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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/10013087728

Evaluation of Long-Dated Investments Under Uncertain Growth Trend, Volatility and Catastrophes

Gollier, Christian - 2021

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/10013315817

Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities

Pesaran, M. Hashem - 2017

-Gaussianity and general forms of weakly cross correlated errors. It does not require estimation of an invertible error covariance …

Persistent link: https://www.econbiz.de/10012955752

Climate Change and Long-Run Discount Rates : Evidence from Real Estate

Giglio, Stefano - 2015

The optimal investment to mitigate climate change crucially depends on the discount rate used to evaluate the investment's uncertain future benefits. The appropriate discount rate is a function of the horizon over which these benefits accrue and the riskiness of the investment. In this paper, we...

Persistent link: https://www.econbiz.de/10013009875

Unleashing Animal Spirits - Self-Control and Overpricing in Experimental Asset Markets

Kocher, Martin - 2016

One possible determinant of overpricing on asset markets is a lack of self-control abilities of traders. Self-control is the individual capacity to override or inhibit undesired behavioral tendencies such as impulses and to refrain from acting on them. We implement the first experiment that is...

Persistent link: https://www.econbiz.de/10012994360

Why Does Idiosyncratic Risk Increase with Market Risk

Bartram, Söhnke M. - 2017

relation between IR and MR is highly stable through time and is robust across exchanges, firm size, liquidity, and market …-to-book groupings. Though stock liquidity affects the strength of the relation, it is strong for the most liquid stocks. The relation …

Persistent link: https://www.econbiz.de/10012950299

On Creditor Seniority and Sovereign Bond Prices in Europe

Steinkamp, Sven - 2013

variables has generated a debate on multiple equilibria in the sovereign bond market (see De Grauwe and Ji (2012)). We … between senior tranche lending – including Target2 balances – and recent developments in the sovereign bond market, both …

Persistent link: https://www.econbiz.de/10013090004

An Extended Macro-Finance Model with Financial Factors

Dewachter, Hans - 2013

, additional liquidity-related and return forecasting factors. Liquidity factors are obtained from a decomposition of the TED …-sectional fit of the yield curve. Second, we find that financial shocks, either in the form of liquidity or risk premium shocks …

Persistent link: https://www.econbiz.de/10013095098

Cash Flow Duration and the Term Structure of Equity Returns

Weber, Michael - 2016

The term structure of equity returns is downward-sloping: stocks with high cash flow duration earn 1.10% per month lower returns than short-duration stocks in the cross section. I create a measure of cash flow duration at the firm level using balance sheet data to show this novel fact. Factor...

Persistent link: https://www.econbiz.de/10012981605

Expectations, Illiquidity, and Short-Term Trading

Cespa, Giovanni; Vives, Xavier - 2021

We consider a two-period market with persistent liquidity trading and risk averse privately informed investors who have … a one period horizon. With persistence, prices reflect average expectations about fundamentals and liquidity trading … equilibria which can be ranked in terms of liquidity, volatility, and informational efficiency. We establish the limits of the …

Persistent link: https://www.econbiz.de/10013316042