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1. |
Why do firms invest in consumer advertising with limited sales response? a shareholder's perspective /
by Osinga, Ernst..
Publication:
2011
. 75 : 1, page 109
Date:2011
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2. |
Belief-free price formation / by Johannes Hörner, Stefano Lovo, Tristan Tomala
Publication:
Amsterdam Elsevier 2018
. Pages 342-365
, Abstract
We analyze security price formation in a dynamic setting in which long-lived dealers repeatedly compete for the opportunity to trade with short-lived retail traders. We characterize equilibria in which dealers’ pricing strategies are optimal irrespective of the private information that each dealer may possess. Thus, our model’s predictions are robust to different specifications of the dealers’ information structure. These equilibria reconcile, in a unified and parsimonious framework, price dynamics that are reminiscent of well-known stylized facts: excess price volatility, price to trading flow correlation, stochastic volatility and inventory-related trading.
Date:2018
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3. |
Asset pricing with beliefs-dependent risk aversion and learning / by Tony Berrada, Jérôme Detemple, Marcel Rindisbacher
Publication:
Amsterdam Elsevier 2018
. Pages 504-534
Date:2018
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4. |
An intertemporal CAPM with stochastic volatility / by John Y. Campbell, Stefano Giglio, Christopher Polk, Robert Turley
Publication:
Amsterdam Elsevier 2018
. Pages 207-233
, Abstract
This paper studies the pricing of volatility risk using the first-order conditions of a long-term equity investor who is content to hold the aggregate equity market instead of overweighting value stocks and other equity portfolios that are attractive to short-term investors. We show that a conservative long-term investor will avoid such overweights to hedge against two types of deterioration in investment opportunities: declining expected stock returns and increasing volatility. We present novel evidence that low-frequency movements in equity volatility, tied to the default spread, are priced in the cross section of stock returns.
Date:2018
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5. |
Interest rate volatility, the yield curve, and the macroeconomy / Scott Joslin, Yaniv Konchitchki
Publication:
Amsterdam Elsevier 2018
. Pages 344-362
, Abstract
This paper provides theory and evidence that a low-dimensional term structure model can simultaneously price bonds and related options. It shows that a component of volatility risk largely unrelated to the shape of the yield curve is a determinant of expected excess returns for holding long maturity bonds. It also finds evidence for this return relationship both in the model and directly in the data through regression analysis. The paper also identifies a link between corporate earnings performance and interest rate volatility, providing a channel driving interest rate volatility. The structure of risk in the model that gives rise to these features of volatility is distinct from that inherent in recent models with unspanned stochastic volatility.
Date:2018
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