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Chapter 13 Consumption-based asset pricing

Campbell, John Y. - 2003

theory. Data from other countries are examined to see which features of the U.S. experience apply more generally. The chapter …

Persistent link: https://www.econbiz.de/10014023858

What is an optimal allocation in Hong Kong stock, real estate, and money markets : an individual asset, efficient frontier portfolios, or a naïve portfolio? : is this a new financial anomaly?

Lv, Zhihui; Tsang, Chun Kei; Wagner, Niklas F.; Wong, … - In: Emerging markets, finance & trade : a journal of the … 59 (2023) 5, pp. 1554-1571

Persistent link: https://www.econbiz.de/10014289728

A continuous heterogeneous agent model for multi-asset pricing and portfolio construction under market matching friction

Fu, Jie; Zhang, Xiaoqi; Zhou, Wenyuan; Lyu, Yang - In: International review of economics & finance : IREF 89 (2024) 1, pp. 267-283

Persistent link: https://www.econbiz.de/10014446433

Conditional skewness in asset pricing : 25 years of out-of-sample evidence

Harvey, Campbell R.; Siddique, Akhtar R. - In: Critical finance review 12 (2023) 1/4, pp. 355-366

Persistent link: https://www.econbiz.de/10014370380

Generalized disappointment aversion and the cross-section of stock returns

Lu, Xiaohua; Hu, Yonghong - In: Applied economics letters 30 (2023) 17, pp. 2455-2463

Persistent link: https://www.econbiz.de/10014365936

Does equity premium puzzle exist in China : an analysis with the robust inference method

Mao, Jie; Yan, Qianhui; Yao, Xin - In: Applied economics 56 (2024) 59, pp. 8860-8866

Persistent link: https://www.econbiz.de/10015141954

Portfolio allocation and asset returns in an olg economy with increasing risk aversion

DaSilva, Amadeu; Farka, Mira - In: European financial management : the journal of the … 23 (2017) 4, pp. 836

Persistent link: https://www.econbiz.de/10011770965

Stock performance by utility indifference pricing and the Sharpe ratio

Hodoshima, Jiro - In: Quantitative finance 19 (2019) 2, pp. 327-338

Persistent link: https://www.econbiz.de/10012194656

Joint extreme events in equity returns and liquidity and their cross-sectional pricing implications

Ruenzi, Stefan; Ungeheuer, Michael; Weigert, Florian - 2020 - This version: January 2020

We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside liquidity (EDL) risks. The cross-section of stock returns reflects a premium if a stock's return (liquidity) is lowest at the same time when the market liquidity (return) is lowest....

Persistent link: https://www.econbiz.de/10012175486

A dynamic mean-variance analysis for log returns

Dai, Min; Jin, Hanqing; Kou, Steven; Xu, Yuhong - In: Management science : journal of the Institute for … 67 (2021) 2, pp. 1093-1108

Persistent link: https://www.econbiz.de/10012505370