Publication

Basic principles of asset pricing theory: Evidence from large-scale experimental financial markets

Related publications (50)

Graph Chatbot

Chat with Graph Search

Ask any question about EPFL courses, lectures, exercises, research, news, etc. or try the example questions below.

DISCLAIMER: The Graph Chatbot is not programmed to provide explicit or categorical answers to your questions. Rather, it transforms your questions into API requests that are distributed across the various IT services officially administered by EPFL. Its purpose is solely to collect and recommend relevant references to content that you can explore to help you answer your questions.

Essays on asset pricing with preference heterogeneity

Giuliano Antonio Curatola

Investors' inheterogeneity is one of the prevailing features on financial markets. Thus, the recent asset pricing literature has produced a number of general equilibrium models where agents have different preferences. This thesis analyzes the effect of pre ...

EPFL2013

Real options and risk aversion

Erwan Morellec, Julien Hugonnier

In the standard real options approach to investment under uncertainty, agents formulate optimal policies under the assumptions of risk neutrality or complete financial markets. Although these assumptions are crucial to the implications of the approach, the ...

2012

Sentiment, Asset Prices, and Systemic Risk

Loriano Mancini, Giovanni Barone-Adesi

Regulators charged with monitoring systemic risk need to focus on sentiment as well as narrowly defined measures of systemic risk. This chapter describes techniques for jointly monitoring the co-evolution of sentiment and systemic risk. To measure systemic ...

Cambridge University Press2012

Price Theory in Economics

Thomas Alois Weber

This paper reviews topics in price theory such as rational choice, Walrasian equilibria, complete and incomplete markets, externalities and nonmarket goods, strategic pricing with complete and incomplete information, and some behavioral anomalies. Contains ...

EPFL2012

Endogenous Completeness of Diffusion Driven Equilibrium Markets

Semyon Malamud, Julien Hugonnier

We study the existence of dynamic equilibria with endogenously complete markets in continuous-time, heterogenous agents economies driven by diffusion processes. Our main results show that under appropriate conditions on the transition density of the state ...

Econometric Society2012

Price impact and portfolio impact

Semyon Malamud

We study survival, price impact, and portfolio impact in heterogeneous economies. We show that, under the equilibrium risk-neutral measure, long-run price impact is in fact equivalent to survival, whereas long-run portfolio impact is equivalent to survival ...

2011

Insuring Consumption Using Income-Linked Assets

Andreas Fuster

We evaluate financial assets with payoffs linked to individual labor income, as conceived by Shiller (2003) and others. Using a realistically calibrated life-cycle model, we find that such assets can generate nontrivial welfare benefits, depending on the p ...

2011

Ambiguity in Asset Markets: Theory and Experiment

This paper studies the impact of ambiguity and ambiguity aversion on equilibrium asset prices and portfolio holdings in competitive financial markets. It argues that attitudes toward ambiguity are heterogeneous across the population, just as attitudes towa ...

2010

Essays on Equilibrium Asset Pricing

Rodolfo Javier Prieto Katunaric

This thesis consists of three chapters. The first chapter endogenizes technological change by introducing a stylized innovation process driven by a R&D–dependent Poisson process in a Cox, Ingersoll and Ross (1985) production economy. The model reproduces s ...

EPFL2010

Equilibrium Asset Pricing and Portfolio Choice Under Asymmetric Information

We analyze theoretically and empirically the implications of information asymmetry for equilibrium asset pricing and portfolio choice. In our partially revealing dynamic rational expectations equilibrium, portfolio separation fails, and indexing is not opt ...

2010