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The capital asset pricing theory and its misconceptions
(2016)
The CAPM is the fundamental model for pricing financial securities. Nevertheless, the way it is proved in Finance textbooks can be fairly confusing, and more complicated than necessary; with an excessive use of figures at ...
On equilibrium prices in continuous time
(Escola de Pós-Graduação em Economia da FGV, 2008-02-28)
We combine general equilibrium theory and théorie générale of stochastic processes to derive structural results about equilibrium state prices.
Asset pricing under habit formation and disaster risk
(El Autor, 2017)
Do IPOs Affect the Prices of Other Stocks ? Evidence from Emerging Markets
(OXFORD UNIV PRESS INC, 2009)
We show that the introduction of a large asset permanently affects the prices of existing assets in a market. Using data from 254 initial public offerings (IPOs) in 22 emerging markets, we find that portfolios that covary ...
Endogenous asymmetric money illusion
(Elsevier, 2019)
We show that when investors suffer from endogenous asymmetric money illusion, the usual proportionality between money supply and nominal prices commonly present in frictionless economies is eliminated. This drives changes ...
STABILITY ANALYSIS WITH APPLICATIONS OF A TWO-DIMENSIONAL DYNAMICAL SYSTEM ARISING FROM A STOCHASTIC MODEL FOR AN ASSET MARKET
(WORLD SCIENTIFIC PUBL CO PTE LTD, 2011)
We analyze the stability properties of equilibrium solutions and periodicity of orbits in a two-dimensional dynamical system whose orbits mimic the evolution of the price of an asset and the excess demand for that asset. ...
Short-time behaviour of demand and price viewed through an exactly solvable model for heterogeneous interacting market agents
(ELSEVIER SCIENCE BV, 2009)
We introduce a stochastic heterogeneous interacting-agent model for the short-time non-equilibrium evolution of excess demand and price in a stylized asset market. We consider a combination of social interaction within ...