Authors:听Hamid Etemad, Hamed Motaghi
Publication: International Business Review, March 16, 2018
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Published on: 3 Apr 2018
Authors: Saeed Akhlaghpour, Liette Lapointe
Publication: Journal for the Association of Information Systems, Forthcoming
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Published on: 2 Apr 2018
Authors: Sung Soo Kim, Donghoon Shin, Heather C Vough, Patricia Faison Hewlin and Christian Vandenberghe
Publication: Human Relations, Vol. 71, Issue 10, February 2018
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Published on: 29 Mar 2018
Professor Ruslan Goyenko's paper "Illiquidity Premia in Equity Option Markets" with Peter Christoffersen, Kris Jacobs and Mehdi Karoui was selected as Editor's Choice article in the March 2018 issue of Review of Financial Studies.
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Published on: 29 Mar 2018
Authors: Wei Qi, Lefei Li, Sheng Liu, Zuo-Jun Max Shen
Publication: Manufacturing & Service Operations Management, Vol. 20, No. 4, Fall 2018
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Published on: 29 Mar 2018
Authors: Anthony C. Masi
Publication: Canadian Studies in Population, Vol. 44, No. 3-4, 2017
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Published on: 29 Mar 2018
Authors: George M. Constantinides and Anisha Ghosh
Publication: Journal of Finance, Vol. 72, No. 1, February 2017
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We show that shocks to household consumption growth are negatively skewed, persistent, countercyclical, and drive asset prices. We construct a parsimonious model where heterogeneous households have recursive preferences. A single state variable drives the conditional cross-sectional moments of household consumption growth. The estimated model 铿乼s well the unconditional cross-sectional moments of household consumption growth and the moments of the risk-free rate, equity premium, price-dividend ratio, and aggregate dividend and consumption growth. The model-implied risk-free rate and price-dividend ratio are procyclical, while the market return has countercyclical mean and variance. Finally, household consumption risk explains the cross section of excess returns.
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Published on: 29 Mar 2018
Authors:听Anisha Ghosh, Christian Julliard, Alex P. Taylor
Publication:听The Review of Financial Studies, Volume 30, No. 2, February 2017
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We consider asset pricing models in which the SDF can be factorized into an observable component and a potentially unobservable one. Using a relative entropy minimization approach, we nonparametrically estimate the SDF and its components. Empirically, we find the SDF has a business-cycle pattern and significant correlations with market crashes and the Fama-French factors. Moreover, we derive novel bounds for the SDF that are tighter and have higher information content than existing ones. We show that commonly used consumption-based SDFs correlate poorly with the estimated one, require high risk aversion to satisfy the bounds and understate market crash risk.
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Published on: 29 Mar 2018
Author: Hamid Etemad
Publication: Journal of International Entrepreneurship, Vol. 15, No. 3, September 2017
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Published on: 29 Mar 2018
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Publication: Journal of International Entrepreneurship, Vol. 15, No. 4, December 2017
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Published on: 29 Mar 2018
Authors:听Wei Qi, Bo Shen, Hongcai Zhang, Zuo-Jun Max Shen
Publication: Energy, Vol. 135, September 2017
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Published on: 29 Mar 2018
Authors:听Pedro Piccoli, Mo Chaudhury, Alceu Souza
Publication:听Research in International Business and Finance,听Vol.聽42,听December 2017
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Published on: 29 Mar 2018
Authors: Mo Chaudhury
Publication: Economics Letter, Vol. 152, March 2017
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We show analytically that the relationship between asset volatility and expected option return is ambiguous. Numerical results elaborate how the direction and magnitude of the relationship depend on asset beta and volatility levels, and option moneyness and maturity.
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Published on: 29 Mar 2018
Authors:听Carroll Seron, Susan Silbey, Erin Cech, Brian Rubineau
Publication: Work and Occupations, Forthcoming
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Published on: 29 Mar 2018
Authors: Brian Rubineau, Nazampal Jaswal聽
Publication: Education Law Journal, Vol. 27, No. 1, 2017
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Published on: 29 Mar 2018
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