CAPM-anomalies: quantitative puzzles
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DOI: 10.1007/s00199-018-1137-5
Abstract: The stochastic discount factor is a crucial determinant of the equity premium as well as the cross-sectional distribution of stock returns. This gives rise to the idea that there is a tight link between the… read more here.
Keywords: cross sectional; asset pricing; quantitative puzzles; equity premium ... See more keywords
Intertemporal asset pricing with bitcoin
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DOI: 10.1007/s11156-020-00904-x
Abstract: This paper develops and tests an intertemporal regime-switching asset pricing model characterized by heterogeneous agents that have different expectations about the persistence and volatility of bitcoin prices. The model is estimated using daily bitcoin price… read more here.
Keywords: asset pricing; asset; volatility; bitcoin ... See more keywords
Estimating asset pricing models with frictions
Sign Up to like & getrecommendations! Published in 2017 at "Economics Letters"
DOI: 10.1016/j.econlet.2017.02.016
Abstract: We jointly quantify the magnitude of risk aversion and transactions costs implied by asset pricing models with trading frictions. With constant relative risk aversion and symmetric transactions costs, estimated transactions costs on Treasury bills are… read more here.
Keywords: pricing models; transactions costs; asset pricing; risk aversion ... See more keywords
The macro and asset pricing implications of rising Italian uncertainty: Evidence from a novel news-based macroeconomic policy uncertainty index
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DOI: 10.1016/j.econlet.2020.109606
Abstract: Abstract We develop a new monthly and daily index of economic policy uncertainty for Italy based on articles from the Sole 24 Ore (a popular Italian business daily newspaper). VAR investigations document that an unexpected… read more here.
Keywords: index; asset pricing; uncertainty; news based ... See more keywords
A consumption-based asset pricing model with disappointment aversion and uncertainty shocks
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DOI: 10.1016/j.econmod.2020.09.016
Abstract: Abstract We study a consumption-based asset pricing model with ‘good’ and ‘bad’ uncertainties. Good and bad uncertainties are characterized by two gamma distributions with time-varying shape parameters and they respectively represent potentially fat-tailed, skewed positive… read more here.
Keywords: asset pricing; based asset; consumption; disappointment aversion ... See more keywords
Asset pricing with data revisions
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DOI: 10.1016/j.finmar.2021.100620
Abstract: Abstract We document two important asset pricing implications of the data release process of US consumption growth. First, initial releases are more suitable for asset pricing than final revised releases. This is because most revisions… read more here.
Keywords: pricing data; asset pricing; consumption growth; asset ... See more keywords
Asset pricing with long-run durable expenditure risk
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DOI: 10.1016/j.frl.2019.04.032
Abstract: Abstract Consumption capital asset pricing models (CCAPMs) have been the center of interest in the vast macrofinance literature. We suggest using fresh long-run durable expenditure growth data to study CCAPM and demonstrate that the durable… read more here.
Keywords: long run; asset pricing; durable expenditure; risk ... See more keywords
Asset pricing in the Middle East’s equity markets
Sign Up to like & getrecommendations! Published in 2021 at "Journal of International Financial Markets, Institutions and Money"
DOI: 10.1016/j.intfin.2021.101337
Abstract: Abstract This paper undertakes a comparison between five multifactor variants of the capital asset pricing model. These include additional factors based on size, book to market value, momentum, liquidity and a new investor protection metric… read more here.
Keywords: asset pricing; investor protection; middle east; equity markets ... See more keywords
Social interactions and asset pricing bubbles
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DOI: 10.1016/j.jebo.2020.09.020
Abstract: We investigate the influence of social interactions on asset markets and provide an empirical test of the hypothesis that social interactions increase asset pricing bubbles. We test the impact of social interactions on bubbles in… read more here.
Keywords: asset pricing; interactions asset; social interactions; asset ... See more keywords
Empirical asset pricing with multi-period disaster risk: A simulation-based approach
Sign Up to like & getrecommendations! Published in 2020 at "Journal of Econometrics"
DOI: 10.1016/j.jeconom.2020.08.001
Abstract: We propose a simulation-based strategy to estimate and empirically assess a class of asset pricing models that account for rare but severe consumption contractions that can extend over multiple periods. Our approach expands the scope… read more here.
Keywords: asset pricing; asset; disaster; disaster risk ... See more keywords
Aggregation of Heterogenous Beliefs, Asset Pricing, and Risk Sharing in Complete Financial Markets
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DOI: 10.1016/j.rie.2017.01.002
Abstract: Given a competitive equilibrium in complete asset markets, we propose a method that aggregates heterogeneous individual beliefs into a single “market probability,” which, if commonly shared by investors, generates the same marginal valuation of assets… read more here.
Keywords: risk; asset pricing; asset; market ... See more keywords