Search Results - subject_exact:"Theorie des Kapitalmarktgleichgewichts"

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Demand-based asset pricing in general equilibrium

Abadi, Joseph - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015609903

The co-pricing factor zoo

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

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015604105

Speculation or fundamentals? : European natural gas price swings post 2020

Citera, Emanuele; Dolar, Veronika - 2026

We investigate the role of speculation in the European natural gas market over the period 2020- 2024, a period marked by extreme price volatility driven by the energy crisis following Russia's invasion of Ukraine. Replicating the framework of Knittel and Pindyck (2016), we disentangle the...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015625473

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

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

Persistent link: https://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

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://ebvufind01.dmz1.zbw.eu/10015656182

Media reporting and asset pricing models

Jacobs, Heiko; Lauber, Alexander - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015559065

State-dependent value of news sentiment in S&P 500 direction forecasting

Bajgai, Prabin; Zhou, Zhaoxian - 2026

Next-day S&P 500 direction forecasting matters for allocation, hedging, and risk management because broad-index movements transmit quickly across portfolios. Does structured news sentiment help predict next-day S&P 500 direction? We test four feature sets over 2008-2023 in an ablation sequence:...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016061364

A European safe asset? : not without the investors

Bonfanti, Giovanni; Marcucci, Juri - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016061471

Safe assets as balance sheet multipliers

Ozdenoren, Emre; Yuan, Kathy; Zhang, Shengxing - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016061872

Asset pricing with endogenous information avoidance

Drees, Burkhard; Eckwert, Bernhard - 2026

The behavior of equity prices is analyzed in a general equilibrium model where agents have preferences not only over consumption but also (implicitly) over their beliefs. To alleviate psychological conflict, investors endogenously choose to ignore information that conflicts too much with their...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016062728

A currency premium puzzle

Hassan, Tarek A.; Mertens, Thomas; Wang, Jingye - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016083236

Symbolic Modeling for financial asset pricing

Zuo, Xiangwu; Jiang, Anxiao (Andrew) - 2025

Symbolic Regression is a machine learning technique that discovers an unknown function from its samples. Compared to conventional regression techniques (e.g., linear regression, polynomial regression, etc.), Symbolic Regression does not limit the discovered function to specific forms (e.g.,...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015654750

What are asset price bubbles? : a survey on definitions of financial bubbles

Baumann, Michael; Janischewski, Anja - 2025

Financial bubbles and crashes have repeatedly caused economic turmoil notably but not only during the 2008 financial crisis. However, both in the popular press as well as scientific publications, the meaning of bubble is sometimes unspecified. Due to the multitude of bubble definitions, we...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015207173

Multi-asset bubbles equilibrium price dynamics

Cordoni, Francesco - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015338090

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Multi-Asset Bubbles Equilibrium Price Dynamics

Cordoni, Francesco - 2023

Book / Working Paper

Multi-Asset Bubbles Equilibrium Price Dynamics

Cordoni, Francesco - 2022

Book / Working Paper

An information-theoretic asset pricing model

Ghosh, Anisha; Julliard, Christian; Taylor, Alex P. - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015339156

The effects of misperceived managerial skills : evidence from Chinese mutual funds

Cai, Yue - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015176805

Higher order expectations, learning, and sentiment pricing dynamics

Li, Jinfang - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015359880

Text spillover : measuring connectedness of financial institutions based on news text data

Klaucke, Konstantin - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015359881

Emergence and evolution of financial economics

Šlampiaková, Lea - 2025

This paper aims to deliver a comprehensive analysis of the theories and concepts that have formed the foundational link between two separate academic fields: finance and economics, resulting in the emergent field of financial economics. The main schools of thought can be divided, with a...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015418664

Unravelling cross-sectional patterns in cryptocurrencies : a four-factor asset pricing model

Ali, Asgar; Peng, Sanshao; Shams, Syed - 2025

This paper examines the pricing effect of cross-sectional patterns in the cryptocurrency market, aiming to enhance the composition of asset pricing factors for a better explanation of cross-sectional variability in cryptocurrency returns.The study utilizes data from 1,160 cryptocurrencies...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015467543

Forest through the trees : building cross-sections of stock returns

Bryzgalova, Svetlana; Pelger, Markus; Zhu, Jason - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015474361

The valuation of corporate coupon bonds

Hilscher, Jens; Jarrow, Robert A.; Deventer, Donald R. van - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015451399

Essays on empirical asset pricing

Eskildsen, Marc Baert - 2025 - First edition

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015405616

Monetary policy with inelastic asset markets

Abadi, Joseph - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015407034

Domain knowledge preservation in financial machine learning : evidence from autocallable note pricing

Ahnouch, Mohammed; Elaachak, Lotfi; Le Saout, Erwan - 2025

Machine learning applications in finance commonly employ feature decorrelation techniques developed for generic statistical problems. We investigate whether this practice appropriately addresses the unique characteristics of financial data, where correlations often encode fundamental economic...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015436793

