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The analysis is based on a modified dynamic capital asset pricing model that assumes two types of investors: 1) expected utility maximisers; 2) positive feedback traders who sell during …

We present causal evidence that correlated demand driven by performance chasing accounts for a substantial fraction of the profits of asset pricing factors ...

And increasingly, problems in corporate finance are also benefiting from the same techniques. The response promises to be no less heated. CAPM, the capital ...

What Are Asset Pricing Models?

Feedback effects from asset prices to firm cash flows have been ... According to traditional valuation models, a firm's stock price is determined by its ...

First In, First Out, also known as FIFO, is a method for valuation of assets or inventories. Relative Strength. Relative strength is a ...

This paper reviews some of the literature on market liquidity and feedback trading in the context of a simple multi-asset rational expectations general ...

Positive feedback traders buy stocks in a rising market and sell stocks in a falling ... Merton, R. (1973): An Intertemporal Capital Asset Pricing Model, ...

This paper tests a form of the positive feedback hypothesis where recent rates of change in asset prices become important information used by decision-makers.

Jul 09, 2014 · The Great Recession of 2008 has prompted calls for a microeconomic theory to predict the behavior of capital markets under Knightian uncertainty. 1 Although many insights can be drawn from the capital asset pricing model (CAPM) under risk, and from its many variations 2, thus far few studies have explored the effects on equilibrium asset prices of uncertainty in investors' preferences. We develop a robust capital asset pricing model (RCAPM) that offers powerful predictions about how to ...

Nov 04, 2014 · On average, 23% of the shares showed evidence of feedback trading, with approximately 9% of this being positive feedback trading and 14% negative feedback trading.

Sep 29, 2022 · Positive feedback—also called a positive feedback loop—is a self-perpetuating pattern of investment behavior where the end result reinforces the initial act. For asset bubbles, positive...

22.3.2021 · Date Written: May 15, 2022 Abstract We show that demand effects generated by institutional frictions can influence systematic return predictability patterns in stocks and mutual …

i.e. adjusted for dividends and discounting, the share price follows a 1. st. order univariate Markov process and no other variables Granger causes the share price. The stochastic difference …

27.8.2015 · As Chae and Yang neatly summarise, the failure of asset pricing models is due to one of (or a combination of) three causalities: transaction costs, investor irrationality, or missing …

The theory of asset pricing is concerned with explaining and determining prices of financial assets in a uncertain world. The asset prices we discuss would include prices of bonds and …

This model is consistent with a number of empirical observations about the correlation of asset returns, the overreaction of prices to news, price bubbles, and ...

Keywords: positive feedback trading, mutual funds, anomalies, momentum, ... Econometric Modeling: Capital Markets - Asset Pricing eJournal.

Positive feedback often refers to the tendency of investors to exhibit herd mentality, which can morph into irrational exuberance when buying or selling assets.

19.12.2013 · Abstract This paper derives a generalized multiple-factor asset pricing model using only the assumptions of the existence of an equivalent martingale measure, frictionless, and …

1 Introduction. The capital asset pricing model is a major theory in modern finance. The concept of price of state of nature is a concept of stochastic economics introduced by Arrow and Debreu [1954]. When there are only a finite number of states of nature and when the assumption of complete markets is valid, these prices play a significant role in obtaining the optimal consumption and portfolio investment policies in a general setup.

Positive feedback—also called a positive feedback loop—is a self-perpetuating pattern of investment behavior where the end result reinforces the initial act. For asset bubbles, positive feedback loops can propel the price of a security far above its fundamentals. Positive feedback may be contrasted with negative fee… Näytä lisää

The theory of asset pricing is concerned with explaining and determining prices of financial assets in a uncertain world. The asset prices we discuss would include prices of bonds and …

2.7.2015 · This paper derives a generalized multiple-factor asset pricing model using only the assumptions of the existence of an equivalent martingale measure, frictionless, and …