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...

We evaluate the asset pricing implications of a class of models in which risk sharing is imperfect because of the limited enforcement of intertemporal contracts. Lustig (2004) has shown that in such a model the asset pricing kernel can be written as a simple function of the aggregate consumption growth rate and the growth rate of consumption of the set of households that do not face binding enf...

Thomson Legal and Regulatory participated in the monolingual, the bilingual and the multilingual tracks. Our monolingual runs added Swedish to the languages we had submitted in previous participations. Our bilingual and multilingual efforts used English as the query language. We experimented with dictionaries and similarity thesauri for the bilingual task, while we used machine translations in ...

Where trade is decentralized and information is imperfect, an urban housing market should be organized into separate market segments. Units in more active market segments should sell at a premium if households value asset liquidity. Evidence from the Hong Kong housing market strongly supports the joint hypothesis of market segmentation and transaction-based liquidity effects in the housing mark...

The benefits of proper Asset Management have always been well known in the power industry. Lately, with the aging infrastructure and workforce, coupled with economic pressures enforced by re-regulation, Asset Management has risen in priority. Taking the Swedish market as an example, the introduction of the Network Performance Assessment Model creates an artificial competitive force on the elect...

background and objectives: induced demand in healthcare is referred to as provision of unnecessary services or the patient by health services providers, while the patient is not aware of their unnecessity. apart from being unethical, this practice can potentially disturb the supply and demand balance in the health market, pose financial load on the patient, thread the patient’s health by imposi...

The product line engineering paradigm has emerged recently to address the needs to minimize the development cost and the time to market in this highly competitive global market. Product line development consists of product line asset development and product development using the assets. Product line requirements are essential inputs to product line asset development. These inputs, although crit...

We provide a representation for the nonmyopic optimal portfolio of an agent consuming only at the terminal horizon when the single state variable follows a general diffusion process and the market consists of one risky asset and a risk-free asset. The key term of our representation is a new object that we call the “rate of macroeconomic fluctuation” whose properties are fundamental for the port...

In recent years, one area of growing concern in corporate governance is the accounting and transfer of risk using special purpose entities (or trusts). Such entities are used widely in issuing asset-backed securities. This paper provides an overview of the asset-backed securities market, and discusses the common structures used in this market to transform the risks associated with the underlyin...