asset market
Optimal Monetary Policy under Asset Market Segmentation
... model: asset market segmentation critically affects the key adjustment mechanism that operates under predetermined exchange rates; namely, the exchange of money for bonds (or viceversa) at the central bank’s ...
35
Behavior of Investors on a Multi Asset Market
... This paper analyzes the field of investors’ decision-making on a multi-asset market. It does it through a simulation games on a social network framework. It has been demonstrated that more stocks there are ...
25
Option pricing withan illiquid underlying asset market
... To answer these questions, we use the idea of a four-step scheme for forward– backward stochastic differential equations (FBSDEs) (see Ma et al., 1994; Yong, 1999; Yong and Zhou, 1999) to derive a generalized, nonlinear ...
32
Relative performance evaluation contracts and asset market equilibrium
... While there is a substantial literature on the impact of performance-based contracts on portfolio choice, 2 their implication for asset market equilibrium is poorly understood. In this paper we aim to ...
31
Relative performance evaluation contracts and asset market equilibrium
... While there is a substantial literature on the impact of performance-based con- tracts on portfolio choice, 2 their implication for asset market equilibrium is poorly understood. In this paper we aim to ...
37
Clustering on the same news sources in an asset market
... Because the model has many traders and few news sources, we will usually speak of relatively exclusive sources — that is, followed by relatively few traders — rather than private ones. There are standard reasons to ...
39
Liquidity and asset market dynamics
... is nothing particularly special about households in this regard, and there is no reason one cannot interpret our results as applying to trades between two …rms, say, instead of a household and a …rm. Payment by the ...
55
In search of the determinants of European asset market comovements
... monthly asset excess returns of seven major countries from 1960 to 1990, Longin and Solnik (1995) …nd that correlations increase with conditional volatility and interest rate and decrease with dividend ...
67
Asymptotic Methods for Asset Market Equilibrium Analysis
... Zh kdyh xvhg elixufdwlrq dssur{lpdwlrq phwkrgv wr h{dplqh vlpsoh dvvhw pdunhw sureohpv zlwk vpdoo qrlvh1 Wkh dqdo|vlv surgxfhv d phdq0yduldqfh0vnhzqhvv0hwf1 wkhru| ri dvvhw ghpdqg dqg dv[r] ...
48
Exogenous Segmentation of an Asset Market
... assume a beta distribution parameterized by [ = 3; = 1=3] and set the maximum transfer cost at B = 0:50. This results in an average aggregate velocity again at 1:5, a maximum inactivity duration of 10 quarters and a mean ...
47
Price Manipulation in an Experimental Asset Market
... the market by sequences of trades in different ...the asset, then s/he has incentives to build a large position in the beginning of a trading period and to partially unwind it later on for speculative ...
27
Asset Market Structure and Growth
... Lq wklv sdshu zh udlvh d srlqw frqfhuqlqj wkh qrupdwlyh frqvhtxhqfhv ri wkh lqwhudfwlrq ehwzhhq kxpdq fdslwdo dqg qdqfldo dvvhwv dv dowhuqdwlyh wrrov wr wudqvihu zhdowk lq d ulvn| hqylur[r] ...
25
Central Banks' Asset Purchase Programs, Asset Distributions, and Endogenous Market Segmentation
... the asset market without assuming any rigidities and frictions in the asset ...the asset market every period, and there is no transaction cost or any other frictions that prohibit ...
46
Asset pricing and predictability of stock returns in the french market
... of asset prices contain information about expected ...stock market index is not significant in the multiple-beta ...and market portfolio on the predetermined variables to predict their variation over ...
32
Regulating asset ownership: capabilities and market failures in infrastructures
... underlying asset and the services delivered over it should be treated and interpreted became ...unbundled asset: integration or separation in this case are not between two distinct technological stages, but ...
348
On the market portfolio for multi asset classes
... ‘world’ market port- folio by including to the DC universe the following countries: Argentina, Brazil, Bulgaria, Chile, China, Czech Republic, Egypt, Hong Kong, Hungary, India, Indonesia, Israel, Ko- rea, Mexico, ...
20
Essays on empirical asset pricing in the foreign exchange market
... This thesis aims to provide a deeper understanding of the forward premium puz- zle and its implications for currency investment strategies that exploit deviations from the Uncovered Interest Rate parity condition ...
227
Comparisons of Asset Pricing Models in the Egyptian Stock Market
... investigate asset prices in emerging markets, only a small number of them care about African emerging markets in general and Egyptian emerging market in ...stock market has a faint presence in the ...
7
Essays on Asset Return and Housing Market
... housing market is substantial, starting with Case and Shiller (1989), who show that unlike stock returns, there is a sig- nificant predictive component in house ...housing market returns from a version of ...
97
Essays in asset pricing and market imperfections
... good liquidity state, investors can trade the risk free bond and the risky asset at no cost.. In the event of liquidity dry-up, the stock market completely freezes [r] ...
176