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Capital Allocation Based Asset Pricing
Qi, Qian - 2021
I explore an intricate interaction between a firm’s risk exposure, intangible capital accumulation, and physical capital accumulation by using a unified dynamic investment model of capital allocation. The model emphasizes both the importance of the marginal value of the intangible capital and...
Persistent link: https://www.econbiz.de/10013249319
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Solving the Equity Premium Puzzle by Unifying Economics and Finance
Vanoverberghe, Didier - 2021
and wealth increment and their utility for any agent instead of consumption, a permanent change of equilibrium theory, a …
Persistent link: https://www.econbiz.de/10013235726
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Fundamental Anomalies
Li, Erica X. N.; Ma, Guoliang; Wang, Shujing; Yu, Cindy - 2021
This paper examines to what extent stock market anomalies are driven by firm fundamentals in an investment-based asset pricing framework. Using Bayesian Markov Chain Monte Carlo (MCMC), we estimate a two-capital q-model to match firm-level stock returns, instead of matching portfolio-level...
Persistent link: https://www.econbiz.de/10013245422
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Empirical Social Asset Pricing
Hwang, Byoung-Hyoun - 2022
I review the empirical literature on word of mouth (WOM) among investors. I begin with an outline of the empirical challenges that WOM research faces and possible strategies to overcome those challenges. I then discuss recent studies on WOM among retail and institutional investors. The research...
Persistent link: https://www.econbiz.de/10013406015
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Asset prices and liquidity with market power and non-Gaussian payoffs
Glebkin, Sergei; Malamud, Semyon; Teguia, Alberto - 2020
We consider an economy populated by CARA investors who trade, accounting for their price impact, multiple risky assets with arbitrary distributed payoffs. We propose a constructive solution method: finding the equilibrium reduces to solving a linear ordinary differential equation. With market...
Persistent link: https://www.econbiz.de/10012419350
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CAPM и Диверсификация Инвестиционного Портфеля в Условиях Неоднородной Волатильности (CAPM and Diversification of an Investment Portfolio in the Conditions of Non-Uniform Volatility)
Minasyan, Vigen Babkenovich - 2015
The theory of cost of capital (long-term) assets [Sharpe, 1964, Lintner, 1965, Mossin, 1966] based on G. Markovits … is substantially uniform concerning risks of the assets addressing on it. However this theory doesn't assume possibility … changes, the basic theory isn't capable in such conditions to give an objective assessment of assets. At the same time …
Persistent link: https://www.econbiz.de/10013025979
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Non-Dividend Paying Stocks and the Negative Value Premium
Blazenko, George - 2014
The value premium is the empirical observation that low market/book “value” stocks have higher returns than high market/book “growth” stocks. In this paper, we show that the profitability determined relation between risk and return is distinct for non-dividend paying businesses. High...
Persistent link: https://www.econbiz.de/10013069464
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Liquidity and solvency of a company and the rate of return : an analysis of the Warsaw Stock Exchange
Zalewska, Justyna; Nehrebecka, Natalia - In: Central European economic journal 6 (2019) 53, pp. 199-220
The purpose of the article is to analyse the impact of various financial ratios used to evaluate a company’s liquidity and solvency on the rates of return on the shares of companies listed on the Warsaw Stock Exchange. In the context of developing countries, the relationship between liquidity...
Persistent link: https://www.econbiz.de/10012303197
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Revisiting the Investment Anomaly : Financing Constraints or Limits to Arbitrage?
Koh, Rachel - 2022
limits to arbitrage and ii) financing constraints in the context of Q-theory of investments. The analyses employ new proxies …
Persistent link: https://www.econbiz.de/10014085398