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Year of publication
Subject
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Kapitalmarkttheorie 2,424 Financial economics 2,291 Financial Economics 2,129 Theorie 1,201 Theory 1,198 Agricultural Finance 505 Agribusiness 409 Portfolio selection 371 Portfolio-Management 367 Farm Management 362 CAPM 358 USA 353 United States 349 Finanzmarkt 339 Financial market 338 Börsenkurs 336 Share price 334 Agricultural and Food Policy 269 financial economics 251 Anlageverhalten 227 Behavioural finance 212 Production Economics 208 Demand and Price Analysis 200 Research Methods/ Statistical Methods 174 financial markets 164 Crop Production/Industries 163 Risk and Uncertainty 155 Community/Rural/Urban Development 153 Welt 143 World 143 Marketing 139 Schätzung 131 stock market 131 Estimation 129 International Relations/Trade 127 Risk premium 125 bond 125 Capital income 124 Kapitaleinkommen 124 Consumer/Household Economics 123
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Online availability
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Free 2,915 Undetermined 403
Type of publication
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Book / Working Paper 3,185 Article 1,540 Journal 111 Other 47
Type of publication (narrower categories)
All
Graue Literatur 750 Non-commercial literature 750 Article in journal 680 Aufsatz in Zeitschrift 680 Working Paper 583 Arbeitspapier 570 Hochschulschrift 339 Thesis 253 Lehrbuch 177 Textbook 171 Collection of articles of several authors 132 Sammelwerk 132 Aufsatz im Buch 119 Book section 119 Collection of articles written by one author 70 Sammlung 70 Bibliografie enthalten 61 Bibliography included 61 Konferenzschrift 47 Aufsatzsammlung 44 Dissertation u.a. Prüfungsschriften 40 Systematic review 29 Übersichtsarbeit 29 Conference proceedings 28 Glossar enthalten 22 Glossary included 22 Congress Report 21 Festschrift 18 Handbook 11 Handbuch 11 Case study 10 Fallstudie 10 Bibliografie 9 Commentary 9 Kommentar 9 Einführung 7 Mehrbändiges Werk 6 Multi-volume publication 6 Ratgeber 4 Statistik 4
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Language
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English 2,280 Undetermined 2,083 German 481 Spanish 19 French 11 Italian 10 Portuguese 10 Hungarian 7 Polish 3 Czech 2 Slovak 2 Serbian 2 Danish 1 Korean 1 Dutch 1 Russian 1
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Author
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Leistritz, F. Larry 29 Smith, Stuart F. 28 Bangsund, Dean A. 24 Quiggin, John 22 Wittenberg, Eric 22 Chambers, Robert G. 21 Casler, George L. 20 Irwin, Scott H. 20 Hens, Thorsten 18 LaDue, Eddy L. 18 Adam, Klaus 17 Claessens, Stijn 17 Marion, Bruce W. 17 Coon, Randal C. 16 Cespa, Giovanni 15 Wolf, Christopher A. 15 Knoblauch, Wayne A. 14 Schmukler, Sergio L. 14 Shane, Mathew 14 Bastow-Shoop, Holly E. 13 Kose, M. Ayhan 13 Kruschwitz, Lutz 13 Musshoff, Oliver 13 Nagel, Stefan 13 Spremann, Klaus 13 Vayanos, Dimitri 13 Wanzek, Janet K. 13 Zetocha, Dale F. 13 Hartarska, Valentina M. 12 Koo, Won W. 12 Schenk-Hoppé, Klaus Reiner 12 Başak, Suleyman 11 Chernov, Mikhail 11 Schinckus, Christophe 11 Tauer, Loren W. 11 Taylor, Richard D. 11 Zimmermann, Heinz 11 Jovanovic, Franck 10 Laux, Helmut 10 Lochstoer, Lars A. 10
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Institution
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International Monetary Fund (IMF) 181 Charles H. Dyson School of Applied Economics and Management, Cornell University 170 Agricultural and Applied Economics Association - AAEA 154 Department of Agribusiness and Applied Economics, North Dakota State University 81 Department of Agricultural, Food and Resource Economics, Michigan State University 63 Economics Research, World Bank Group 63 Australian Agricultural and Resource Economics Society - AARES 51 Economic Research Service, Department of Agriculture 51 HWWA Institut für Wirtschaftsforschung 49 International Association of Agricultural Economists - IAAE 49 Department of Agricultural and Consumer Economics, University of Illinois at Urbana-Champaign 46 Southern Agricultural Economics Association - SAEA 41 Sociedade Brasileira de Economia e Sociologia Rural - SOBER 39 Department of Agricultural and Resource Economics, University of Maryland 