Search Results - subject_exact:"CAPM-Kapitalmarktmodell"

Beyond the bubble : empirical evidence on asset pricing under persistent low interest rates

Shimizu, Chihiro - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015617260

When long-run trends are unknown : bond pricing implications

Ahonon, Borel; Roussellet, Guillaume - 2026

We propose a macro-finance model in which inflation, growth, and the policy rate are driven by unobservable long-run trends and transitory cycles that investors must infer from aggregate data. Their subjective estimates of these trends, and the uncertainty surrounding them, are priced into the...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015618078

A bound on price impact and disagreement

Beck, Philippe van der; Bretscher, Lorenzo; Fu, Julie Zhiyu - 2026 - This draft: October 31, 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015618229

Investor valuation, taxation, and time varying expected returns

Bjerksund, Petter; Schjelderup, Guttorm - 2026

This paper analyzes the valuation of publicly traded stocks subject to capital income and wealth taxation when expected returns are time-varying. We show that, in an efficient capital market, investor valuation coincides with the market price under a broad class of tax systems, including accrued...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015654699

Tracing the history of asset price bubble theory : a literature review

Dubach, Sally - 2026

The literature on rational asset price bubbles has grown substantially, yet its internal logic is difficult to trace without reading across a large and technically demanding body of work. This paper provides a guide to the literature on rational asset price bubble theory, tracing its evolution...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015654770

Large and deep factor models

Kelly, Bryan T.; Kuznetsov, Boris; Malamud, Semyon; Xu, … - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015609789

Asset pricing robustness in venture capital

Michopoulos, Ioannis; Scaillet, Olivier; Topaloglou, Nikolas - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015609793

Demand-based asset pricing in general equilibrium

Abadi, Joseph - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015609903

Essays on empirical asset pricing

Stolborg, Christian - 2026 - First edition

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015614176

Essays in empirical asset pricing

Luber, Sebastian - 2026 - First edition

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015614195

Disasters, ambiguity, and crash betas

Meyerheim, Gerrit - 2026 - Original Version: October 2025, This Version: March 2026

This paper develops a tractable consumption-based asset-pricing model in an i.i.d. economy that combines rare consumption disasters with ambiguity aversion implemented as a one-period entropic tilt under CRRA utility. Closed-form expressions for the risk-free rate, equity return moments, and the...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015614347

Carbon risk without a stable premium : nonlinear and state-dependent evidence from European ESG leaders

Salzmann, Eleonora - 2026

Despite the economic relevance of climate-transition risk, firm-level carbon exposure often fails to appear as a robustly priced factor when ESG measures and sustainability shocks are conflated. This study examines whether carbon exposure is conditionally priced in European equity returns using...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015615255

Putting the "finance" into "public finance" : a theory of capital gains taxation

Aguiar, Mark; Moll, Benjamin; Scheuer, Florian - 2026 - First version: May 2024, this version: February 2026

Standard optimal capital tax theory abstracts from modeling asset prices, making it unsuitable for thinking about capital gains and wealth taxation. We study optimal redistributive taxation in an environment with asset price movements, adopting the modern finance view that asset prices fluctuate...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015596733

Household preferences in an emerging economy : robust estimates of discount factor and coefficient of relative risk aversion for Pakistan

Ahmed, Waqas; Rehman, Muhammad; Iqbal, Javed; Sheraz, Sahar - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015586903

Workforce shocks and financial markets : asset pricing perspectives

Akhtar, Samreen; Agarwal, Jyoti; Ahmad, Alam; Wiquar, Refia - 2026

Workforce adjustments, such as mass layoffs, are significant corporate events that can influence stock returns and volatility, yet their broader asset-pricing implications remain underexplored. We examine the impact of such workforce shocks on stock performance from an asset-pricing perspective....

