Robustness: Asset Pricing Tests - Transaction Costs
Expected Returns, Yield Spreads, and Asset Pricing Tests
... positive momentum profits in ex-post returns come as a surprise to investors, and hence do not show up in ex-ante returns. This interpretation suggests that momentum profits result from systematic mispricing due to, ...
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Asset Pricing Tests with Long Run Risks in Consumption Growth
... the robustness of the tests by replacing the e¢ cient weighting matrix with the identity ...The tests are carried out at the annual ...the robustness of the tests by repeating them at ...
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Equilibrium asset pricing with transaction costs
... risky asset to hedge the fluctuations of their random endowment ...with transaction costs generally exists if the agents’ risk aversions are sufficiently ...of transaction costs on ...
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Multiperiod asset pricing in the presence of transaction costs and taxes
... with transaction costs andtaxes is theabsenceofafter-tax arbitrage ...erent transaction costs associated with long and shorttrades, leads to a mul- tiplicity ofvaluation operators forpricing ...
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An Empirical Analysis of Intertemporal Asset Pricing Models with Transaction Costs and Habit Persistence
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Trading Costs of Asset Pricing Anomalies
... transactions costs in any way, it may be misleading to conclude what the efficacy or capacity of these strategies might be without recognizing what a real-world trader might do to respond to transactions ...
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A note on utility-based pricing in models with transaction costs
... It is also possible to consider the model where asset processes are not necessarily continuous. In such a model, utility maximization problem has been considered by Campi and Owen (2010)[5] and Benedetti and Campi ...
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Taxation and Transaction Costs in a General Equilibrium Asset Economy
... to asset pricing, it is easy to show that if taxation does not discriminate across assets and falls only on net income after asset trading, then the standard arbitrage pricing results continue ...
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Transaction Costs and Asset Prices: A Dynamic Equilibrium Model
... Although transaction costs are mentioned in many asset pricing debates, they are generally absent from asset pricing ...introduce transaction costs, but assume that ...
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Multi-asset investment-consumption model with transaction costs
... with transaction costs was formu- lated by Magill and Constantinides ...risky asset, there have some ...utility pricing, they discuss the problem of European option pricing with ...
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Portfolio optimisation and option pricing in discrete time with transaction costs
... option pricing are studied under the effects of proportional transaction ...risky asset at the start of each time ...risky asset fall outside this ...tion costs, a two-stage ...
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Pricing and hedging game options in currency models with proportional transaction costs
... Kabanov et al. (2002), Schachermayer (2004) and others (see also Kabanov & Sa- farian 2009). The main aims of our work are twofold. Firstly, we present constructive algo- rithms for computing optimal exercise and ...
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Parallel Binomial American Option Pricing under Proportional Transaction Costs
... tion costs apply to trading in the underlying ...option pricing has been well studied, none of the existing approaches takes transaction costs into ...
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European option pricing and hedging with both fixed and proportional transaction costs
... risky asset in the problem where the investor, in addition, writes/buys an ...risky asset suggested distinguishing between two major types of investors behavior in relation to the pricing and hedging ...
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European Option Pricing and Hedging with both Fixed and Proportional Transaction Costs
... risky asset in the problem where the investor, in addition, writes/buys an ...risky asset suggested distinguishing between two major types of investors behavior in relation to the pricing and hedging ...
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European Option Pricing and Hedging with both Fixed and Proportional Transaction Costs
... portional transaction costs only. First, we formulate the option pricing and hedging problem for the CARA investor in the market with both fixed and proportional transaction costs and ...
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A General Equilibrium Financial Asset Economy with Transaction Costs and Trading Constraints
... of asset market architecture and intermediary clusters by appropriately choosing transaction costs and constraints in asset ...characterising asset prices in such an ...on asset ...
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Influence of transaction costs on foreign exchange option contracts: intra-daily tests
... symmetric pricing with respect to moneyness for puts and calls implies a coef cient equal to 1 when the intercept is ...option pricing arising from a bias in the selection of speci c put-call pairs for the ...
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On the robustness of consumption-based asset pricing
... allows pricing assets solely by the contribution of their cash flows to aggregate consumption ...of asset pricing models based on the stochastic discount factor approach are able to replicate various ...
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