The last 15 years has brought forth an explosion of research on consumption-based asset
pricing as a leading contender for explaining aggregate stock market behavior. This …

Knowledge–based enterprises (KBEs) are difficult to value owing to the relatively greater
importance of their intangible assets, such as human capital and investment in innovation …

We study the role of information in asset-pricing models with long-run cash flow risk. When
investors can distinguish short-from long-run consumption risks (full information), the model …

ABSTRACT I link an asset's risk premium to two characteristics of its underlying cash flow:
covariance and duration. Using empirically novel estimates of both cash flow characteristics …

mathematical price estimate when interest rates change. It is not possible to estimate price
accurately for these assets because other variables beyond interest rates also affect the …

We are interested in to find out how prolonged low interest rate condition since GFC (Global
Financial Crisis) has changed the investors' appetite for financial assets. Motivated by Jiang …

This study is focussed on estimating the real interest and inflation sensitivity in Spanish
market, proposing an extension of the Stone two-factor model and controlling for size and …

This article reexamines the duration‐based explanation of the value premium using novel
estimates of the firms' equity and cash flow durations based on analyst forecasts. We show …

This paper analyses the question of the feasibility and desirability for a liability-driven
investor to hold an equity portfolio engineered to exhibit enhanced liability-hedging …

We examine investor behavior under interest and inflation risk in different scenarios. To that
end, we analyze the relation between stock returns and unexpected changes in nominal and …