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015591184

The co-pricing factor zoo

Dickerson, Alexander; Julliard, Christian; Mueller, Philippe - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015604105

Stress discounting

Cherbonnier, Frédéric; Gollier, Christian; Pommeret, Aude - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015591724

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Stress discounting

Cherbonnier, Frédéric; Gollier, Christian; Pommeret, Aude - 2026

Book / Working Paper

Hard to process : atypical firms and the cross-section of expected stock returns

Weibels, Sebastian - 2026 - Current version: January 2026

Theories of limited attention predict that investors rely on typical patterns to navigate high-dimensional firm characteristics, making atypical firms hard to process. To quantify this difficulty, we propose a data-driven measure of firm atypicality using an autoencoder (ATYP). The model learns...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015605627

Pricing rules with market frictions : an axiomatic approach

Cornet, Bernard - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015619822

The U.S. dollar as a dollar-channel proxy in gold return dynamics : evidence from 2000-2025

Sayegh, Rosette Ghossoub; Accary, Johnny - 2026

This study examines the determinants of gold returns over the period 2000-2025, a period marked by recurrent financial crises, geopolitical tensions, and major shifts in global monetary conditions. As gold represents both a strategic commodity and a key reserve asset, understanding the channels...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015628650

Differential capital taxation and risk premia : a separation result

Menoncin, Francesco; Panteghini, Paolo - 2026

The article studies differential capital taxation - distinct rates on interest income and risky profits - in a continuous-time representative-agent general equilibrium model with complete markets. It derives closed-form expressions for the equilibrium risk-free rate and the market price of risk....

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015638859

Explosive price dynamics in global REIT markets : evidence from developed regions

Iancu, Laura Andreea - 2026

This paper investigates the presence and timing of explosive price dynamics in major listed real estate markets over the period 04 January 2011 - 11 February 2026. The analysis focuses on four benchmark indices: the FTSE EPRA Nareit Developed Europe Index, the FTSE Nareit All Equity REITs Index...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015639899

Recursive portfolio machines

Fan, Jonathan; Kelly, Bryan T.; Malamud, Semyon; Zhang, Yuan - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015640045

Modeling structural deviation in 10-K risk factors : a semantic anomaly detection and explainable AI approach

Sun, Fang; He, Shuangjiang; Wang, Ruiqi; Ke, Lingyun; … - 2026

This study presents an exploratory methodological framework for examining structural changes in regulatory risk disclosure using sentence embeddings, multivariate anomaly detection, and explainable artificial intelligence. Prior research typically relies on dictionary-based word frequencies,...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015640229

Asset pricing and risk sharing in complete markets : an experimental investigation

Biais, Bruno; Mariotti, Thomas; Moinas, Sophie; Pouget, … - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015643399

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Asset pricing and risk sharing in complete markets : an experimental investigation

Biais, Bruno; Mariotti, Thomas; Moinas, Sophie; Pouget, … - 2025

Book / Working Paper

Asset pricing and risk sharing in complete markets : an experimental investigation

Biais, Bruno; Mariotti, Thomas; Moinas, Sophie; Pouget, … - 2024

Book / Working Paper

Tokenization and asset pricing : expanding financial observability of real assets : an application to energy infrastructure in Vaca Muerta

Orlandi, Pablo - 2026

Standard asset pricing theory defines the market portfolio as the aggregation of all risky assets in the economy. In practice, however, empirical implementations of models such as the Capital Asset Pricing Model (CAPM) rely almost exclusively on publicly traded equities and, to a lesser extent,...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015644050

Asset market participation, redistribution, and asset pricing

Gaudio, Francesco Saverio; Petrella, Ivan; Santoro, Emiliano - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015644070

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Asset market participation, redistribution, and asset pricing

Gaudio, Francesco Saverio; Petrella, Ivan; Santoro, Emiliano - 2023

Book / Working Paper

Can models with idiosyncratic risk solve the equity premium puzzle? : redux

Kozliakov, Gleb; Marin, Emile A.; Singh, Sanjay R. - 2026

Can idiosyncratic risk explain the equity premium? We revisit this question using a novel measure of imperfect risk sharing, implied by a large class of heterogeneous-agent models, constructed using household-level panel data. We identify a group of households - with relatively high income but...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015644335

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Can models with idiosyncratic risk solve the equity premium puzzle? : redux

Kozliakov, Gleb; Marin, Emile A.; Singh, Sanjay R. - 2026

Book / Working Paper

Looking for risk : volatility bounds in macro

Jung, Jiyong; Marin, Emile A. - 2026

We characterize the gap between the equity risk premium (ERP) and its SVIX-implied lower bound as an equilibrium object, increasing in the correlation of valuations and returns, their relative volatility, and risk aversion. Higher risk premia need not be reflected in options-implied volatility....

