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Expected inflation, expected stock returns, and money illusion: What can we learn from survey expectations?

Schmeling, Maik; Schrimpf, Andreas - 2008

We show empirically that survey-based measures of expected inflation are significant and strong predictors of future aggregate stock returns in several industrialized countries both in-sample and out-of-sample. By empirically discriminating between competing sources of this return predictability...

Persistent link: https://www.econbiz.de/10010263733

Hidden liquidity: Determinants and impact

Cebiroğlu, Gökhan; Horst, Ulrich - 2012

We cross-sectionally analyze the presence of aggregated hidden depth and trade volume in the S&P 500 and identify its key determinants. We find that the spread is the main predictor for a stock's hidden dimension, both in terms of traded and posted liquidity. Our findings moreover suggest that...

Persistent link: https://www.econbiz.de/10010281537

The Capital Asset Pricing Model: A New Empirical Investigation

Zarifhonarvar, Ali - 2023

capital market, one of the most common being the Capital Asset Pricing Model (CAPM). After reviewing the literature in this … area, this study discusses the theoretical background of the CAPM model. After explaining the relationship between … systematic risk and the relation of these coefficients to the CAPM model predictions are tested. Thus, after data sampling to …

Persistent link: https://www.econbiz.de/10013499610

Coherent Measures of Risk from a General Equilibrium Perspective

Csóka, Péter; Herings, Jean-Jacques; Kóczy, László Á. - 2006

-known spectral measure of risk is. We investigate the above mentioned six axioms using tools from general equi- librium (GE) theory …

Persistent link: https://www.econbiz.de/10010494343

Size premium, value premium and market timing: Evidence from an emerging economy

Rashid, Syed Haroon; Sadaqat, Mohsin; Jebran, Khalil; … - In: Journal of Economics, Finance and Administrative Science 23 (2018) 46, pp. 266-288

capital asset pricing model (CAPM) and Fama and French model. Design/methodology/approach This study considers monthly stock …

Persistent link: https://www.econbiz.de/10013192143

The impact of network connectivity on factor exposures, asset pricing and portfolio diversification

Billio, Monica; Caporin, Massimiliano; Panzica, Roberto … - 2017

This paper extends the classic factor-based asset pricing model by including network linkages in linear factor models. We assume that the network linkages are exogenously provided. This extension of the model allows a better understanding of the causes of systematic risk and shows that (i)...

Persistent link: https://www.econbiz.de/10011598484

The pricing of financial assets in the physical world of finance

Apreda, Rodolfo - 2010

The pricing of financial assets, this paper contends, it does not consist only in assessing a technical value from a valuation model and then calibrating such value by looking at the market. In order to sharpen up this complex process we are going to handle, firstly, a valuation procedure that...

Persistent link: https://www.econbiz.de/10010323087

Size, value and liquidity: Do they really matter on an emerging stock market?

Lischewski, Judith; Voronkova, Svitlana - 2010

The paper extends the evidence on the factors relevant for pricing stocks in emerging markets. While previous literature focused on Latin American and Asian developing markets, Central and Eastern European markets remain under-researched. By focusing on the Polish stock market, we aim to fill in...

Persistent link: https://www.econbiz.de/10010302590

Competitive rational expectations equilibria without apology

Kovalenkov, Alexander; Vives, Xavier - 2008

In a standard financial market model with asymmetric information with a finite number N of risk-averse informed traders, competitive rational expectations equilibria provide a good approximation to strategic equilibria as long as N is not too small: equilibrium prices in each situation converge...

Persistent link: https://www.econbiz.de/10010264474

Asymptotic Maturity Behavior of the Term Structure

Schulze, Klaas - 2008

Pricing and hedging of long-term interest rate sensitive products require to extrapolate the term structure beyond observable maturities. For the resulting limiting term structure we show two results by postulating no arbitrage in a bond market with infinitely increasing maturities: long...

Persistent link: https://www.econbiz.de/10010264921