Centre for Asset Pricing Research (CAPR)
The Centre for Asset Pricing Research (CAPR) serves as a bridge between academia and the financial industry.
Forthcoming publications
The Intended and Unintended Consequences of Financial-Market Regulations: A General Equilibrium Analysis. Forthcoming Journal of Monetary Economics, Adrian Buss, Bernard Dumas, Raman Uppal, Grigory Vilkov.
Correlations. Forthcoming Management Science, Paul Ehling and Christian Heyerdahl-Larsen.
Complete and Incomplete Financial Markets in Mult-Good Economies. Forthcoming Journal of Economic Theory, Paul Ehling and Christian Heyerdahl-Larsen.
Carry Trades, Order Flow and the Forward Bias Puzzle. Forthcoming in Journal of Money, Credit and Banking, Francis Breedon, Dagfinn Rime and Paolo Vitale.
The Expected Returns and Valuations of Private and Public Firms. Forthcoming Journal of Financial Economics, Ilan Cooper and Richard Priestley.
Labor Income, Relative Wealth Concerns, and the Cross-Section of Stock Returns. Forthcoming Journal of Financial and Quantitative Analysis, Juan-Pedro Gomez, Richard Priestley, and Fernando Zapatero.
- All Items
- Research Articles
- Publications
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Marcel Fratzscher, Dagfinn Rime, Lucio Sarno, and Gabriele Zinna
The scapegoat theory of exchange rates: the first tests.
Journal of Monetary Economics, Volume 70, March 2015, Pages 1–21
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Yin-Wong Cheung and Dagfinn Rime
The Offshore Renminbi Exchange Rate: Microstructure and Links to the Onshore Market.
Journal of International Money and Finance, Volume 49, Part A, Pages 170-189, 2014
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Geir Høidal Bjønnes, Steinar Holden, Dagfinn Rime, and Haakon O. Aa Solheim
'Large' vs. 'Small' Players: A Closer Look at the Dynamics of Speculative Attacks
The Scandinavian Journal of Economics, Volume 116.(2) p. 506-538, 2014
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Tompaidis and Chunyu (Ben) Yang
Pricing American-style options by Monte Carlo simulation: Alternatives to ordinary least squares
Journal of Computational Finance, Volume 18(1) p.1-23, 2014
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Herve Roche, Stathis Tompaidis and Chunyu (Ben) Yang
Why does junior put all his eggs in one basket? A potential rational explanation for holding concentrated portfolios
Journal of Financial Economics, Volume 109, Issue 3, September 2013, Pages 775-796
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Ilan Cooper and Richard Priestley
The World Business Cycle and Expected Returns
Review of Finance, Volume 17, No. 3, July 2013, Pages 1029-1064
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Vikas Agarwal, Juan-Pedro Gomez and Richard Priestley
Management Compensation and Market Timing Under Portfolio Constraints
Journal of Economic Dynamics and Control, Volume 36, Issue 10, October 2012, Pages 1600-1625
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Long Chen, Zhi Da, and Richard Priestley
Dividend Predictability and Dividend Smoothing
Management Science, Volume 58, No. 10, October 2012
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Ian Garrett and Richard Priestley
Dividend Growth, Cash Flow and Discount Rate News
Journal of Financial and Quantitative Analysis, Volume 47, No. 05, 2012, Page 1003-1028
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Ilan Cooper and Richard Priestley
Real Investment and Risk Dynamics
Journal of Financial Economics, 2011.
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Costas Xiouros and Fernando Zapatero
The Representative Agent of an Economy with External Habit-Formation and Heterogeneous Risk-Aversion
Review of Financial Studies, 2010.