34 Department of Applied Economics, College of Agricultural, Food, and Environmental Sciences 34 Economic Policy Research Centre (EPRC) 27 Department of Agricultural & Applied Economics, University of Wisconsin-Madison 26 Gesellschaft für Wirtschafts- und Sozialwissenschaften des Landbaues - GEWISOLA 26 International Water Management Institute (IWMI) 24 School of Economics, University of Queensland 23 Institute of Development Studies, University of Sussex 20 National Bureau of Economic Research 20 European Association of Agricultural Economists - EAAE 18 Agriculture Canada, Government of Canada 17 Farm Foundation 13 International Monetary Fund 12 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 11 African Association of Agricultural Economists - AAAE 10 Department of Agricultural and Resource Economics, University of California-Davis 9 Zentrum für Entwicklungsforschung (ZEF), Rheinische Friedrich-Wilhelms-Universität Bonn 9 Caribbean Agro-Economic Society - CAES 8 International Agricultural Trade Research Consortium - IATRC 8 Springer Fachmedien Wiesbaden 8 Department of Agricultural Economics, University of Nebraska 7 Department of Agricultural, Environmental and Development Economics, Ohio State University 7 Department of Agricultural Economics, Purdue University 6 New Zealand Agricultural and Resource Economics Society - NZARES 6 University of California, Davis, Center for Cooperatives 6 Agricultural Economics Society - AES 5 Bancock Institute for International Dairy Research and Development, University of Wisconsin-Madison 5
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Published in...
All
IMF Working Papers 169 Working paper / National Bureau of Economic Research, Inc. 128 EB Series 101 Policy Research Working Paper Series 63 Discussion Paper Series / HWWA Institut für Wirtschaftsforschung 47 Discussion paper / Centre for Economic Policy Research 46 Staff Papers / Charles H. Dyson School of Applied Economics and Management, Cornell University 44 Staff Papers / Department of Agricultural, Food and Resource Economics, Michigan State University 43 Review of Applied Economics 35 The review of financial studies 35 Working Papers / Department of Agricultural and Resource Economics, University of Maryland 34 Asian Journal of Agriculture and Rural Development 31 International Food and Agribusiness Management Review 31 Journal of Agricultural and Applied Economics 31 Agricultural Economics Research 30 44th Congress, July 23-27, 2006, Fortaleza, Ceará, Brazil 29 Staff Papers / Department of Applied Economics, College of Agricultural, Food, and Environmental Sciences 29 Agricultural Economics Miscellaneous Reports 28 Choices 26 GAZDÁLKODÁS: Scientific Journal on Agricultural Economics 26 Journal of financial economic policy 26 Statistical Bulletin 26 Working Papers / Department of Agricultural & Applied Economics, University of Wisconsin-Madison 26 Journal of Agricultural Economics Research 25 2010 Annual Meeting, July 25-27, 2010, Denver, Colorado 24 Journal of economic theory 24 Revista Española de Estudios Agrosociales y Pesqueros 24 Working Papers / Charles H. Dyson School of Applied Economics and Management, Cornell University 24 Journal of Regional Analysis and Policy 22 Journal of the ASFMRA 22 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota 21 Asian Agricultural Research 21 farmdoc daily 21 Agribusiness & Applied Economics Report 20 Journal of mathematical economics 20 NBER working paper series 20 Research paper series / Swiss Finance Institute 20 Problems of World Agriculture / Problemy Rolnictwa Światowego 19 2013 Annual Meeting, August 4-6, 2013, Washington, D.C. 17 Economic and Market Information 17
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Source
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ECONIS (ZBW) 2,385 RePEc 2,158 BASE 211 USB Cologne (EcoSocSci) 114 EconStor 15
Showing 1 - 50 of 4,883
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The Leverage Factor : Credit Cycles and Asset Returns
Davis, Josh; Taylor, Alan M. - 2022
Research finds strong links between credit booms and macroeconomic outcomes like financial crises and output growth. Are impacts also seen in financial asset prices? We document this robust and significant connection for the first time using a large sample of historical data for many countries....
