Browsing by Subject "Asset pricing"
Now showing items 1-4 of 4
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Cash flow news, discount rate news, and momentum
(Elsevier, 2016-11)We examine the effect of aggregate cash flow news and discount rate news on momentum returns. We find that momentum profits are higher following aggregate positive cash flow news, even in down markets or low sentiment ... -
A concave security market line
(Elsevier, 2019-09)We provide theoretical and empirical arguments in favor of a diminishing marginal premium for market risk. In capital market equilibrium with binding portfolio restrictions, investors with different risk aversion levels ... -
Essays on pricing anomalies and the limits of arbitrage in emerging markets
(2016-07)It is a difficult task to explain market anomalies in standard models of asset pricing, as they are all based on the core idea of the law of one price: two assets with equal expected returns have equal values. Otherwise, ... -
Macroeconomic fundamentals and emerging market asset prices
(2017-06)This thesis consists of three chapters which make empirical contributions to the field of emerging markets xed income, real estate and nancial markets. First chapter entitled 'Macroeconomics Fundamentals and Emerging ...
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