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Review on efficiency and anomalies in stock markets

Woo, Kai-yin; Mai, Chulin; McAleer, Michael; Wong, Wing … - In: Economies : open access journal 8 (2020) 1/20, pp. 1-51

reviews the theory and literature on market efficiency and market anomalies. We give a brief review on market efficiency and …. This review is useful to academics for developing cutting-edge treatments of financial theory that EMH, anomalies, and …

Persistent link: https://www.econbiz.de/10012237439

Asset pricing at the millennium

Campbell, John Y. - 2000

Persistent link: https://www.econbiz.de/10001459128

Portfolio Inertia and the Equity Premium

Gust, Christopher J.; López-Salido, José David - 2009

We develop a DSGE model in which aggregate shocks induce endogenous movements in risk. The key feature of our model is that households rebalance their financial portfolio allocations infrequently, as they face a fixed cost of transferring cash across accounts. We show that the model can account...

Persistent link: https://www.econbiz.de/10014200921

Portfolio Rebalancing and Asset Pricing with Heterogeneous Inattention

Rachedi, Omar - 2017

Can households' inattention to the stock market quantitatively account for the inertia in portfolio rebalancing? I address this question by introducing an observation cost into a production economy with heterogeneous agents. In this environment inattention changes endogenously over time and...

Persistent link: https://www.econbiz.de/10012965402

Beta Bubbles

Jylha, Petri - 2017

temporary increase in its CAPM beta estimate and a decrease in its CAPM alpha. The increasing effect of breadth of ownership on …-driven components of beta estimates that we find contribute to the empirical failure of the CAPM and the large returns to long …

Persistent link: https://www.econbiz.de/10012971144

Representative Investors Versus Best Clienteles : Performance Evaluation Disagreement in Mutual Funds

Chrétien, Stéphane - 2017

This paper develops a diagnostic tool for candidate performance measures that accounts for investor disagreement in mutual funds. We compare the evaluation for best clienteles, specified by an upper admissible performance bound, to the one for representative investors implicit in twelve models....

Persistent link: https://www.econbiz.de/10012955300

Asset Pricing with Heterogeneous Preferences, Beliefs, and Portfolio Constraints

Chabakauri, Georgy - 2015

Portfolio constraints are widespread and have significant effects on asset prices. This paper studies the effects of constraints in a dynamic economy populated by investors with different risk aversions and beliefs about the rate of economic growth. The paper provides a comparison of various...

Persistent link: https://www.econbiz.de/10013032096

How Investors Set Valuation Ratios Using a Micro-Founded Gordon Asset Pricing Model

Blanken, Ronald - 2016

A Micro-Founded Gordon Asset Pricing Model (MF-GAPM) is developed that allows calculation of the current E/P of an equity using reported data. In the original Gordon Model, the discounting is done assuming constant growth and a constant discount rate, with the simple result E/P = r - g where r...

Persistent link: https://www.econbiz.de/10012987416

The Continuous-Time CAPM with Non-Risk-Averse Investors

Levy, Moshe - 2018

The continuous-time CAPM assumes that investors are risk-averse. However, these is a very large body of empirical and … experimental evidence documenting that many investors are not globally risk-averse: Prospect Theory and aspiration-level models are …-time CAPM for all investors with non-decreasing preferences. Another advantage of the proposed approach is its simplicity: it …

Persistent link: https://www.econbiz.de/10012912723

Institutional Investors, Heterogeneous Benchmarks and the Comovement of Asset Prices

Buffa, Andrea M - 2018

We study the equilibrium implications of a multi-asset economy in which asset managers are subject to different benchmarks, and demonstrate how heterogeneous benchmarking generates a mechanism through which fundamental shocks propagate across assets. Fluctuations in asset managers' capital...

Persistent link: https://www.econbiz.de/10012910534