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Information Spillover in Markets with Heterogeneous Traders
Huangfu, Bingchao; Liu, Heng - 2022
This paper studies the welfare impact of information spillover in divisible-good markets with heterogeneous traders and interdependent values. In a setting in which two groups of traders trade two distinct but correlated assets, one within each group, the information content in the price of one...
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Evidence on Presence of Adaptive Market Hypothesis in Nepal Stock Exchange
kumar jha, sunil; Dhungana, Ajaya - 2022
In recent years, the argument on capital market efficiency has shifted to alternative forms of the hypothesis. This research examines one of such alternatives, the Adaptive Market Hypothesis (AMH) with an aim to offer a framework for testing the dynamic notion of market efficiency. Using the...
Persistent link: https://ebtypo.dmz1.zbw/10013295716
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Climate-Contingent Finance
Nay, John - 2022
Climate adaptation (reducing vulnerability to future climate change) could yield significant benefits. However, the uncertainty of which future climate scenarios will occur decreases the feasibility of proactively adapting. Fortunately, climate adaptation projects could be underwritten by...
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Smile or Smirk? The Liquidity and Volatility
Hsiao, Chiu-Ming - 2022
This study investigates the pattern of mothly liquidity and volatility of Taiwan stock market from January 1998 to December 2015. In this study, the market liquidity is measured as the reciprocal value of Amihud illiquidity. The empirical results by using the VAR approach show that the...
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Debt as Safe Asset
Brunnermeier, Markus K.; Merkel, Sebastian; Sannikov, Yuliy - 2022
The price of a safe asset reflects not only the expected discounted future cash flows but also future service flows, since retrading allows partial insurance of idiosyncratic risk in an incomplete markets setting. This lowers the issuers’ interest burden and allows the government to run a...
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The Implications of Heterogeneity and Inequality for Asset Pricing
Panageas, Stavros - 2022
Does heterogeneity matter for asset pricing and in particular for risk premiums? Starting with an irrelevance result, I classify the literature into two groups of papers taking different routes to link investor heterogeneity and risk premiums. The first group contains models of investors who...
Persistent link: https://ebtypo.dmz1.zbw/10013314327
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Modeling Momentum and Reversals
Stein, Harvey J.; Pozharny, Jacob - 2022
Stock prices are well known to exhibit behaviors that are difficult to model mathematically. Individual stocks are observed to exhibit short term price reversals and long term momentum, while their industries only exhibit momentum.Here we show that individual stocks can be modeled by simple mean...
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Endogenous Limits to Arbitrage and Price Informativeness
Cui, Di; Norli, Oyvind; Reindl, Johann - 2022
Theory suggests that traders will be more reluctant to trade on negative private information about an ongoing merger if their trading will cause the merger to be canceled. This paper provides evidence on the existence of such endogenous limits to arbitrage and it's consequence on the...