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015644373

ORAKULUM : an information-impact asset pricing model introducing a jump-diffusion framework for information-driven markets

Köntös, Zoltán; Rahimkulov, Ruszlan Megdetovics - 2026

Standard asset pricing models treat price dynamics as a stochastic process driven by undifferentiated random noise, rendering them agnostic about the primary engine of price discovery: the arrival of economically significant information. This paper introduces ORAKULUM, a structured...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015656182

Characteristic function-based factor modeling of affine jump-diffusions using options

Boswijk, Herman Peter; Laeven, Roger J. A.; Marijnen, Niels - 2026

We develop a framework to analyze option markets using factor modeling techniques, offering a novel method to study how many and which risk factors drive the price process of a single asset. We exploit information contained in option prices to construct observations on the characteristic...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015656743

The fallacy of concentration

Kritzman, Mark; Turkington, David - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015647175

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The fallacy of concentration

Kritzman, Mark; Turkington, David - 2025

Book / Working Paper

The performance of low-carbon equity funds

Birk, Kevin; Rohleder, Martin; Weh, René; Wilkens, Marco - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015647470

Conditional demand for lottery-type stocks : information spillovers and asset prices comovement

Zhang, Yu; Kappou, Konstantina; Urquhart, Andrew - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015647644

Expecting the unexpected : voluntary sensitivity risk disclosure and the cost of equity capital

Li, Yong - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015650689

Self-inflated funds

Beck, Philippe van der; Bouchaud, Jean-Philippe; … - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015635297

Short versus long-run demand elasticities in asset pricing

Beck, Philippe van der - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015635524

Equity risk premium in Lithuania's frontier market : integrating country risk and market drivers

Bonelli, Marco I. - 2026

This study quantifies Lithuania's Equity Risk Premium (ERP) by integrating Damodaran's country-risk premium (CRP) framework with a multiple regression on key market drivers. By using quarterly data from Q1 2015 to Q4 2024, the CRP model yields an implied cost of equity of 9.84%, corresponding to...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015636778

Demand disagreement

Heyerdahl-Larsen, Christian; Illeditsch, Philipp - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015573684

The risk and reward of investing

Doeswijk, Ronald; Swinkels, Laurens - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015574497

Media reporting and asset pricing models

Jacobs, Heiko; Lauber, Alexander - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015559065

Expanding the zoo : the circularity-factor

Zara, Claudio; Qiu, Borui; Göbel, Maximilian - 2026 - This draft: September 14, 2024

Climate change, trade wars, supply-chain disruptions, and geopolitical uncertainty - one may characterize the post-COVID era as such. The Circular Economy, with its focus on a circular production process, is a framework that addresses exactly these drivers of heightened uncertainty. We propose...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015589710

Pricing sustainability or pricing illiquidity? : evidence from ESG index futures

Ewald, Christian; Suna, Xiaotong; Haugomb, Erik; … - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015665643

Measuring managerial skill using value added and alpha : evidence from the Korean equity fund market

Lee, Jaeram; Lee, Changjun - 2026

This paper aims to examine whether managerial skill can be effectively measured using value added and alpha in the Korean equity fund market. We document that fund managers generate positive and persistent skill when measured by both gross value added and gross alpha. Unlike equilibrium-based...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015670042

AI premium

Borri, Nicola; Liu, Yukun; Tsyvinski, Aleh - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015672846

Forward-modeling approaches to American option valuation : additive and multiplicative HJM representations

Fernando, Kushantha; Manathunga, Vajira - 2026

This paper introduces an HJM-style forward modeling framework for valuing American options. Instead of modeling the dynamics of the underlying asset, we model the maturity-indexed forward drift of the gain process, leading to two no-arbitrage representations of the option value. The first is an...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015676648

Industry-specific equity valuation practices : evidence from South African equity research reports

Moyo, Vusani; Kayiira, Joseph; Obadire, Ayodeji Michael - 2026

Valuation methodologies vary across industries because firms differ in capital intensity, asset life, earnings stability, and exposure to risk. This study examines the valuation approaches used by South African equity analysts across the diversified mining, platinum group metals mining, gold...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015676655

Fiscal flows and asset prices

O'Connell, Michael; Fletcher, Jonathan - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015672670

Corporate bond multipliers: substitutes matter

Chaudhary, Manav; Fu, Julie Zhiyu; Li, Jian - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015671497

Macro strikes back: term structure of risk premia

Bryzgalov, Svetlana; Huang, Jiantao; Julliard, Christian - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015671520