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The impact of multiperiod planning horizons on portfolios and asset prices in a dynamic CAPM
Hillebrand, Marten; Wenzelburger, Jan - 2005
determining market clearing prices is calculated explicitly. The classical capital market line result of CAPM theory is extended …
Persistent link: https://www.econbiz.de/10009452468
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Analysis of UAE Bank Stocks
Rao, Ananth - EconWPA - 2003
and riskiness. Capital Asset Pricing Model (CAPM) a market equilibrium model is applied to these seven bank’s stocks. The … general models like multi-factor CAPM and arbitrage pricing theory (APT) models could be more appropriate models for analysing …
Persistent link: https://www.econbiz.de/10005413135
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On the determinants of equity international risk premium : Are emerging zones different ?
Guesmi, Khaled; Abid, Ilyes; Arouri, Mohamed Hedi; … - Institut de Préparation à l'Administration et à la … - 2014
This article contributes to the financial literature by investigating the formation of the international stock risk premium in emerging market zones. Our results from the estimation of a dynamic augmented capital asset pricing model show that the currency risk premium is the most important...
Persistent link: https://www.econbiz.de/10010778658
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A Class of Models satisfying a Dynamical Version of the CAPM
Napp, Clotilde; Jouini, Elyès - Université Paris-Dauphine (Paris IX) - 2003
Under a comonotonicity assumption between aggregate dividends and the market portfolio, the CCAPM formula becomes more tractable and more easily testable. In this paper, we provide theoretical justifications for such an assumption.
Persistent link: https://www.econbiz.de/10010905244
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Equilibrium of Real Financial Markets: Theory and Experimental Evidence
Bossaerts, Peter - C.E.P.R. Discussion Papers - 2004
than at (CAPM) equilibrium. Experimental evidence confirms the predictions conclusively. …
Persistent link: https://www.econbiz.de/10005792218
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A Class of Models satisfying a Dynamical Version of the CAPM.
Napp, Clotilde; Jouini, Elyès - Université Paris-Dauphine - 2003
Under a comonotonicity assumption between aggregate dividends and the market portfolio, the CCAPM formula becomes more tractable and more easily testable. In this paper, we provide theoretical justifications for such an assumption.
Persistent link: https://www.econbiz.de/10008532425
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A class of models satisfying a dynamical version of the CAPM
Jouini, Elyès; Napp, Clotilde - HAL - 2003
Under a comonotonicity assumption between aggregate dividends and the market portfolio, the CCAPM formula becomes more tractable and more easily testable. In this paper, we provide theoretical justifications for such an assumption.
Persistent link: https://www.econbiz.de/10008793270
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A model of cycles and bubbles under heterogeneous beliefs in financial markets
Burs, Carina - 2023
Persistent link: https://www.econbiz.de/10014225865
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Non-standard preferences in asset pricing and household finance
Goossens, Jorgo - 2023
Persistent link: https://www.econbiz.de/10013549809
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Uncertainty and sentiments in asset prices
Berardi, Michele - In: Journal of economic behavior & organization : JEBO 202 (2022), pp. 498-516
Persistent link: https://www.econbiz.de/10013552447