Resolving asset pricing puzzles using price-impact

A Rational Finance Explanation of the Stock Predictability Puzzle

In this paper, we address one of the main puzzles in finance observed in the stock market by proponents of behavioral finance: the stock predictability puzzle. We offer a statistical model within the context of rational finance which can be used without relying on behavioral finance assumptions to model the predictability of stock returns. We incorporate the predictability of stock returns into the well-known Black-Scholes option pricing formula. Empirically, we analyze the option and spot trader's market predictability of stock prices by defining a forward-looking measure which we call "impli…

论生产者合理年金价格与消费者价格之间的差距

On a gap between rational annuitization price for producer and price for customer

本文主要研究不确定条件下的年金定价问题。该定价问题是财务决策的关键，并进行了深入的研究，然而，许多悬而未决的问题仍然存在。特别是，有一个所谓的“年金之谜”，涉及到现有的金融理论与年金市场的经验观察的某些不一致。本文提出了一种基于风险最小化的定价方法，使生产者和消费者都寻求最小化作为风险度量的均方套期保值误差。这就导致了定价问题的两个不同版本：在给定定期支付率的情况下选择年金价格，以及在给定年金价格的情况下选择支付率。看来这两个问题的解决办法是不同的。这有助于解释“年金之谜”。