... See full document
7
Is liquidity associate to profitabilitry? An analysis of the retail industry in Portugal
... to the Oxford’s dictionary, retailing is defined “as the business of selling goods to the public, usually through shops/stores” 24 ...Being the last ring in the supply ... See full document
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Citizenship in a changing world: What is missing in teachers’
... society in general. This led to the curricular reorganisation for Basic Education implemented by Law ...introduced in the National Curriculum and that is the case of Citizenship ... See full document
8
The predictive power of structural models of corporate debt pricing
... empirically the performance of three structural models of corporate bond pricing: those of Merton (1974), Leland (1994) and Fan and Sundaresan ...Leland models overestimate bond prices while ... See full document
47
Evolutionary history of the birds of the Angolan highlands - the missing piece to understand the biogeography of the Afromontane forests
... During the Quaternary, changes in temperature with very different amplitudes occurred throughout the world (Denton et ...on the climates of Africa. It is generally believed that during ... See full document
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