Abstract
Asset pricing is the topic of the 2001 Eastern Finance Association Symposium and the five papers selected for this collection, which are summarized below, span a broad range of subjects that fall under the umbrella of the determinants of market prices. For example, the Schwartz and Moon article that introduces the symposium uses real options methodology to value firms whose cash flows are subject to multiple sources of uncertainty while the Luders and Peisl and Mixon analytical models that close the selections incorporate dual stochastic processes to derive relationships between information flow, trading volume and price volatility that are consistent with empirical evidence. In between, Mishra and O’Brien present new evidence on the important of index and factor selection when estimating the required return on equity and Spahr and Schwebach revisit the issue of time diversification by reintroducing a statistical construct from earlier times. Each of the works included here makes an important contribution to our understanding of the asset pricing process in a distinct area and opens new doors onto avenues for future research.
| Original language | English (US) |
|---|---|
| Pages (from-to) | 1-6 |
| Number of pages | 6 |
| Journal | Financial Review |
| Volume | 36 |
| Issue number | 4 |
| DOIs | |
| State | Published - Jan 1 2001 |
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Keywords
- Asset pricing
- Cost of equity
- Stochastic processes
- Time diversification
ASJC Scopus subject areas
- Finance
- Economics and Econometrics
Cite this
The asset pricing palette : Cash flows, returns and trading behavior. / Heuson, Andrea.
In: Financial Review, Vol. 36, No. 4, 01.01.2001, p. 1-6.Research output: Contribution to journal › Article
}
TY - JOUR
T1 - The asset pricing palette
T2 - Cash flows, returns and trading behavior
AU - Heuson, Andrea
PY - 2001/1/1
Y1 - 2001/1/1
N2 - Asset pricing is the topic of the 2001 Eastern Finance Association Symposium and the five papers selected for this collection, which are summarized below, span a broad range of subjects that fall under the umbrella of the determinants of market prices. For example, the Schwartz and Moon article that introduces the symposium uses real options methodology to value firms whose cash flows are subject to multiple sources of uncertainty while the Luders and Peisl and Mixon analytical models that close the selections incorporate dual stochastic processes to derive relationships between information flow, trading volume and price volatility that are consistent with empirical evidence. In between, Mishra and O’Brien present new evidence on the important of index and factor selection when estimating the required return on equity and Spahr and Schwebach revisit the issue of time diversification by reintroducing a statistical construct from earlier times. Each of the works included here makes an important contribution to our understanding of the asset pricing process in a distinct area and opens new doors onto avenues for future research.
AB - Asset pricing is the topic of the 2001 Eastern Finance Association Symposium and the five papers selected for this collection, which are summarized below, span a broad range of subjects that fall under the umbrella of the determinants of market prices. For example, the Schwartz and Moon article that introduces the symposium uses real options methodology to value firms whose cash flows are subject to multiple sources of uncertainty while the Luders and Peisl and Mixon analytical models that close the selections incorporate dual stochastic processes to derive relationships between information flow, trading volume and price volatility that are consistent with empirical evidence. In between, Mishra and O’Brien present new evidence on the important of index and factor selection when estimating the required return on equity and Spahr and Schwebach revisit the issue of time diversification by reintroducing a statistical construct from earlier times. Each of the works included here makes an important contribution to our understanding of the asset pricing process in a distinct area and opens new doors onto avenues for future research.
KW - Asset pricing
KW - Cost of equity
KW - Stochastic processes
KW - Time diversification
UR - http://www.scopus.com/inward/record.url?scp=85040409638&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=85040409638&partnerID=8YFLogxK
U2 - 10.1111/j.1540-6288.2001.tb00026.x
DO - 10.1111/j.1540-6288.2001.tb00026.x
M3 - Article
AN - SCOPUS:85040409638
VL - 36
SP - 1
EP - 6
JO - Financial Review
JF - Financial Review
SN - 0732-8516
IS - 4
ER -