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Rebalancing Multiple Assets with Mutual Price Impact

Guasoni, Paolo - 2016

We find asymptotically optimal trading policies for long-term investors with constant relative risk aversion, in a multiple-assets market where expected returns and covariances are constant, and the execution price of each asset is linear in the trading intensities of all assets. Trading towards...

Persistent link: https://www.econbiz.de/10013005269

Portfolio Rebalancing and Asset Pricing with Heterogeneous Inattention

Rachedi, Omar - 2017

Can households' inattention to the stock market quantitatively account for the inertia in portfolio rebalancing? I address this question by introducing an observation cost into a production economy with heterogeneous agents. In this environment inattention changes endogenously over time and...

Persistent link: https://www.econbiz.de/10012965402

Beliefs, Portfolio Constraints, Speculation and Asset Pricing : A General Equilibrium Analysis

Dau, Nam - 2018

This paper studies the interaction of borrowing and short-sale constraints and their ultimate effects on asset pricing properties in a simultaneous presence of the constraints in a dynamic general equilibrium model with heterogeneous risk aversions and heterogeneous beliefs in the aggregate cash...

Persistent link: https://www.econbiz.de/10012912715

Expected Equity Returns Should Correlate with Idiosyncratic Risk

Bruno, Giovanni - 2018

law of one price, and is present in all but risk-neutral economies. We test the cross-sectional predictions of our theory … equity than for assets, and stronger for more levered firms — consistent with the theory. We test also the timeseries … implications of the theory. Time variation in asset ivol causes time variation in the option value of equity that translates into …

Persistent link: https://www.econbiz.de/10012910108

Institutional Investors, Heterogeneous Benchmarks and the Comovement of Asset Prices

Buffa, Andrea M - 2018

We study the equilibrium implications of a multi-asset economy in which asset managers are subject to different benchmarks, and demonstrate how heterogeneous benchmarking generates a mechanism through which fundamental shocks propagate across assets. Fluctuations in asset managers' capital...

Persistent link: https://www.econbiz.de/10012910534

Ambiguous Information, Portfolio Inertia, and Excess Volatility

Illeditsch, Philipp K. - 2011

I study the effects of risk and ambiguity (Knightian uncertainty) on optimal portfolios and equilibrium asset prices when investors receive information that is difficult to link to fundamentals. I show that the desire of investors to hedge ambiguity leads to portfolio inertia and excess...

Persistent link: https://www.econbiz.de/10013133587

Asset Pricing Anomalies and Macroeconomic Risk

Docherty, Paul - 2011

This paper provides a comprehensive examination of whether portfolios formed on capital asset pricing model anomalies capture information related to changes in the investment opportunity set and therefore may appropriate candidates as state variables within Merton's (1973) ICAPM framework....

Persistent link: https://www.econbiz.de/10013121464

Higher-Moment Asset Pricing and Allocation in a Heterogeneous Market Equilibrium

Zhang, Qunzi - 2013

Investors have different preferences for portfolio skewness and kurtosis, i.e. return asymmetry and tail fatness. We build up a new equilibrium model with three types of investors whose preferences can be characterized by "MV", "MVS" and "MVSK". (M: Mean V: Variance S: Skewness K: Kurtosis) and...

Persistent link: https://www.econbiz.de/10013090424

Validity of Capital Assets Pricing Model : Evidence from KSE-Pakistan

Bhatti, Uzair - 2014

Capital Assets Pricing Model (CAPM) is the widely tested, accepted and rejected model of asset pricing. From its beginning (1964) it has occupied the prime place and still part of the text books on finance in leading business schools. This study is conducted in Pakistani institutional frame work...

Persistent link: https://www.econbiz.de/10013070329

Factor Investing, Learning from Prices, and Endogenous Uncertainty in Asset Markets

Dim, Chukwuma; Sangiorgi, Francesco; Vilkov, Grigory - 2021

We study learning and uncertainty under the factor investing paradigm using an endogenous information model with correlated assets. As investors shift attention from firms towards systematic risk factors, stock prices become less informative, increasing systematic uncertainty and incentivizing...

Persistent link: https://www.econbiz.de/10013247042