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Foreign Institutional Investors, Monetary Policy, and Reaching for Yield
Ahmed, Ahmed; Hofmann, Boris; Schmitz, Martin - 2022
This paper uses a unique security-level data set to demonstrate that foreign institutional investors shift their U.S. corporate bond portfolios toward bonds with higher credit spreads when U.S. monetary policy tightens, which reflects institutional factors related to nominal return targets and...
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Empirical Asset Pricing via Machine Learning : The Global Edition
Cakici, Nusret; Zaremba, Adam - 2022
We examine the cross-section of international equity risk premia with machine learning methods. We identify, classify, and calculate 88 market characteristics and use them to forecast country returns with various machine learning techniques. While all algorithms produce substantial economic...
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Optimal Turnover, Liquidity, and Autocorrelation
Ritter, Gordon; Baldacci, Bastien; Benveniste, Elie - 2022
The steady-state turnover of a trading strategy is of clear interest to practitioners and portfolio managers, as is the steady-state Sharpe ratio. In this article, we show that in a convenient Gaussian process model, the steady-state turnover can be computed explicitly, and obeys a clear...
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Understanding the Ownership Structure of Corporate Bonds
Koijen, Ralph S. J.; Yogo, Motohiro - 2022
Insurers are the largest institutional investors of corporate bonds. However, a standard theory of insurance markets, in which insurers maximize firm value subject to regulatory or risk constraints, predicts no allocation to corporate bonds. We resolve this puzzle in an equilibrium asset pricing...
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Heterogeneity in decentralized asset markets
Hugonnier, Julien; Lester, Benjamin; Weill, Pierre-Olivier - In: Theoretical economics : TE ; an open access journal in … 17 (2022) 3, pp. 1313-1356
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Evaluating the effects of the Home Affordable Modification Program
Cóndor, Richard - 2021
The Home Affordable Modification Program (HAMP) was a loan modification program introduced in 2009, in the U.S., to assist highly indebted homeowners with avoiding foreclosure. This program also encouraged private lenders to offer more sustainable modifications. This paper studies the role of...
Persistent link: https://ebtypo.dmz1.zbw/10012616421
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What 5,000 acknowledgements tell us about informal collaboration in financial economics
Rose, Michael E.; Georg, Co-Pierre - 2021
We present and discuss a novel dataset on informal collaboration in financial economics, manually collected from more than 5,000 acknowledgement sections of published papers. We find that informal collaboration is the norm in financial economics, while generational differences in informal...
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That Is Not My Dog : Why Doesn't the Log Dividend-Price Ratio Seem to Predict Future Log Returns or Log Dividend Growths?
Dybvig, Philip H.; Zhang, Huacheng - 2021
Campbell and Shiller’s “accounting identity” implies that the log dividend-price ratio (LDPR) predicts either returns or dividend growths, but neither is significantly predictable, a well-known puzzle. Existence of the long-term mean LDPR is an important assumption behind the accounting...
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Big data in finance
Goldstein, Itay; Spatt, Chester S.; Ye, Mao - In: The review of financial studies 34 (2021) 7, pp. 3213-3225
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Residual based nodewise regression in factor models with ultra-high dimensions: analysis of mean-variance portfolio efficiency and estimation of out-of-sample and constrained maxim...
Caner, Mehmet; Medeiros, Marcelo C.; Vasconcelos, … - 2021
We provide a new theory for nodewise regression when the residuals from a fitted factor model are used to apply our results to the analysis of maximum Sharpe ratio when the number of assets in a portfolio is larger than its time span. We introduce a new hybrid model where factor models are...
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What 5,000 acknowledgements tell us about informal collaboration in financial economics
Rose, Michael E.; Georg, Co-Pierre - 2021
We present and discuss a novel dataset on informal collaboration in financial economics, manually collected from more than 5,000 acknowledgement sections of published papers. We find that informal collaboration is the norm in financial economics, while generational differences in informal...
