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The forward- and the equity-premium puzzles: two symptoms of the same illness?
(Fundação Getulio Vargas. Escola de Pós-graduação em Economia, 2009-08-12)
We build a pricing kernel using only US domestic assets data and check whether it accounts for foreign markets stylized facts that escape consumption based models. By interpreting our stochastic discount factor as the ...
The forward- and the equity-premium puzzles: two symptoms of the same illness?
(Fundação Getulio Vargas. Escola de Pós-graduação em Economia, 2012-04-24)
Using information on US domestic financial data only, we build a stochastic discount factor—SDF— and check whether it accounts for foreign markets stylized facts that escape consumption based models. By interpreting our ...
The forward- and the equity-premium puzzles: two symptoms of the same illness?
(Fundação Getulio Vargas. Escola de Pós-graduação em Economia, 2010-11-05)
Using information on US domestic financial data only, we build a stochastic discount factor—SDF— and check whether it accounts for foreign markets stylized facts that escape consumption based models. By interpreting our ...
A note on the forward and the equity-premium puzzles: two symptoms of the same illness?
(Fundação Getulio Vargas. Escola de Pós-graduação em Economia, 2013-07-12)
We build a stochastic discount factor—SDF— using information on US domestic financial data only, and provide evidence that it accounts for foreign markets stylized facts that escape SDF’s generated by consumption based ...
The forward and the equity-premium puzzles: a straightforward test of whether they are two symptoms of the same illness
(Fundação Getulio Vargas. Escola de Pós-graduação em Economia, 2013-04-04)
We build a stochastic discount factor—SDF— using information on US domestic financial data only, and provide evidence that it accounts for foreign markets stylized facts that escape SDF’s generated by consumption based ...
The forward- and the equity-premium puzzles: two symptoms of the same illness?
(Fundação Getulio Vargas. Escola de Pós-graduação em Economia, 2007-08-01)
In this paper we revisit the relationship between the equity and the forward premium puzzles. We construct return-based stochastic discount factors under very mild assumptions and check whether they price correctly the ...
Forward-premium puzzle: is it time to abandon the usual regression?
(Routledge Journals, Taylor & Francis Ltd, 2016-06)
The forward premium puzzle is usually evidenced by the rejection of the null hypothesis in the uncovered interest parity (UIP) regression. Because this parity need only hold in a risk-neutral world, a risk adjustment term ...
A top–bottom price approach to understanding financial fluctuations
(2012)
The presence of sequences of top and bottom (TB) events in financial series is investigated for the purpose of characterizing such switching points. They clearly mark a change in the trend of rising or falling prices of ...
Un modelo affine de Stock Prices
(2021)
Es sabido que los modelos que se suelen utilizar para el pricing de stocks asumen log normalidad de dividendos, ya sea comenzando por First Principals (donde existe un agente representativo que maximiza su utilidad) o con ...