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Catering through Nominal Share Prices
Stocks Stock Shares Investment Investment Return Price Theory Valuation
2015/4/22
We propose and test a catering theory of nominal stock prices. The theory predicts that when investors place higher valuation on low-price firms, managers will maintain share prices at lower levels, ...
A Linear Relationship between Market Prices of Risks and Risk Aversion in Complete Stochastic Volatility Models
von-Neumann Morgenstern utility asset risk linear combination
2011/4/2
Considering a production economy with an arbitrary von-Neumann Morgenstern utility, this paper derives a general equilibrium relationship between the market prices of risks and market risk aversion un...