We propose a dynamic risk‐based model that captures the value premium. Firms are
modeled as long‐lived assets distinguished by the timing of cash flows. The stochastic …

The traditional dividend discount model (DDM) computes a theoretical price by blending the
dividends from current and prospective businesses. Because these dividends are treated as …

This paper explores the sensitivity of stock prices to discount rate changes and cash flow
timing, a concept that may be interpreted as equity duration in a manner similar to bonds …

Six fundamental risk factors (four for stocks and two for bonds) explain most of the common
volatility of individual stocks and bonds worldwide. Some of the risk factors have a strong …

The fundamental differences between the structure of the market for government mortgages,
pooled into Ginnie Mae securities, and the market for government sponsored enterprises …

Simple factor models of worldwide equity returns are used to explore the level and trend in
international capital market integration. Global influences and national influences are of …

The authors adopt the perspective of a portfolio manager simultaneously holding long and
short equity positions and investigate whether portfolio standard deviation is reduced by …

–According to Benartzi & Thaler (1993) an equity investor is indifferent between even odds
of getting $100,000/$50,000 and a certain payoff of $51,200;–Clarke, DeSilva & Thorley …

En este artículo elaboraremos un marco conceptual con un resumen de los principales
conceptos respecto a la cuantificación del riesgo financiero según la Teoría de Carteras …