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The asymmetric response of equity markets to sentiment risk : a new asset pricing model

Dhaoui, Abderrazak; Bourouis, Saad - In: Financial Market Dynamics after COVID 19 : The …, (pp. 37-55). 2022

Persistent link: https://www.econbiz.de/10013198540

Fundamentals unknown : momentum, mean-reversion and price-to-earnings trading in an artificial stock market

Schasfoort, Joeri; Stockermans, Christopher - 2017

The use of fundamentalist traders in the stock market models is problematic since fundamental values in the real world are unknown. Yet, in the literature to date, fundamentalists are often required to replicate key stylized facts. The authors present an agent-based model of the stock market in...

Persistent link: https://www.econbiz.de/10011723700

Market maturity and mispricing

Jacobs, Heiko - In: Journal of financial economics 122 (2016) 2, pp. 270-287

Persistent link: https://www.econbiz.de/10011590903

Essays in empirical asset pricing and international finance

Niu, Zilong - 2020

Persistent link: https://www.econbiz.de/10012172860

Essentials of Financial Economics : A Hands-On Approach

Donadelli, Michael; Costola, Michele; Gufler, Ivan - 2025

Choice under Uncertainty -- Modern Portfolio Theory -- The Capital Asset Pricing Model -- Empirical Analysis of the … CAPM -- The Consumption CAPM -- Arbitrage Pricing Theory and Multi-factor Models -- Empirical Cross-Sectional Asset Pricing … uncertainty, gradually advancing to topics such as intertemporal consumption choices and their impact on asset prices, before …

Persistent link: https://www.econbiz.de/10015397272

Investor tastes : implications for asset pricing in the public debt market

Shafron, Emily - In: The journal of corporate finance : contracting, … 55 (2019), pp. 6-27

Persistent link: https://www.econbiz.de/10011996521

A concave security market line

De Giorgi, Enrico; Post, Thierry; Yalçın, Atakan - In: Journal of banking & finance 106 (2019), pp. 65-81

Persistent link: https://www.econbiz.de/10012223950

A Concave Security Market Line

De Giorgi, Enrico - 2018

We provide theoretical and empirical arguments in favor of a diminishing marginal premium for market risk. In capital market equilibrium with binding portfolio restrictions, investors with different risk aversion levels generally hold different sets of risky securities. Whereas the traditional...

Persistent link: https://www.econbiz.de/10012940481

Do the rich gamble in the stock market? : low risk anomalies and wealthy households

Bali, Turan G.; Günaydin, A. Doruk; Jansson, Thomas; … - In: Journal of financial economics 150 (2023) 2, pp. 1-24

Persistent link: https://www.econbiz.de/10014462604

A simple asset pricing model with heterogeneous agents, uninsurable labor income and limited stock market participation

Ahn, Seryoong; Choi, Kyoung Jin; Koo, Hyeng-keun - In: Journal of banking & finance 55 (2015), pp. 9-22

Persistent link: https://www.econbiz.de/10011377843