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SECURITY DESIGN THAT ADDRESSES AGENCY CONFLICTS AND INFORMATION ASYMMETRY

Tewari, Manish - 2008

-coupon bonds. The primary objective is to discern the marginal role of the put and put-deferred features in addressing the agency … this study, this effect was believed to be driven primarily by the conversion feature in the convertible bonds and the …

Persistent link: https://www.econbiz.de/10009431118

Monetary Policy and Mispricing in Stock Markets

Beckers, Benjamin; Bernoth, Kerstin - 2023

We investigate the role of monetary policy in stock price misalignments and explore whether central banks can attenuate excessive mispricing as suggested by the proponents of a “leaning against the wind” monetary policy. Decomposing stock prices into expected excess dividends, an equity risk...

Persistent link: https://www.econbiz.de/10015213278

Asset Pricing in the Resource-Constrained Brain

Siddiqi, Hammad - 2022

-resources. We show that applying this predictive-processing framework to asset pricing gives rise to an alpha in CAPM. Several … several asset pricing anomalies emerges as ultimately due to the brain’s optimal response to its own internal resource …

Persistent link: https://www.econbiz.de/10015213288

Price and Payoff Autocorrelations in a Multi-Period Consumption-Based Asset Pricing Model

Olkhov, Victor - 2022

This paper highlights the hidden dependence of the basic pricing equation of a multi-period consumption-based asset … pricing model on price and payoff autocorrelations. We obtain the approximations of the basic pricing equation that describe … deep conjunction of the consumption-based model with other versions of asset pricing, such as ICAPM, APM, etc. (Cochrane …

Persistent link: https://www.econbiz.de/10015213294

Asset Pricing in the Resource-Constrained Brain

Siddiqi, Hammad - 2022

-resources. I show that applying such predictive-processing to asset pricing gives rise to an alpha, with several empirically …

Persistent link: https://www.econbiz.de/10015213373

Theoretical Economics as Successive Approximations of Statistical Moments

Olkhov, Victor - 2023

This paper studies the links between the descriptions of macroeconomic variables and statistical moments of market trade, price, and return. The randomness of market trade values and volumes during the averaging interval Δ results in the random properties of price and return. We describe how...

Persistent link: https://www.econbiz.de/10015213377

To VaR, or Not to VaR, That is the Question

Olkhov, Victor - 2021

We consider economic obstacles that limit the reliability and accuracy of value-at-risk (VaR). Investors who manage large market transactions should take into account the impact of the randomness of large trade volumes on predictions of price probability and VaR assessments. We introduce...

Persistent link: https://www.econbiz.de/10015213403

Aging Population and its Effects on Long-Horizon Momentum Profits

Lee, King Fuei - 2023

The momentum effect is postulated to be a consequence of the disposition effect, which in turn, is a result of the interplay between the typically dominant diminishing sensitivity feature of prospect theory and the loss aversion feature. However, studies have shown that older individuals can...

Persistent link: https://www.econbiz.de/10015213465

S-shaped utility, subprime crash and the black swan

de Farias Neto, Joao Jose - 2008

I propose an S-shaped utility function of consumption which, combined with an heterogeneous agents and external habit setting, fits well the first order moments of the American financial and macroeconomic time series relevant for the equity premium puzzle in the second half of XX century. The...

Persistent link: https://www.econbiz.de/10015213602

Volatility Depends on Market Trades and Macro Theory

Olkhov, Victor - 2024

We consider the randomness of market trade as the origin of price and return stochasticity. We look at time series of trade values and volumes as random variables during the averaging interval Δ and describe the dependences of market-based volatilities of price and return on the volatilities...

Persistent link: https://www.econbiz.de/10015213603