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Scattered Trust - Did the 2007-08 financial crisis change risk perceptions?

Füss, Roland; Gehrig, Thomas; Rindler, Philipp B - C.E.P.R. Discussion Papers - 2011

The paper investigates whether the financial crisis did affect risk perceptions, and, hence, change structural parameters. By decomposing credit spreads of US corporate bonds into the contributions by credit, equity, and liquidity risk factors as well as structural change, the relative...

Persistent link: https://www.econbiz.de/10009399718

Basic Principles Of Asset Pricing Theory: Evidence From Large-Scale Experimental Financial Markets

Bossaerts, Peter; Plott, Charles - C.E.P.R. Discussion Papers - 2000

propositions of modern asset pricing theory, namely, that the interaction between risk averse agents in a competitive market leads …-markets model, and the Sharpe-Lintner-Mossin Capital Asset Pricing Model (CAPM). This framework enabled us to measure how far our … discovered swift convergence towards equilibrium prices of Arrow and Debreu's model or the CAPM. This discovery is significant …

Persistent link: https://www.econbiz.de/10005662411

EMU and European Stock Market Integration

Hardouvelis, Gikas A; Malliaropoulos, Dimitrios; … - C.E.P.R. Discussion Papers - 1999

The paper examines whether or not the convergence process of European economies towards Economic and Monetary Union has led to increased integration of European stock markets. We estimate a conditional asset pricing model, which allows for a time-varying degree of integration that measures the...

Persistent link: https://www.econbiz.de/10005788933

Equilibrium of Real Financial Markets: Theory and Experimental Evidence

Bossaerts, Peter - C.E.P.R. Discussion Papers - 2004

The theory and the data in this Paper challenge the view that there is no structure in prices and allocations when … markets are off equilibrium. Starting from the observation that price-taking usually applies only to small orders, a theory of … imbalance. In the context of mean-variance preferences, the theory predicts that a security’s price will correlate with excess …

Persistent link: https://www.econbiz.de/10005792218

Optimal Financial Market Integration and Security Design

Acharya, Viral V; Bisin, Alberto - C.E.P.R. Discussion Papers - 2003

We study two-period pure-exchange Capital Asset Pricing Model (CAPM) economies, for given degrees of incompleteness of …

Persistent link: https://www.econbiz.de/10005792424

Equilibrium Cross-Section of Returns

Gomes, Joao F; Kogan, Leonid; Zhang, Lu - C.E.P.R. Discussion Papers - 2002

intertemporal CAPM with the market portfolio as the only factor, size and book-to-market play separate roles in describing the cross …-section of stock returns is not necessarily inconsistent with a single-factor conditional CAPM model. …

Persistent link: https://www.econbiz.de/10005123908

The Wealth-Consumption Ratio

Lustig, Hanno; van Nieuwerburgh, Stijn; Verdelhan, Adrien - C.E.P.R. Discussion Papers - 2012

We derive new estimates of total wealth, the returns on total wealth, and the wealth effect on consumption. We estimate the prices of aggregate risk from bond yields and stock returns using a no-arbitrage model. Using these risk prices, we compute total wealth as the price of a claim to...

Persistent link: https://www.econbiz.de/10011083953

Export Restrictions and Price Insulation During Commodity Price Booms

Anderson, Kym; Martin, Will - C.E.P.R. Discussion Papers - 2011

For individual countries, variable trade barriers can be used to reduce the volatility of domestic relative to world prices. If this is done by countries accounting for a large share of the market, its effect is offset by increases in world price volatility. This study shows the nature of the...

Persistent link: https://www.econbiz.de/10009207521

What Determines the Economic Geography of Europe?

Haaland, Jan I.; Kind, Hans Jarle; Ulltveit-Moe, … - C.E.P.R. Discussion Papers - 1999

as new trade theory and new economic geography our cross-sectoral empirical analysis seeks to explain the pattern of …

Persistent link: https://www.econbiz.de/10005504618

The Effect of the Theo van Gogh Murder on House Prices in Amsterdam

Gautier, Pieter A; Siegmann, Arjen; van Vuuren, Aico - C.E.P.R. Discussion Papers - 2007

Does Islamic terrorism have an effect on the general attitudes towards Muslim minorities? We use the murder of Theo van Gogh as an event study to address this question. Specifically, we use the hedonic-market model and test for an effect on listed house prices in neighbourhoods where more than...

Persistent link: https://www.econbiz.de/10005497845