pricing models asset
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Quocirca's Straight Talking: License this software
Comment To manage software licences, some organisations have invested in software asset management (SAM) tools from companies such as BMC Software, CA, HP and IBM. This is typically a result of organisations struggling to... [18 Sep 2008]
Asset Pricing Models: Implications for Expected Returns and Portfolio Selection
White Paper Linear factor-based asset pricing models have solid theoretical foundations in finance. Implications of factor-based asset pricing... [25 Feb 2004]
Empirical Evaluation of Asset Pricing Models: A Comparision of the SDF and Beta Methods
White Paper The stochastic discount factor (SDF) method provides a unified general framework for econometric analysis of asset pricing models. It has recently been pointed out that generality of the... [25 Feb 2004]
Comparing Asset Pricing Models: An Investment Perspective
White Paper We investigate the portfolio choices of mean-variance-optimizing investors who use sample evidence to update prior beliefs centered on either risk-based or characteristic-based pricing models. The... [25 Feb 2004]
The Role of Capital Structure in Tests of Asset-Pricing Models
White Paper In a multifactor model of expected equity return of a levered firm, the equity beta equals firm beta multiplied by the elasticity of equity price with respect to firm value. This elasticity is, in general, increasing in leverage and it... [25 Feb 2004]
High and Low-Frequency Exchange Rate Volatility Dynamics: Range-Based Estimation of Stochastic Volatility Models
White Paper Volatility is a central concept in finance, whether in asset pricing, portfolio choice or risk management. We propose using the price range in the estimation of stochastic volatility... [25 Feb 2004]
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