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
Pricing models in a sustainable supply chain with capacity constraint
Sign Up to like & getrecommendations! Published in 2019 at "Journal of Cleaner Production"
DOI: 10.1016/j.jclepro.2019.01.319
Abstract: Abstract In this paper, we investigate a closed-loop supply chain with one supplier and one third-party collector who compete with each other and have more pricing power than the manufacturer with production capacity constraints. The… read more here.
Keywords: supply; pricing models; supply chain; supplier ... See more keywords
Informative option portfolios in filter design for option pricing models
Sign Up to like & getrecommendations! Published in 2021 at "Quantitative Finance"
DOI: 10.1080/14697688.2020.1841907
Abstract: Option pricing models are tools for pricing and hedging derivatives. Good models are complex and the econometrician faces many design decisions when bringing them to the data. I show that strategically constructed low-dimensional filter designs… read more here.
Keywords: pricing models; option; option portfolios; pricing ... See more keywords
Evaluating the Performance of Factor Pricing Models for Different Stock Market Trends: Evidence from China
Sign Up to like & getrecommendations! Published in 2021 at "Emerging Markets Finance and Trade"
DOI: 10.1080/1540496x.2021.1964949
Abstract: This paper examines the performance of three nested factor pricing models for different market trends, such as bull, bear or consolidation, in China’s stock market. Specifically, the models we consider are the Capital Asset Pricing… read more here.
Keywords: pricing models; factor pricing; market; pricing ... See more keywords
Impact of consumer confidence on the expected returns of the Tokyo Stock Exchange: A comparative analysis of consumption and production-based asset pricing models
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DOI: 10.1371/journal.pone.0241318
Abstract: Most single-factor and multifactor asset pricing models constitute special cases of the consumption-based asset pricing theory, in which investors’ marginal utility is the key determinant of asset prices. However, in recent years, production-based asset pricing… read more here.
Keywords: pricing models; asset pricing; asset; based asset ... See more keywords
I do not want to set my own price! Indirect effects of emotions and moderation effects of skepticism explain reduced use intentions towards participative pricing models
Sign Up to like & getrecommendations! Published in 2023 at "PLOS ONE"
DOI: 10.1371/journal.pone.0275499
Abstract: Participative pricing models (i.e., auction, reverse auction, pay-what-you-want) have grown in importance compared to classical, non-participative pricing models (i.e., fixed price, discount). This study examined (1) relative use intentions regarding different (non-) participative pricing models,… read more here.
Keywords: pricing; use intentions; participative pricing; towards participative ... See more keywords