EXPERIMENTS WITH FINANCIAL MARKETS: IMPLICATIONS FOR ASSET PRICING THEORY.

American Economist;  March 22, 2001 ;     700+ words ......a particular vantage point, namely, asset pricing theory. The goal is to assess to what...validity of the basic principles of asset pricing theory, namely (i) that markets equilibrate...design that are at odds with standard asset pricing theory (e.g., the payoff on a security...

Mulvihill Pro-AMS Trust-Press Release.

Canadian Corporate News;  May 10, 2002 ;     700+ words ......details of its plan to reposition its managed portfolio in order to preserve its ability to meet...13.30) was allocated to the active or managed portfolio . This managed portfolio was invested in a basket of stocks and...

Mulvihill Pro-AMS U.S. Trust-Press Release.

Canadian Corporate News;  May 10, 2002 ;     700+ words ......details of its plan to reposition its managed portfolio in order to preserve its ability to meet...13.78) was allocated to the active or managed portfolio . This managed portfolio was invested in a basket of stocks and...

Unconditional international asset pricing models: Empirical tests

Finnish Economic Papers;  October 1, 2000 ;     700+ words ...UNCONDITIONAL INTERNATIONAL ASSET PRICING MODELS: EMPIRICAL TESTS* Single...unconditional international asset pricing models are tested for the real...This suggests that a segmented asset pricing model could be more appropriate...

Aberdeen SCOTS Trust Announces Portfolio Composition.

Canadian Corporate News;  April 11, 2002 ;     700+ words ......which $10.33 was attributed to the managed portfolio and $12.07 was attributed to the...potentially enhance the value of the managed portfolio to provide unitholders with capital...SCOTS. SCOTS' net assets consist of a managed portfolio and a fixed portfolio. The managed...

Expensive accessories?

Investment Adviser;  June 14, 2004 ;     700+ words ......public and professional literature on asset pricing testifies. As a young lecturer I immersed...know about why equity prices change. Asset pricing In my analytical journeys, too often I have heard that a working knowledge of asset pricing is not what is required in equity fund...

Aberdeen Scots Trust Announces Portfolio Composition.

Canadian Corporate News;  July 17, 2002 ;     700+ words ......which $8.57 was attributed to the managed portfolio and $12.71 was attributed to the...potentially enhance the value of the managed portfolio to provide unitholders with capital...monthly distributions to protect SCOTS' managed portfolio until market conditions improve...

Asset pricing information in vintage REIT returns: an information subset...

Real Estate Economics;  March 22, 2005 ;     700+ words ......to the new REIT era offer important asset pricing information. At issue is whether empiricists...the new period. We use a generalized asset pricing and information subset test to disentangle...vintage REIT returns and focus their asset pricing studies only on the most recent data...

IT'S A FIRST: Two books share Samuelson Award.(John H. Cochrane's Asset...

Pensions & Investments;  December 10, 2001 ;     392 words ......honor the two for their new books on asset pricing and risk. It is the first time the...States. Mr. Cochrane is the author of ``Asset Pricing.'' Mr. Gollier is the author of ``Economics...down in one place what we know about asset pricing,'' Mr. Cochrane said in an interview...

Testing asset pricing models with coskewness.

Journal of Business & Economic Statistics;  October 1, 2004 ;     700+ words ......coskewness with the market. We test an asset pricing model including coskewness lay checking...erroneously neglecting coskewness for testing asset pricing models, with particular attention to...explanatory power of firm size. KEY WORDS: Asset pricing; Asymptotic least squares; ...

A reexamination of homogeneous stock grouping in the context of the APT:...

Quarterly Journal of Business and Economics;  June 22, 1996 ;     700+ words ......particularly from the perspective of an asset pricing model. Classifications of stocks are...have different risk characteristics. Asset pricing models help quantify and price the...a meaningful profile of an object. Asset pricing models postulate that the relevant...

Time-varying expected returns and information in home prices

Journal of Real Estate Portfolio Management;  January 1, 2000 ;     700+ words ......we estimate a conditional two-beta asset pricing model in which the expected excess...conduct tests of the conditional two-beta asset pricing model in which the conditional betas...we estimate a conditional two-beta asset pricing model, with the market return and changes...

On cash-in-advance models of money demand and asset pricing.

Journal of Money, Credit & Banking;  May 1, 1991 ;     700+ words ......Advance Models of Money Demand and Asset Pricing 1. INTRODUCTION A cash-in-advance constraint...disappointing performance of consumption-based asset pricing models. Second, the Clower constraint...cash-in-advance approach. Concerning asset pricing, I argue that, although money may ...

CAPM and option pricing with elliptically contoured distributions.(capital...

Journal of Risk and Insurance;  June 1, 2008 ;     700+ words ......offers an alternative proof of the capital asset pricing model (CAPM) when asset returns follow...framework. The importance of integration of asset pricing models such as the capital asset pricing model (CAPM), arbitrage pricing theory...

Privately versus publicly held asset investment performance.

Real Estate Economics;  March 22, 2005 ;     700+ words ...Classic asset pricing is problematic as a method to assess...held. ********** Analysts often use asset pricing models to measure investment performance...The classic single-factor capital asset pricing model (CAPM) is an example. In this...