Results 1 - 10 of 6,599

Investor psychology and asset pricing

by David Hirshleifer , 2001
"... The basic paradigm of asset pricing is in vibrant flux. The purely rational approach is being subsumed by a broader approach based upon the psychology of investors. In this approach, security expected returns are determined by both risk and misvaluation. This survey sketches a framework for understa ..."
Abstract - Cited by 420 (27 self) - Add to MetaCart
The basic paradigm of asset pricing is in vibrant flux. The purely rational approach is being subsumed by a broader approach based upon the psychology of investors. In this approach, security expected returns are determined by both risk and misvaluation. This survey sketches a framework

Monetary policy and asset price volatility

by Ben Bernanke, Mark Gertler - CHALLENGES FOR MONETARY POLICY, PROCEEDINGS OF THE 19 TH JACKSON HOLE CONFERENCE , 1999
"... During the past 20 years, the world’s major central banks have been largely successful at bringing inflation under control. Although it is premature to suggest that inflation is no longer an issue of great concern, it is quite conceivable that the next battles facing central bankers will lie on a di ..."
Abstract - Cited by 407 (6 self) - Add to MetaCart
different front. One development that has already concentrated the minds of policymakers is an apparent increase in financial instability, of which one important dimension is increased volatility of asset prices. Borio, Kennedy, and Prowse (1994), among others, document the emergence of major boom

Estimating Wealth Effects without Expenditure Data— or Tears

by Deon Filmer, Lant Pritchett - Policy Research Working Paper 1980, The World , 1998
"... Abstract: We use the National Family Health Survey (NFHS) data collected in Indian states in 1992 and 1993 to estimate the relationship between household wealth and the probability a child (aged 6 to 14) is enrolled in school. A methodological difficulty to overcome is that the NFHS, modeled closely ..."
Abstract - Cited by 871 (16 self) - Add to MetaCart
reasonable coherence with current consumption expenditures and most importantly, works as well, or better, than traditional expenditure based measures in predicting enrollment status. When the asset index is applied to the Indian data the results show large, and variable, wealth gaps in the enrollment

Dynamic capabilities and strategic management

by David J. Teece, Gary Pisano, Amy Shuen - Strategic Management Journal , 1997
"... The dynamic capabilities framework analyzes the sources and methods of wealth creation and capture by private enterprise firms operating in environments of rapid technological change. The competitive advantage of firms is seen as resting on distinctive processes (ways of coordinating and combining), ..."
Abstract - Cited by 1792 (7 self) - Add to MetaCart
), shaped by the firm’s (specific) asset positions (such as the firm’s portfolio of difficult-to-trade knowledge assets and complementary assets), and the evolution path(s) it has adopted or inherited. The importance of path dependencies is amplified where conditions of increasing returns exist. Whether

Liquidity Risk and Expected Stock Returns

by Lubos Pastor, Robert F. Stambaugh , 2002
"... This study investigates whether market-wide liquidity is a state variable important for asset pricing. We find that expected stock returns are related cross-sectionally to the sensitivities of returns to fluctuations in aggregate liquidity. Our monthly liquidity measure, an average of individual-sto ..."
Abstract - Cited by 629 (6 self) - Add to MetaCart
This study investigates whether market-wide liquidity is a state variable important for asset pricing. We find that expected stock returns are related cross-sectionally to the sensitivities of returns to fluctuations in aggregate liquidity. Our monthly liquidity measure, an average of individual

A closed-form solution for options with stochastic volatility with applications to bond and currency options

by Steven L. Heston - Review of Financial Studies , 1993
"... I use a new technique to derive a closed-form solution for the price of a European call option on an asset with stochastic volatility. The model allows arbitrary correlation between volatility and spotasset returns. I introduce stochastic interest rates and show how to apply the model to bond option ..."
Abstract - Cited by 1512 (6 self) - Add to MetaCart
options and foreign currency options. Simulations show that correlation between volatility and the spot asset’s price is important for explaining return skewness and strike-price biases in the Black-Scholes (1973) model. The solution technique is based on characteristic functions and can be applied

Valuing American options by simulation: A simple least-squares approach

by Francis A. Longstaff, Eduardo S. Schwartz - Review of Financial Studies , 2001
"... This article presents a simple yet powerful new approach for approximating the value of America11 options by simulation. The kcy to this approach is the use of least squares to estimate the conditional expected payoff to the optionholder from continuation. This makes this approach readily applicable ..."
Abstract - Cited by 517 (9 self) - Add to MetaCart
applicable in path-dependent and multifactor situations where traditional finite difference techniques cannot be used. We illustrate this technique with several realistic exatnples including valuing an option when the underlying asset follows a jump-diffusion process and valuing an America11 swaption in a 20

The performance of mutual funds in the period 1945-1964

by Michael C. Jensen - JOURNAL OF FINANCE , 1968
"... In this paper I derive a risk-adjusted measure of portfolio performance (now known as "Jensen's Alpha") that estimates how much a manager's forecasting ability contributes to the fund's returns. The measure is based on the theory of the pricing of capital assets by Sharpe (1 ..."
Abstract - Cited by 615 (1 self) - Add to MetaCart
In this paper I derive a risk-adjusted measure of portfolio performance (now known as "Jensen's Alpha") that estimates how much a manager's forecasting ability contributes to the fund's returns. The measure is based on the theory of the pricing of capital assets by Sharpe

Illusion and well-being: A social psychological perspective on mental health.

by Shelley E Taylor , Jonathon D Brown , Nancy Cantor , Edward Emery , Susan Fiske , Tony Green-Wald , Connie Hammen , Darrin Lehman , Chuck Mcclintock , Dick Nisbett , Lee Ross , Bill Swann , Joanne - Psychological Bulletin, , 1988
"... Many prominent theorists have argued that accurate perceptions of the self, the world, and the future are essential for mental health. Yet considerable research evidence suggests that overly positive selfevaluations, exaggerated perceptions of control or mastery, and unrealistic optimism are charac ..."
Abstract - Cited by 988 (20 self) - Add to MetaCart
more to say about potential biases in the experimental literature later in this article. At present, it is important to note that all three of the ILLUSION AND WELL-BEING 195 illusions to be discussed have been documented in noncollege populations as well. Unrealistically Positive Views of the Self

Portfolio Choice and Asset Prices; The Importance of Entrepreneurial Risk

by John Heaton, Deborah Lucas , 1999
"... this paper with an empirical investigation into some of the risk factors and demographic variables that might explain these cross-sectional differences in portfolio composition. A number of previous studies have focused on the level and variability of wage income growth as one of the largest sources ..."
Abstract - Cited by 319 (11 self) - Add to MetaCart
correlated with common stock returns. These findings motivate the investigation in the second part of the paper of a linear asset pricing model that incorporates proprietary income from privately held businesses as a risk factor.
Results 1 - 10 of 6,599