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An international dynamic asset pricing model

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Loss aversion asset pricing model performance: Empirical evidence from five Pacific-Basin countries

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Testing international asset pricing models using implied costs of capital

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Loss aversion asset pricing model performance: empirical evidence from five pacific-basin countries

Ng, David; Sadeghi, Mehdi - In: Asia pacific financial markets in comparative …, (pp. 235-271). 2005

This paper studies the empirical application of an asset pricing model derived from the irrational individual behavior of loss aversion. Previous research using loss aversion asset pricing finds conclusive evidence that estimations match market equity premium and volatility using simulation...

Persistent link: https://www.econbiz.de/10015386083

An international dynamic asset pricing model

Hodrick, Robert J.; Ng, David Tat-chee; Sengmueller, Paul - 1999

Persistent link: https://www.econbiz.de/10001390241

Time-varying risk aversion and dynamic portfolio allocation

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Estimating liquidity premium of corporate bonds using the spread information in on- and off-the-run Treasury securities

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Persistent link: https://www.econbiz.de/10011797776