Similar Search Results

Expected Life-Time Utility and Hedging Demands in a Partially Observable Economy

Lundtofte, Frederik - Nationalekonomiska Institutionen, Ekonomihögskolan - 2005

This paper analyzes the expected life-time utility and the hedging demands in a Lucas (1978) economy, in which the … equilibrium is derived, and his hedging demand is analyzed. The hedging demand consists of two components, which could work in … opposite directions so that a conservative investor may end up having a positive hedging demand. Interestingly, this differs …

Persistent link: https://www.econbiz.de/10005645232

Expected Life-Time Utility and Hedging Demands in a Partially Observable Economy

Lundtofte, Frederik - 2003

This paper analyzes the expected life-time utility and the hedging demands in an exchange only, representative agent … analyze his hedging demands for intertemporal changes in the unobservable stochastic growth of the endowment process and the … changing quality of information regarding these changes. The hedging demands consist of two components, which could work in …

Persistent link: https://www.econbiz.de/10005222538

The Quality of Public Information and The Term Structure of Interest Rates

Lundtofte, Frederik - 2006

This paper analyzes the term structure of interest rates in an exchangeonly Lucas (1978) economy where consumers learn about a stochastic growth rate through observations of the endowment process and an external public signal. We show that there is a premium for noisy external public information...

Persistent link: https://www.econbiz.de/10005162957

Can An ”Estimation Factor” Help Explain Cross-Sectional Returns?

Lundtofte, Frederik - Nationalekonomiska Institutionen, Ekonomihögskolan - 2005

We show in a theoretical model that the expected excess return on any asset depends on its covariance not only with the market portfolio, but also with changes in the representative agent’s estimate. In the empirical specification, this ”estimation factor” is based on realized growth in...

Persistent link: https://www.econbiz.de/10005190581

On the distribution and estimation of trading costs

Kourtis, Apostolos - In: Journal of Empirical Finance 28 (2014) C, pp. 104-117

This paper investigates the uncertainty about the trading costs associated with a given portfolio strategy. I derive accurate approximations of the ex ante probability distributions of proportional trading costs and portfolio turnover under the conventional assumption of normal asset returns....

Persistent link: https://www.econbiz.de/10010939530

Roughing up Beta: Continuous vs. Discontinuous Betas, and the Cross-Section of Expected Stock Returns

Bollerslev, Tim; Li, Sophia Zhengzi; Todorov, Viktor - School of Economics and Management, University of Aarhus - 2014

Motivated by the implications from a stylized equilibrium pricing framework, we investigate empirically how individual equity prices respond to continuous, or \smooth," and jumpy, or \rough," market price moves, and how these different market price risks, or betas, are priced in the...

Persistent link: https://www.econbiz.de/10011096184

Ambiguity and Reality

Trojani, Fabio; Wiehenkamp, Christian; Wrampelmeyer, Jan - School of Finance, Universität St. Gallen - 2014

Model builders face ambiguity about the true data generating process. Consequently, they need to deal with ambiguity attitudes (inside uncertainty) and ambiguous financial reality (outside uncertainty) when developing and estimating financial models. We introduce a novel approach for...

Persistent link: https://www.econbiz.de/10011154568

Extreme Downside Liquidity Risk

Ruenzi, Stefan; Ungeheuer, Michael; Weigert, Florian - School of Finance, Universität St. Gallen - 2013

We investigate whether investors receive compensation for holding stocks with strong systematic liquidity risk in the form of extreme downside liquidity (EDL) risk. Following the logic of Acharya and Pedersen (2005), we capture a stock's EDL risk by the lower tail dependence between (i)...

Persistent link: https://www.econbiz.de/10011154570

Explaining the Cross-Section of Stock Returns in France : Characteristics or Risk Factors?

Lajili, Souad - Université Paris-Dauphine (Paris IX) - 2007

In this study, we test the three factor model of Fama and French and the Characteristic Model of Daniel and Titman (1997) on The French Stock Market over July 1976 to June 2001 period. Stocks are ranked by size and book to market ratios and then by ex-ante HML, SMB or Mkt loadings. The...

Persistent link: https://www.econbiz.de/10011166402

Risk components in UK cross-sectional equities: evidence of regimes and overstated parametric estimates

Rossi, Francesco - Volkswirtschaftliche Fakultät, … - 2011

We study the behavior and interaction of systematic and idiosyncratic components of risk in a cross-section of U.K. stocks. We find no clear evidence of a trend in any component of total risk, but we document different “regimes” in the behavior of each component of total risk, in their...

Persistent link: https://www.econbiz.de/10011261127