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2,397
EXCESS RETURNS
"... This paper shows how risk-return measures can be extracted from relations between objective and risk-neutral probability distributions (RNPDs). We distinguish unit claims with non-positive or non-negative excess returns as respectively investment- or insurance-based, and disaggregate reference portf ..."
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This paper shows how risk-return measures can be extracted from relations between objective and risk-neutral probability distributions (RNPDs). We distinguish unit claims with non-positive or non-negative excess returns as respectively investment- or insurance-based, and disaggregate reference
On the Excess Returns to Illiquidity
, 2004
"... This paper argues that the high expected returns observed on illiquid assets should be expected theoretically, but are not actually a premium for illiquidity, per se. Instead, illiquidity, like size, is a proxy for any unobserved risk. Liquidity should therefore have explanatory power in any asset p ..."
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Cited by 1 (0 self)
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This paper argues that the high expected returns observed on illiquid assets should be expected theoretically, but are not actually a premium for illiquidity, per se. Instead, illiquidity, like size, is a proxy for any unobserved risk. Liquidity should therefore have explanatory power in any asset
The Impact of Investor Sentiment on Excess Returns:
"... In this paper, we use a proxy for investor sentiment and employ a generalized autore-gressive conditional heteroskedasticity in mean (GARCH-M) model to show the impact of investor sentiment on excess returns in Taiwan stock market. Firstly, the evidences suggest that the change in trading volume is ..."
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In this paper, we use a proxy for investor sentiment and employ a generalized autore-gressive conditional heteroskedasticity in mean (GARCH-M) model to show the impact of investor sentiment on excess returns in Taiwan stock market. Firstly, the evidences suggest that the change in trading volume
Excess Returns of Companies with a Distinguished
, 2007
"... We study the share market of a public company with a distinguished player. A player is distinguished with respect to a company if he can do both, trade shares and enhance the value of the company by exerting costly effort. Due to these private effort costs, shares have a lower value to the distingui ..."
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to the distinguished player as compared to other investors. We show how these different valuations can lead to a trade price strictly below the equilibrium value of the company. This implies that buyers enjoy excess returns on their investment and is at odds with the efficient markets hypothesis. It further involves a
Unit-Root Tests And Excess Returns
"... This paper reconsiders these new results about the persistence of excess returns. Specifically, we examine the literature on finite-sample problems in the application of cointegration tests and show how these may have affected the above conclusions. Section 1 begins by critically reviewing the above ..."
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This paper reconsiders these new results about the persistence of excess returns. Specifically, we examine the literature on finite-sample problems in the application of cointegration tests and show how these may have affected the above conclusions. Section 1 begins by critically reviewing
Excess Returns and the Distinguished Player Paradox
, 2008
"... this draft: 7.8.2008 Suppose the value of a firm is endogenously determined by a manager’s costly effort. We call this manager a distinguished player if he also can trade shares of the firm on a market. Arbitrage-free asset pricing theory suggests that the equilibrium market price reflects the value ..."
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that buyers enjoy excess returns on their investment and is thereby at odds with the efficient markets hypothesis. It further involves a substantial reinterpretation of traditional
Guaranteed investment contracts: Distributed and undistributed excess return
- Scandinavian Acturial Journal
, 2003
"... Aewwtrr. Annual mirumlun rata of ~cturu guarantees arc analyzed togcthcr wth rulw: for the dis tribution of excess return, i.e., annual return above the guarantee. The set of, in a specific sense, fair contracts is charactcrizcd with and without a bonus account consisting of accumulated undistribute ..."
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Cited by 32 (3 self)
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Aewwtrr. Annual mirumlun rata of ~cturu guarantees arc analyzed togcthcr wth rulw: for the dis tribution of excess return, i.e., annual return above the guarantee. The set of, in a specific sense, fair contracts is charactcrizcd with and without a bonus account consisting of accumulated
Results 1 - 10
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2,397
