Asset pricing
Top PDF Asset pricing:
DT 17/15 - An examination of the relationship between biodiesel and soybean oil prices using an asset pricing model
... There are two major policy interventions that support biodiesel production, known as the “blender’s credit” and the Renewable Fuels Standard (RFS) mandated consumption volumes. The blender’s credit for biodiesel was ...
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Commodity and asset pricing models : an integration
... futures prices and not on spot prices. As it was mentioned above, futures contracts are just agreements between two parts to buy a certain asset in the future. As the futures prices is set so that there are no ...
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Aportación de la implantación de medidas de eficiencia energética a la rentabilidad de activos inmobiliarios explotados en régimen de arrendamiento: aplicación cualitativa del Capital Asset Pricing Model (CAPM).
... Capital Asset Pricing Model, que la implantación de adecuadas medidas de eficiencia energética en edificios existentes cuyo régimen de explotación es el de alquiler supone un aumento del Valor Actual Neto ...
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Essays in inflation expectations, monetary economics, and asset pricing
... Consumption-based rational expectations modeling has been proved to fail when trying to replicate financial facts. Examples of this are the low volatility of stock returns as documented by Campbell (2003), or the high ...
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La prima de riesgo país en Capital Asset Pricing Model (CAPM)
... Capital Asset Pricing Model ya que es la práctica habitual que se ha empleado en el estudio del riesgo país pues es, además, de los más empleados en los mercados ...
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Asset pricing under habit formation and disaster risk
... known Asset Pricing Puzzle is identified by Mehra and Prescott (1985), they find that in standard neoclassical models, for example, Lucas Jr (1978) or Hansen and Singleton (1982), the risk aversion ...
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Essays on Empirical Asset Pricing
... We build on a rich prior literature starting with Eichenbaum et al. (1988) [6] that explores the empirical properties of intertemporal asset pricing models where the rep- resentative agent has utility over ...
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Essays in information and asset pricing
... how asset prices form and evolve when agents participating in financial markets are asymmetrically informed has been a concern to financial economists for a long ...underlying asset. In particular, one way ...
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La Formación de Portafolios eficientes bajo el Modelo Media varianza restringido por "Value at Risk" (VAR) Vs el Modelo del "Capital Asset Pricing Model" (CAPM) Primera Edición
... Así, ei tendría un valor esperado de cero y la ecuación del rendimiento de un activo financiero puede ser modificada como sigue: Ri = ai + BiR, + ei Es preciso mencionar que tanto R, com[r] ...
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Asset Pricing using a Network Approach
... Secondly, we defined the HLC factor (High-Low Centrality) as the return of a equally weighted portfolio comprised of stocks with high centrality (top 80% ) minus the return of the portfo[r] ...
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← Volver a los detalles del artículo Capital asset pricing model -robert merton-: teoría y evidencia empírica para colombia 2001-2007
... Sin embargo, utilizando el R2 para calificar la bondad del modelo CAPM, se puede ver que en promedio tanto para acciones como para los portafolios, el R2 se encuentra entre el 2% y el 10[r] ...
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D-capm: ¿una alternativa válida al capital asset pricing model?
... Cuando la base de datos MSCI se segrega en emergentes y desarrollados, el enfoque D- CAPM tiene una mejor actuación para ajustar rendimientos en los mercados emergentes que las restante[r] ...
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Evidence that Risk Adjustment is Unnecessary in Estimates of the User Cost of Money
... Investors value the special attributes of monetary assets (e.g., exchangeability, liquidity, and safety) and pay a premium for holding them in the form of a lower return rate. The user cost of holding monetary assets can ...
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Schaffer et al (2011) Is Finance Researc
... Overall, the ranking consists mainly of older articles that cover a wide range of topics, such as agency theory (Jensen and Meckling (1976)), option pricing (Black and Scho- les (1973)) or multi-factor ...
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Option pricing in market models driven by telegraph processes with jumps
... During the past four decades, researchers and professionals of financial markets have developed and adopted different models and techniques for asset pricing. Pioneering work in this area were carried out ...
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Nobel 2013: trendspotting in asset makets
... The failure of the basic form of the CCAPM, which was also confirmed by many other researchers, inspired waves of new theory and new empirical work. One strand of research aims to improve the measures of risk and ...
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Los mercados son eficientes... para algunos. Sobre el Nobel de Economía 2013
... Sin embargo, del hecho de que los precios de las acciones se puedan representar mediante modelos estocásticos de tipo submartingala, o como caso límite tipo martingala, y de ahí que la esperanza matemática para el precio ...
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CFA Level 2 Book 5
... capital asset pricing model, the single-factor market model, the arbitrage pricing theory, macroeconomic multifactor models, and fundamental multifactor ...
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Does technical analysis generate profitability in the colombian stock market?
... In this study, we test for the weak market efficiency hypothesis in the Colombian stock market through two technical analysis strategies, Simple Moving Averages and Moving Average Convergence and Divergence, on eighteen ...
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Funcionamiento del mercado de deuda pública en Colombia - los anuncios macroeconómicos impactan al mercado de TES?
... Partiendo de un modelo de asset pricing se evalúa el funcionamiento de la oferta y demanda de los títulos valores de deuda pública interna en Colombia, con el[r] ...
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