Persistent link: https://ebtypo.dmz1.zbw/10012507924
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Evaluating the effects of the Home Affordable Modification Program
Cóndor, Richard - 2021
The Home Affordable Modification Program (HAMP) was a loan modification program introduced in 2009, in the U.S., to assist highly indebted homeowners with avoiding foreclosure. This program also encouraged private lenders to offer more sustainable modifications. This paper studies the role of...
Persistent link: https://ebtypo.dmz1.zbw/10012584167
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Navigating the factor zoo around the world : an institutional investor perspective
Bartram, Söhnke M.; Lohre, Harald; Pope, Peter F.; … - In: Journal of business economics : JBE 91 (2021) 5, pp. 655-703
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Asset return prediction and covariance matrix estimation for portfolio selection in large dimensions
De Nard, Gianluca - 2021
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Antinoise in U.S. equity markets
Cheng, Enoch; Struck, Clemens C. - In: Quantitative finance 21 (2021) 12, pp. 2069-2087
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Essays on macro-finance and market anomalies
Tancheva, Zhaneta Krasimirova - 2021
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Preview
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Resolving bank failures and institutions : is there a link? : some empirical evidence
Rawlins, Marlon; Zanforlin, Luisa - 2021
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Preview
Persistent link: https://ebtypo.dmz1.zbw/10012605133
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Beauty contests and the term structure
Ellison, Martin; Tischbirek, Andreas - In: Journal of the European Economic Association : JEEA 19 (2021) 4, pp. 2234-2282
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Cross-section without factors : correlation risk, strings and asset prices
Distaso, Walter; Mele, Antonio; Vilkov, Grigory - 2021 - This version: January 13, 2021
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Replicating business cycles and asset returns with sentiment and low risk aversion
Lansing, Kevin J. - 2021
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Multi-horizon equity returns predictability via machine learning
Nechvatalova, Lenka - 2021
We examine the predictability of expected stock returns across horizons using machine learning. We use neural networks, and gradient boosted regression trees on the U.S. and international equity datasets. We find that predictability of returns using neural networks models decreases with longer...
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Essays on financial markets and monetary policy
Knox, Benjamin - 2021 - 1st edition
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Preview
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Effects of bank macroeconomic indicators on the stability of the financial system in Indonesia
Viphindrartin, Sebastiana; Ardhanari, Margaretha - In: Journal of Asian finance, economics and business : JAFEB 8 (2021) 1, pp. 647-654
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A Machine Learning Based Asset Pricing Factor Model Extension Comparison On Anomaly Portfolios
Taylor, Stephen Michael; Fang, Ming - 2021
We frame linear factor models for asset pricing in a machine learning context and consider a numerical comparison of their performance against ordinary least squares linear regression over a dataset of anomaly portfolios. Specific regression models involved in the comparison include regularized...
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Three essays in financial economics
Große Rüschkamp, Benjamin - 2021
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Essays in empirical asset pricing
Quynh Thi Thuy Pham - 2021
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Regime-switching determinants of mutual fund performance in South Africa
Apau, Richard; Moores-Pitt, Peter; Muzindutsi, Paul-Francois - In: Economies : open access journal 9 (2021) 4, pp. 1-20
This study assesses the effect of fund-level and systemic factors on the performance of mutual funds in the context of changing market conditions. A Markov regime-switching model is used to analyze the performance of 33 South African equity mutual funds from 2006 to 2019. From the results, fund...
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Prudential Monetary Policy
Caballero, Ricardo J.; Simsek, Alp - 2021
Should monetary policymakers raise interest rates during a boom to rein in financial excesses? We theoretically investigate this question using an aggregate demand model with asset price booms and financial speculation. In our model, monetary policy affects financial stability through its impact...
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Robust Identification of Investor Beliefs
Chen, Xiaohong; Hansen, Lars Peter; Hansen, Peter - 2021
This paper develops a new method informed by data and models to recover information about investor beliefs. Our approach uses information embedded in forward-looking asset prices in conjunction with asset pricing models. We step back from presuming rational expectations and entertain potential...
