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- Asset Pricing Puzzles: Evidence From Options Markets
- This paper proposes and implements a consumption-based pricing kernel stochastic discount factor testing methodology that focuses on the covariance between the pricing kernel and asset squared excess returns. This covariance has an intuitive economic interpretation as a risk-neutral variance risk-premium, i.e. the difference between the risk-neutral return variance and the...
- White papers 2001-04-01
- Why Do Asset Prices Not Follow Random Walks?
- This paper analyzes the effect of non-constant elasticity of the pricing kernel on asset return characteristics. It is shown that declining elasticity of the pricing kernel can lead to predictability of asset returns and high and persistent volatility. Also, declining elasticity helps to explain the use of technical analysis and...
- White papers 2004-01-01
Additional Resources
- The Size of the Permanent Component of Asset Pricing Kernels
- This paper derives a lower bound for the size of the permanent component of asset pricing kernels. The bound is based on return properties of long-term zero-coupon bonds, risk-free bonds, and other risky securities. It finds the permanent component of the pricing kernel to be very large; its volatility is...
- White papers 2001-07-01
- Evaluating the Specification Errors of Asset Pricing Models
- This paper evaluates the specification errors of several empirical asset pricing models that have been developed as potential improvements on the CAPM. The paper uses the methodology and the test assets are the 25 Fama-French equity portfolios sorted on size and book-to-market ratio, and the Treasury bill. It allows the...
- White papers 2001-10-08
- Minimum-Variance Kernels, Economic Risk Premia, And Tests Of Multi-beta Models
- This paper uses minimum-variance MV admissible kernels to estimate risk premia associated with economic risk variables and to test multi-beta models. Estimating risk premia using MV kernels is appealing because it avoids the need to 1) identify all relevant sources of risk and 2) assume a linear factor model for...
- White papers 2001-11-01
- Using Asset Prices To Measure The Persistence Of The Marginal Utility Of Wealth
- This article derives a lower bound for the size of the permanent component of investors' marginal utility of wealth, or more generally, asset pricing kernels. The bound is based on return properties of long-term zero-coupon bonds, risk-free bonds, and other risky securities. It finds the permanent component of the pricing...
- White papers 2002-01-10
- Oleochemical Feedstocks Face Downward Pricing.
- Stable demand and supply continue for oleochemical surfactant feedstocks as prices fall and oleochemical producers restructure. Demand growth for the oleochemical surfactant and surfactant intermediate feedstocks, palm kernel and coconut oils, remains stable at 3 percent. Capacity expansions at major users of...
- Research articles 2001-01-22
- The Market for Crash Risk
- This paper examines the equilibrium when negative stock market jumps crashes can occur, and investors have heterogeneous attitudes towards crash risk. The less crash-averse insure the more crash-averse through the options markets that dynamically complete the economy. The resulting equilibrium is compared with various option pricing anomalies reported in the...
- White papers 2003-01-01
- Does the Failure of the Expectations Hypothesis Matter for Long-Term Investors?
- This paper considers the consumption and portfolio choice problem of a long-run investor when the term structure is affine and when the investor has access to nominal bonds and a stock portfolio. In the presence of unhedgeable inflation risk, there exist multiple pricing kernels that produce the same bond prices,...
- White papers 2003-01-21
- Are Correlations Of Stock Returns Justified By Subsequent Changes In National Outputs?
- In an integrated world capital market, the same pricing kernel is applicable to all securities. This paper applies the idea to the stock returns of different countries. It investigates the underlying determinants of cross-country stock return correlations. First, It determine, for a given, measured degree of commonality of country outputs,...
- White papers 2003-01-01
- Are Correlations of Stock Returns Justified by Subsequent Changes in National Outputs?
- In an integrated world capital market, the same pricing kernel is applicable to all securities. We apply this idea to the stock returns of different countries. This paper investigates the underlying determinants of cross-country stock return correlations. First, it determine, for a given, measured degree of commonality of country outputs,...
- White papers 2002-08-07
- Limits of Arbitrage: Theory and Evidence From the Mortgage-Backed Securities Market
- "Limits of Arbitrage" theories require that the marginal investor in a particular asset market be a specialized arbitrageur. The paper examines the mortgage-backed securities market in this light, as casual empiricism suggests that investors in the MBS market do seem to be very specialized. It shows that risks that seem...
- White papers 2004-01-22
- Diamond Foods, Inc. F3Q08 (Qtr End 4/30/08) Earnings Call Transcript
- Question-and-Answer SessionOperator Operator Instructions Your first question comes from the line of Ken Zaslow. Kenneth Zaslow – Bank of Montreal Good afternoon, everyone. Just a couple of questions. One is, can you give us kind of an outlook of how you’re saying about the commodities going forward and...
- Earnings calls 2008-06-04
- Honeywell International, Inc. Q3 2007 Earnings Call Transcript
- Question-and-Answer SessionOperator [Operator Instructions]. Your first question comes from the line of Shannon O'Callaghan with Lehman Brothers. Shannon O'Callaghan - Lehman Brothers, Inc. Good morning, guys. David M. Cote - Chairman and Chief Executive Officer Hi Shannon. David J. Anderson - Senior Vice...
- Earnings calls 2007-10-20
- Honeywell International Inc. Q3 2007 Earnings Call Transcript
- Question-and-Answer SessionOperator [Operator Instructions]. Your first question comes from the line of Shannon O'Callaghan with Lehman Brothers. Shannon O'Callaghan - Lehman Brothers, Inc. Good morning, guys. David M. Cote - Chairman and Chief Executive Officer Hi Shannon. David J. Anderson - Senior Vice...
- Earnings calls 2007-10-19
- Transaction costs and the present value "puzzle" of farmland prices
- Patrick de Fontnouvelle (*) Sergio H. Lence (+) The present study introduces a theoretical land pricing model that allows for proportional transaction costs, and a corresponding kernel regression test. The model is tested with farmland returns data for 20 individual states, and also with two aggregate U.S. level...
- Research articles 2002-01-01
- Review: Apple's Snow Leopard opens door to a fab future
- Computerworld - Snow Leopard is Apple's latest operating system release, making this the seventh version of Mac OS X (eighth, if you count the two versions of 10.4 "Tiger" that bridged the PowerPC-to-Intel transition). On sale for $29 beginning tomorrow, Snow Leopard offers slimmed-down code, a smaller footprint and a...
- News items 2009-08-26
- Reflections On Chrome OS From A Consumer Perspective
- Google hosted something of a formal "status update" on Chrome the operating system in Mountain View on Thursday. There we discovered the company is open-sourcing the code. We also found out it's intended as a netbook OS for now and that Google is working with several hardware partners to create...
- News items 2009-11-22
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