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Margin requirements and evolutionary asset pricing

Sokko, Anastasiia; Schenk-Hoppé, Klaus Reiner - 2017

We introduce an evolutionary equilibrium asset pricing model with heterogeneous agents who can either act as brokers or hedge funds. Hedge funds can trade on margin, taking short or (leveraged) long positions in the assets. Brokers provide asset loans and credit to margin traders. In any...

Persistent link: https://www.econbiz.de/10011762225

Margin requirements and evolutionary asset pricing

Sokko, Anastasiia; Schenk-Hoppé, Klaus Reiner - In: Essays in behavioural financial markets and asset pricing, (pp. 3-47). 2018

Persistent link: https://www.econbiz.de/10011876028

Differences in Options Investors' Expectations and the Cross-Section of Stock Returns

Andreou, Panayiotis C. - 2018

We provide strong evidence that the dispersion of individual stock options trading volume across moneynesses (IDISP) contains valuable information about future stock returns. Stocks with high IDISP consistently underperform those with low IDISP by more than 1% per month. In line with the idea...

Persistent link: https://www.econbiz.de/10012937333

New Avenues in Expected Returns : Investor Overreaction and Overnight Price Jumps in US Stock Markets

Bahcivan, Hulusi; Dam, Lammertjan; Gonenc, Halit - 2023

Using a very large data set with more than 9,700 stocks listed on NYSE, AMEX and NASDAQ, we analyze overnight price jumps and report short-term investor overreaction to information shocks and document return reversal and predictability up to five days. For negative and positive overnight jumps,...

Persistent link: https://www.econbiz.de/10014254878

A Security Market Plane Approach to Stock Selection

Ferguson, Robert - 2018

Because dividends are taxed at a higher rate than capital gains, as stock with a higher yields should have a higher expected return than a stock whose return is expected to result mostly from price appreciation. Adding yield to the traditional Security Market Line results in a "market plane"...

Persistent link: https://www.econbiz.de/10012928355

Asset pricing with costly short sales

Evgeniou, Theodoros; Hugonnier, Julien; Prieto, Rodolfo - 2022

We study a dynamic general equilibrium model with costly-to-short stocks and heterogeneous beliefs. The closed-form solution to the model shows that costly short sales drive a wedge between the valuation of assets that promise identical cash flows but are subject to different trading...

Persistent link: https://www.econbiz.de/10013169098

Mispricing, Short-Sale Constraints, and the Cross-Section of Option Returns

Ramachandran, Lakshmi Shankar - 2020

Motivated by the theory of demand-based option pricing in imperfect markets, we examine the relation between short-sale constraints and equity option returns, conditional on the level of mis-pricing in the underlying stock. We report a monotonic relation between various measures of short-sales...

Persistent link: https://www.econbiz.de/10012830118

Large Traders, Asset Markets, and Currency Crises

Chung, Kim-Sau - 2019

During currency crises, large traders once simultaneously short the asset markets and currency market. We study the large trader's information manipulation in crises by introducing a large trader in an asset market and a currency-attack coordination game with imperfect information. The asset...

Persistent link: https://www.econbiz.de/10012893863

Capital Asset Pricing Model Without Borrowing or Short Sales

Popov, Valeri - 2018

Using a new utility framework, the author constructs a capital asset pricing model (CAPM) without borrowing or short sales. According to the new utility framework, borrowing at the risk-free rate and short sales of the zero-beta portfolio cause a decline in risk tolerance. This rules-out a...

Persistent link: https://www.econbiz.de/10012931697

Survival in speculative markets

Dindo, Pietro - 2015

investigate the Market Selection Hypothesis that speculation rewards the agent with the most accurate beliefs. Assuming that …. Beliefs heterogeneity and speculation may persist in the long-run or, even when discount factors and intertemporal … elasticities of substitution are homogeneous, speculation may cause the agent with the most accurate beliefs to vanish. Failures …

Persistent link: https://www.econbiz.de/10011404589