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When do low-frequency measures really measure effective spreads? Evidence from equity and foreign exchange markets
Jahan-Parvar, Mohammad R.; Zikes, Filip - 2021
We compare low-frequency measures of effective spreads with their high-frequency counterparts. We find that some popular measures suffer from a volatility-induced bias and that volatility is the primary driver of the variation of these liquidity proxies. We show that such distortions arise when...
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Necessary Evidence for a Risk Factor's Relevance
Chinco, Alex; Hartzmark, Samuel M.; Sussman, Abigail B. - 2021
Textbook finance theory assumes that investors strategically try to insure themselves against bad future states of the world when forming portfolios. This is a testable assumption, surveys are ideally suited to test it, and we develop a framework for doing so. Our framework combines survey...
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Commonality in Credit Spread Changes : Dealer Inventory and Intermediary Distress
He, Zhiguo; Khorrami, Paymon; Song, Zhaogang - 2021
Two intermediary-based factors - a broad financial distress measure and a dealer corporate bond inventory measure - explain about 50% of the puzzling common variation of credit spread changes beyond canonical structural factors. A simple model, in which intermediaries facing margin constraints...
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Tokenomics : Dynamic Adoption and Valuation
Cong, Lin William; Li, Ye; Wang, Neng - 2021
We develop a dynamic asset-pricing model of cryptocurrencies/tokens that allow users to conduct peer-to-peer transactions on digital platforms. The equilibrium value of tokens is determined by aggregating heterogeneous users' transactional demand rather than discounting cashflows as in standard...
Persistent link: https://ebtypo.dmz1.zbw/10013314305
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Monetary Policy and Bubbles in a New Keynesian Model with Overlapping Generations
Galí, Jordi - 2021
I analyze an extension of the New Keynesian model that features overlapping generations of finitely-lived agents and (stochastic) transitions to inactivity. In contrast with the standard model, the proposed framework allows for the existence of rational expectations equilibria with asset price...
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Stock Market Returns, Corporate Governance and Capital Market Equilibrium
Parigi, Bruno Maria; Pelizzon, Loriana; von Thadden, … - 2021
This paper proposes a theoretical model that incorporates corporate governance into the basic CAPM, where corporate governance affects the disutility of managerial effort and the possibility of managers to divert company resources. It shows that corporate governance affects firms’ stock...
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r minus g
Barro, Robert J. - 2020
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Behavioural macro-financial cycles
Lake, Alfred Fitzgerald - 2020
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Conditional Dynamics and the Multi-Horizon Risk-Return Trade-Off
Chernov, Mikhail - 2020
We propose testing asset-pricing models using multi-horizon returns (MHR). MHR effectively generate a new set of test assets that are endogenous to the model and that identify a broad set of possible conditional misspecifications. We apply MHR-based testing to prominent linear factor models and...
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The Unintended Impact of Academic Research on Asset Returns : The CAPM Alpha
Horenstein, Alex R. - 2020
This paper explores a channel whereby asset-pricing anomalies can appear as investors alter portfolios according to findings in academic research. In particular, I find that assets with low realized CAPM Alphas outperform those with high ones, but this finding only appears after the CAPM's...
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Asset Mispricing
Lewis, Kurt F. - 2020
We use a unique sample of corporate bonds guaranteed by the full faith and credit of the U.S. to test recent theories about why asset prices may diverge from fundamental values. These theories emphasize the role of funding liquidity, slow-moving capital, and the leverage of financial...
Persistent link: https://ebtypo.dmz1.zbw/10012854244
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An Experimental Test of the Lucas Asset Pricing Model
Crockett, Sean - 2020
We implement a dynamic asset pricing experiment in the spirit of Lucas (1978) with storable assets and non-storable cash. In the first treatment, we impose diminishing marginal returns to cash to incentivize consumption smoothing across periods. We find that subjects use the asset to smooth...
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