Factors relevance in asset pricing : new evidences in emerging markets from random matrix theory

Molero-González, Laura; Trinidad Segovia, Juan Evangelista - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015437925

Adaptive market hypothesis: insights from BRIC-T countries' stock markets

Yılmaz Özekenci, Süreyya - 2025

Comparing the Efficient Market Hypothesis and Behavioral Finance, the Adaptive Markets Hypothesis (AMH), which identifies the extremes of these two hypotheses and adapts them to each other, argues that calendar anomalies can coexist, but also focuses on how investor behavior reacts to changing...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015438378

The theory of financial stability meets reality

Boyarchenko, Nina; Hachem, Kinda; Kleymenova, Anya - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015438427

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The theory of financial stability meets reality

Boyarchenko, Nina; Hachem, Kinda; Kleymenova, Anya - 2025

Book / Working Paper

Generative AI for European asset pricing : alleviating the momentum anomaly

Mattusch, Matthias - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015445579

Existence and uniqueness of general equilibria in approximately complete security markets

Kusuda, Koji - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015446428

The effect of NYSE American's latency delay on informed trading

Morris, Jeremy; Xu, Ke - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015613620

Asset prices, wealth inequality, and welfare : safe assets as a solution

Hui, Xitong - 2025

Can rising asset prices reduce wealth inequality? This paper builds a continuous-time heterogeneous-agent general equilibrium in which entrepreneurs hold risky private capital and traditional savers hold safe assets. Safe-asset expansions-via financial innovation, public debt, or a stable equity...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015592055

(Generative) AI in financial economics

Mo, Hongwei; Ouyang, Shumiao - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015553164

Networks, beliefs, and asset prices

Hatcher, Michael; Hellmann, Tim - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015556473

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Networks, beliefs, and asset prices

Hatcher, Michael; Hellmann, Tim - 2022

Book / Working Paper

Sentiment-driven speculation in financial markets with heterogeneous beliefs : a machine learning approach

Di Francesco, Tommaso; Hommes, Cars H. - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015556579

Portfolio choice and settlement frictions : a theory of endogenous convenience yields

Bianchi, Javier; Bigio, Saki - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015556722

Modeling asset price process : an approach for imaging price chart with generative diffusion models

Park, Jinseong; Ko, Hyungjin; Lee, Jaewook - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015590768

The predictability of high-frequency returns in the cryptocurrency markets and the adaptive market hypothesis

Karasiński, Jacek - 2025

The objective of this study was to examine the level and behaviour of the weak-form efficiency of the 16 most capitalised cryptocurrencies using intraday data. The study employed martingale difference hypothesis tests utilising the rolling window method. The predictability of high frequency...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015625674

Unveiling low productivity premium : a tale from emerging market

Ding, Zhiguo; Qi, Ji; Tang, Yun; Zhao, Xuankai - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015481248

Green intermediary asset pricing

Sauzet, Maxime - 2025

Can environmentally-minded investors impact the cost of capital of green firms even when they invest through financial intermediaries? To answer this and related questions, I build an equilibrium intermediary asset pricing model with three investors, two risky assets, and a riskless bond....

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015414155

Stablecoins and safe asset prices

Ahmed, Rashad; Aldasoro, Iñaki - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015416243

Evolutionary finance : models with long-lived assets

Chen, Zerong - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015532066

A model of financial bubbles and drawdowns with non-local behavioral self-referencing

Malevergne, Yannick; Sornette, Didier; Wei, Ran - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015534122

A factor model for the cross-section of country equity risk premia

Fieberg, Christian; Liedtke, Gerrit; Zaremba, Adam; … - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015558542

Essays on empirical asset pricing

Halskov, Kristoffer - 2024 - First edition

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015056976

The economic value of cross-predictability : a performance-based measure

Bagnara, Matteo - 2024

Cross-predictability denotes the fact that some assets can predict other assets' returns. I propose a novel performance-based measure that disentangles the economic value of cross-predictability into two components: the predictive power of one asset's signal for other assets' returns...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014584406

Essays in financial economics

Groeger, Henrike Leonie - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014546176

Climate risk definition and measures : asset pricing models and stock returns

Capriotti, Alessio; Cipollini, Andrea; Muzzioli, Silvia - 2024

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014550912

Essays in financial markets and beliefs

Spina, Alessandro - 2024 - First edition

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014553165

Automated machine learning and asset pricing

Healy, Jerome V.; Gregoriou, Andros; Hudson, Robert - 2024

We evaluate whether machine learning methods can better model excess portfolio returns compared to the standard regression-based strategies generally used in the finance and econometric literature. We examine 17 benchmark factor model specifications based on Expected Utility Theory and theory...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015066381