Dynamic Present Values and the Intertemporal CAPM

Appendix to An Intertemporal CAPM with Stochastic Volatility

Dynamic Oligopolies and Intertemporal Demand Interaction

Dynamic oligopolies are examined with continuous time scales and under the assumption that the demand at each time period is affected by earlier demands and consumptions. After the mathematical model is introduced the local asymptotical stability of the equilibrium is examined, and then we will discuss how information delays alter the stability conditions. We will also investigate the occurrenc...

Sentiment and the CAPM

We consider whether sentiment affects the validity of CAPM. We hypothesize that pessimistic periods have low levels of noise trading because costly short-selling mutes trading on negative sentiment. On the other hand optimistic sentiment stimulates long positions that are easier to establish, and optimistic periods may also attract more naïve investors, stimulating greater noise trading. Thus, ...

the intertemporal relationship between risk and return with dynamic conditional correlation and time -varying beta

the current paper examines intertemporal capital asset pricing model in iran’s stock market. dynamic conditional correlation was used to estimate conditional variance and covariance portfolios with market returns. time varying beta is estimated by kalman filter method. based on the obtained results, risk aversion coefficients were between 0.013 and 0.28 and the average was 0.20. significance of...

A Dynamic Tradeoff Model of Intertemporal Choice

The delay discounting perspective, which assumes an alternative-wise processing of attribute information, has long dominated research on intertemporal choice. Recent studies, however, have suggested that intertemporal choice is based on attribute-wise comparison. This line of research culminated in the tradeoff model (Scholten & Read, 2010; Scholten, Read, & Sanborn, 2014), which can accommodat...