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Arbitrage Pricing Theory, the Stochastic Discount Factor and Estimation of Risk Premia from Portfolios

Pesaran, M. Hashem; Smith, Ron - 2021

The arbitrage pricing theory (APT) attributes differences in expected returns to exposure to systematic risk factors …

Persistent link: https://www.econbiz.de/10013233142

Exchange Competition, Entry, and Welfare

Cespa, Giovanni - 2019

liquidity and (generally) welfare compared to the case of an unregulated monopoly. Controlling entry or, even better, platform …

Persistent link: https://www.econbiz.de/10012892152

Risk premia in general equilibrium

Posch, Olaf - 2010

This paper shows that non-linearities imposed by a neoclassical production function alone can generate time-varying and asymmetric risk premia over the business cycle. These (empirical) key features become relevant, and asset market implications improve substantially when we allow for...

Persistent link: https://www.econbiz.de/10010270538

Redistribution of Return Inequality

Schulz, Karl - 2021

Wealthier households obtain higher returns on their investments than poorer ones. How should the tax system account for this return inequality? I study capital taxation in an economy in which return rates endogenously correlate with wealth. The leading example is a financial market, where the...

Persistent link: https://www.econbiz.de/10013233147

World Equity Premium Based Risk Aversion Estimates

Pozzi, Lorenzo - 2013

CAPM under power utility is excessively high. Moreover, estimates in the literature vary considerably across countries. We …

Persistent link: https://www.econbiz.de/10013094420

Have Capital Market Anomalies Worldwide Attenuated in the Recent Era of High Liquidity and Trading Activity?

Auer, Benjamin R. - 2018

We revisit and extend the study by Chordia et al. (2014) which documents that, in recent years, increased liquidity has … characterised by positive trends in liquidity, there is no persuasive time-series and cross-sectional evidence for a negative link … between anomalies in market returns and liquidity. Thus, this proxy of arbitrage activity does not appear to be a key factor …

Persistent link: https://www.econbiz.de/10012908691

Monetary Policy and Asset Price Overshooting : A Rationale for the Wall/Main Street Disconnect

Caballero, Ricardo J.; Simsek, Alp - 2022

We analyze optimal monetary policy and its implications for asset prices, when aggregate demand has inertia and responds to asset prices with a lag. If there is a negative output gap, the central bank optimally overshoots aggregate asset prices (asset prices are initially pushed above their...

Persistent link: https://www.econbiz.de/10013296267

Asset pricing with uncertain betas: A long-term perspective

Gollier, Christian - 2013

How should one evaluate investment projects whose CCAPM betas are uncertain? This question is particularly crucial for projects yielding long-lasting impacts on the economy, as is the case for example for many green investments. We define the notion of a certainty equivalent beta. We show that...

Persistent link: https://www.econbiz.de/10010291514

Evaluation of long-dated investments under uncertain growth trend, volatility and catastrophes

Gollier, Christian - 2012

Because of the uncertainty about how to model the growth process of our economy, there is still much confusion about which discount rates should be used to evaluate actions having long-lasting impacts, as in the contexts of climate change, social security reforms or large public infrastructures...

Persistent link: https://www.econbiz.de/10010291529

Have Capital Market Anomalies Worldwide Attenuated in the Recent Era of High Liquidity and Trading Activity?

Auer, Benjamin R.; Rottmann, Horst - 2018

Persistent link: https://www.econbiz.de/10011931954