Browsing NHH Brage by Subject "asset pricing"
Now showing items 1-4 of 4
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Discounted cash flow and modern asset pricing methods : project selection and policy implications
(Working Paper, Working paper, 2002-06)We examine the differences in the net present values (NPV's) of North Sea oil projects obtained using the Weighted Average Cost of Capital (WACC) and a Modern Asset Pricing (MAP) method which involves the separate discounting ... -
On the Evolution of Investment Strategies and the Kelly Rule – A Darwinian Approach
(Discussion paper, Working paper, 2006-12)This paper complements theoretical studies on the Kelly rule in evolutionary finance by studying a Darwinian model of selection and reproduction in which the diversity of investment strategies is maintained through genetic ... -
Pricing Implications of Shared Variance in Liquidity Measures
(Discussion paper, Working paper, 2006-07)This paper constructs fundamental liquidity measures and investigates the pricing implications of shared variation in a large set of high frequency liquidity measures. Through a common factor analysis we estimate three ... -
The risk components of liquidity
(Discussion paper, Working paper, 2008-03)Does liquidity risk differ depending on our choice of liquidity proxy? Unlike literature that considers common liquidity variation, we focus on identifying different components of liquidity, statistically and economically, ...