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Asset market

Effects of eliciting long-run price forecasts on market dynamics in asset market experiments

Effects of eliciting long-run price forecasts on market dynamics in asset market experiments

... Keywords: Price forecast elicitation, Experimental asset markets JEL Code: C90, D84 ∗ We thank anonymous referees and an associate editor for constructive comments. Makoto Soga provided invalu- able help in ...

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Effects of different ways of incentivizing price forecasts on market dynamics and individual decisions in asset market experiments

Effects of different ways of incentivizing price forecasts on market dynamics and individual decisions in asset market experiments

... increases in all treatments. However, the number of accurate forecasts is significantly lower in the forecast-only treatments compared with the ForT and BONUS treatments. There is no statistically significant difference ...

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Asset market equilibrium with short-selling and differential information

Asset market equilibrium with short-selling and differential information

... JEL Classification Numbers: C61, C62, D51 Keywords: Asset Market, Differential Information, Competitive Equilibrium ∗ We would like to thank Rose-Anne Dana, Cuong Le Van, Paulo K. Monteiro and Frank Riedel ...

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It is Not Just Confusion! Strategic Uncertainty in an Experimental Asset Market

It is Not Just Confusion! Strategic Uncertainty in an Experimental Asset Market

... call asset market consisting of six traders, who were either human subjects or computer programs, and considered two ...the market in which they were ...

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Arbitrage and asset market equilibrium in infinite dimensional economies with short-selling and risk-averse expected utilities

Arbitrage and asset market equilibrium in infinite dimensional economies with short-selling and risk-averse expected utilities

... 1 Introduction In finite dimensional markets with short-selling, conditions on agents’ utilities insuring the existence of equilibria (or equivalent to the existence of equilib- ria) are well understood. In particular ...

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Estimating Nonseparable Preference Specifications for Asset Market Participants

Estimating Nonseparable Preference Specifications for Asset Market Participants

... Montréal, Qc, Canada H3A 1G5 Tel.: (514) 398-4025 Fax: (514) 398-3876 email: jacobs@management.mcgill.ca The paper has benefited from presentations at the 2000 World Congress of the Ec[r] ...

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Risky Arbitrage, Asset Prices, and Externalities

Risky Arbitrage, Asset Prices, and Externalities

... m.wooders@vanderbilt.edu Current Version, June 2006 † Abstract We introduce a no-risky-arbitrage price condition (NRAP) for asset market models allowing both unbounded short sales and externalities such as ...

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Asset pledgeability and endogenously leveraged bubbles

Asset pledgeability and endogenously leveraged bubbles

... This is because if the bubble is too risky, then it is not attractive as a savings vehicle for lenders and thus cannot arise in equilibrium. Second, for the allocations and prices above to constitute an equilibrium, it ...

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A Volatility-Driven Asset Allocation (VDAA)

A Volatility-Driven Asset Allocation (VDAA)

... –Volatility-Driven Asset Allocation or VDAA – for dynamically managing the strategic asset ...the asset exposures so as to reflect the assumptions investors used when determining their strategic ...

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Volatility Exposure for Strategic Asset Allocation

Volatility Exposure for Strategic Asset Allocation

... some market professionals, especially hedge fund managers (and, more recently, more sophisticated managers of traditional funds), the academic literature to date has paid little attention to ...

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Empirical Martingale Simulation for Asset Prices

Empirical Martingale Simulation for Asset Prices

... 5. Conclusion Asset prices are typically modeled as exponential (semi-)martingales. The prices of its derivative contracts are often complex functionals that sometimes require the use of Monte Carlo simulation to ...

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Asset prices and demand shocks

Asset prices and demand shocks

... the market in advance. Market efficiency requires that today’s prices reflect expectations about future returns, hence they should also reflect expected future changes in the supply of ...

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Dispersed Information and Asset Prices

Dispersed Information and Asset Prices

... market for all (θ, s) ∈ R × [0, 1]; and (iii) H(·|P ) satisfies Bayes’ rule whenever applicable, ...about asset payoffs but rather about a fundamental variable θ, and the asset payoff is some ...

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Multi-Market Trading and Market Quality

Multi-Market Trading and Market Quality

... 6 securities tightens after a major third market broker-dealer starts operating. Boehmer and Boehmer (2003) document that the NYSE entry in the trading of ETFs listed on the American Stock Exchange improves their ...

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Past Market Variance and Asset Prices

Past Market Variance and Asset Prices

... …nancial market variance are rather ...high market variance (see, ...words, market-wide …nancial vari- ance may correlate in important ways with the state of the economy, both in terms of macro ...

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The asset cost of poor health

The asset cost of poor health

... the asset cost measure, in particular its ability to capture a more compre- hensive set of poor health-induced outlays than an itemized list of medical costs, it also suffers from an important potential short- ...

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Why industry needs asset management tools

Why industry needs asset management tools

... Capital Asset Priority Planning System or RECAPP™ (2000) is a strategic database management system that can calculate the funding requirements for capital repair/renovations over a 25-year time horizon (Gordon and ...

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Framework model for asset maintenance management

Framework model for asset maintenance management

... for asset data and a process for data routing and data ...all, asset management applications are similar to the three tools ...with asset management tools, a generalized maintenance management ...

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Towards sustainable municipal infrastructure asset management

Towards sustainable municipal infrastructure asset management

... different asset classes are ...the asset are selected and assigned weighted factors according to their importance to the ...each asset performs according to these ...the asset could account ...

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Asset management 101: a primer

Asset management 101: a primer

... same asset at different times (IRC 1994; NRC 1994; ...cycle asset management and condition assessment surveys (LCAM/CAS) and publishes newsletters on the topic in both ...

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