This paper develops a simple but general methodology to estimate the expected intertemporal marginal rate of substitution or “EMRS”, using only data on asset prices and returns. Our empirical strategy is general, and allows the EMRS to vary arbitrarily over time. A novel feature of our technique is that it relies upon exploiting idiosyncratic risk, since theory dictates that idiosyncratic shock...

this study determined the value relevance of assets and liabilities after the adoption of ifrs among listed nigerian firms. ohlson model (1995) model of stock price regressions tested the relationship between assets and liabilities with the stock price, which has been widely adopted by accounting researchers. a sample of 126 firms listed in nigeria stock market is used for the study. data is co...

Tax rates have fluctuated considerably since federal income taxes were introduced in the U.S. in 1913. This paper analyzes the effects of stochastic taxation on asset prices in a dynamic general equilibrium model. Stochastic taxation affects the after-tax returns of both risky and safe assets. Whenever taxes change, bond and equity prices adjust to clear the asset markets. These price adjustmen...

the purpose of this study is to evaluate the effect of globalization on the cost of capital accepted companies in tehran stock exchange (tse(. in this regard, the degree of trade openness as an index the globalization of trade and other control variables such as firm size, the ratio of fixed assets to total assets, instantaneous ratio and the ratio of debts to total of equity has been used for ...

The idea that technological revolutions can explain major swings in stock market value is occupying an increasingly prominent role in the literature on the economics of financial markets. Both the 1990s and the 1920s stock market runups have been linked to the arrival of new technologies and the accumulation of intangible capital by firms (Robert Hall 2001; Bart Hobijn and Boyan Jovanovic 2001;...

This study aims to determine the effect of Earning Per Share (EPS), Current Ratio (CR), Exchange Rate and Interest Risk on stock price movements with Return On Assets (EPS) as an intervening variable property stocks listed Indonesia Stock 2017 -2021. The sample in this was taken by purposive sampling method 2017-2021. number samples used many 158 companies. analytical research is using multiple...

Convergence trades exploit temporary mispricing by simultaneously buying relatively underpriced assets and selling short relatively overpriced assets. This paper studies optimal convergence trades under both recurring and non-recurring arbitrage opportunities represented by continuing and ‘stopped’ cointegrated price processes and considers both fixed and stochastic (Poisson) horizons. We demon...

The efficient market hypothesis suggests that stock markets are “informationally efficient”. That is, any new information relevant to the market is spontaneously reflected in the stock prices. A consequence of this hypothesis is that past prices cannot have any predictive power for future prices once the current prices have been used as an explanatory variable. In other words the change in futu...