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Market Prices of Orthogonal Risk and Risk Aversion in Complete Stochastic Volatility Models : Theoretical and Empirical

Han, Qian - 2010

Considering a production economy with an arbitrary von-Neumann Morgenstern utility, this paper derives a general equilibrium relationship between the market prices of risks and market risk aversion under a continuous time stochastic volatility model completed by liquidly traded options....

Persistent link: https://www.econbiz.de/10013136898

Gambling, Risk Appetite and Asset Pricing

Carvalho, Carlos Viana de - 2018

A measure of the propensity to gamble in casinos constructed without any asset price data provides relevant information for asset pricing. This measure of risk appetite improves the fit of conditional asset pricing models such as the conditional CAPM, explains cross-sectional differences in...

Persistent link: https://www.econbiz.de/10012931926

Behavioral Finance - Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle : The Rational Finance Approach

Rachev, Svetlozar T. - 2020

In this paper we address three main objections of behavioral finance to the theory of rational finance, considered as … “anomalies” the theory of rational finance cannot explain: (i) Predictability of asset returns; (ii) The Equity Premium; (iii … are the only possible explanations of the “anomalies”, but offer statistical models within the rational theory of finance …

Persistent link: https://www.econbiz.de/10012842392

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

Asset pricing with time varying pessimism and rare disasters

Zhang, Jian; Kong, Dongmin; Liu, Hening; Wu, Ji - In: International review of economics & finance : IREF 60 (2019), pp. 165-175

Persistent link: https://www.econbiz.de/10012203951

Value around the world

Caliskan, Nilufer; Hens, Thorsten - 2013

We show that in a consumption-based asset-pricing model with hyperbolic discounting leading to dynamically inconsistent time preferences value premium increases nonlin-early with the degree of discounting and thus affects cross section of returns. To test our model empirically, we relate the...

Persistent link: https://www.econbiz.de/10009751115

Structural Uncertainty, Learning, and Asset Pricing

Gvozdeva, Evgenia - 2010

We examine the effects of parameter uncertainty and Bayesian learning on equilibrium asset prices when all the structural parameters of the aggregate consumption and dividend growth rate processes are unknown. With realistic calibration of a parsimonious set of prior parameters, the model...

Persistent link: https://www.econbiz.de/10013150931

Precautionary Volatility and Asset Prices

Chen, Andrew Y. - 2014

Many theories of asset prices assume time-varying uncertainty in order to generate time-varying risk premia. This paper generates time-varying uncertainty endogenously, through precautionary saving dynamics. Precautionary motives prescribe that, in bad times, next period's consumption should be...

Persistent link: https://www.econbiz.de/10013048255

Empirical Pricing Kernels and Investor Preferences

Detlefsen, Kai - 2017

This paper analyzes empirical market utility functions and pricing kernels derived from the DAX and DAX option data for three market regimes. A consistent parametric framework of stochastic volatility is used. All empirical market utility functions show a region of risk proclivity that is...

Persistent link: https://www.econbiz.de/10012966248

Empirical pricing kernels and investor preferences

Detlefsen, Kai (contributor); Härdle, Wolfgang (contributor) - 2007

Persistent link: https://www.econbiz.de/10003633572