In this paper we investigate the recently documented trading profits based on technical trading rules in an asset pricing framework that incorporates jump risk and time-varying risk premia. Following Brock, Lakonishok, and LeBaron (1992), we apply popular technical trading rules to the daily S&P 500 index over a long period of time. Trading profits are examined using bootstrap simulation to add...

The purpose of this study was to examine the expected returns of Carhart model compared to the capital asset pricing model and the implicit capital cost model based on cash and capital returns of growth and value stocks. The statistical population consisted of the companies listed in Tehran Stock Exchange and the time domain is between 2007 and 2016. By choosing Cochran sampling, 126 companies ...

Most tests of asset pricing models address only the pricing predictions – perhaps because the portfolio choice predictions are obviously wrong. But how can asset-pricing theory be right if the portfolio choice theory on which it rests is wrong? This work builds and observes experimental markets in which risky and riskless assets are traded. Risk aversion is a robust phenomenon in experimental s...

We derive new bounds and distance measures for stochastic discount factors (SDFs) that generalize the original variance bounds and distance of Hansen and Jagannathan (1991, 1997) and higher moment bounds of Snow (1991). These generalized measures are suitable to analyze nonlinearities in asset pricing models and trading strategies. They imply nonlinear admissible SDFs that provide a more robust...

This paper investigates Euler equations involving security prices and household-level consumption data. It provides a useful complement to many existing studies of consumptionbased asset pricing models that use a representative-agent framework, because the Euler equations under investigation hold even if markets are incomplete. It also provides a useful complement to simulation-based studies of...

We use laboratory experiments to test the modern, consumption-based general equilibrium approach to asset pricing which posits that agents buy and sell assets for the purpose of intertemporally smoothing consumption. These asset pricing models are widely used by macroeconomists and finance researchers but have not yet been subjected to experimental testing. This laboratory approach enables us t...