# asset-pricing

### reference request - ETF pricing papers

There are a few papers out there. A good starting point os the (always relevant) Grossman and Stiglitz (1980) "On the Impossibility of Informationally Efficient Markets" which shows that markets cann... Read More

### asset pricing - What should happen to the equity risk premium as rates change?

There does not seem to be a clear relationship between interest rates and equity risk premiums. Damodaran (2019) has a great paper that goes into details of equity risk premiums. In this work, he wri... Read More

### finance - Fama Mac-Beth (1973) vs Fixed effect

A more apples to apples comparison would be between (i) Fama-Macbeth procedure and (2) clustering standard-errors by date. Adding fixed-effects is somewhat different. Problem: cross-sectional correla... Read More

### risk management - How to model the maturity term of non maturing deposit accounts

I am afraid there is no short answer to that question. However there is some literature you can check. In this paper the author gives an overview over different methods and lists a lot of references.... Read More