Equilibrium and Asset Pricing
Institutional benchmarking and equilibrium asset pricing
... into asset pricing equilibrium models with ...the asset pricing implications in a static setting and Cuoco and Kaniel (2011) in a dynamic continuous time ...the asset ...
105
An Equilibrium Asset Pricing Model with Labor Market Search
... an equilibrium asset pricing model should take the labor market ...aggregate asset prices by incorporating search frictions in the labor market ...general equilibrium economy with ...
47
Essays on supersolutions of BSDEs and equilibrium pricing in generalized capital asset pricing models
... for equilibrium prices. If not explicitly computable, key equilibrium quantities can be computed using numerical integration only—no Monte Carlo methods are ...information-based asset pricing ...
105
Equilibrium asset pricing and portfolio choice under asymmetric information
... California Institute of Technology and Ecole Polytechnique F´ed´erale Lausanne Chester Spatt Carnegie Mellon University We analyze theoretically and empirically the implications of information asymmetry for ...
42
Equilibrium asset pricing and portfolio choice under asymmetric information
... California Institute of Technology and Ecole Polytechnique F´ed´erale Lausanne Chester Spatt Carnegie Mellon University We analyze theoretically and empirically the implications of information asymmetry for ...
42
On Fragility of Bubbles in Equilibrium Asset Pricing Models of Lucas-Type.
... intertemporal asset pricing models (see [19], [4], [22], [6], [9], [14], [8], [16], [18], ...the equilibrium allocation is given by the initial resources deserved no further investigation, thus ...
32
Existence of solutions and asset pricing bubbles in general equilibrium models.
... on asset prices in general equilibrium ...general equilibrium models are summarized, then the specific problem of asset pricing is ...on asset prices are presented, together with ...
56
Equilibrium Interaction of Borrowing and Short-Sale Constraints and Asset Pricing
... Next, I discuss insights into equilibrium behavior of asset pricing quantities in the presence of both borrowing and short-sale constraints. It is well known that with CRRA preferences, one can not ...
52
Generalized asset pricing: Expected Downside Risk-based equilibrium modelling
... an equilibrium asset pricing model, which we build on the relationship between a novel risk measure, the Expected Downside Risk (EDR) and the expected ...our asset pricing model is ...
55
Continuous equilibrium in affine and information-based capital asset pricing models
... Information-Based Equilibrium Pricing In this section, we propose another method to model the market filtration based on the information-based asset pricing approach of [4] and ...the ...
25
Existence and uniqueness of equilibrium in Lucas' asset pricing model when utility is unbounded
... The equilibrium in the economy is characterized by a pricing function for the Lucas-tree and a value function for the representa- tive ...unique equilibrium by showing that the pricing and ...
15
An Equilibrium Asset Pricing Model under the Dual Theory of the Smooth Ambiguity Model
... an equilibrium asset pricing model for a static pure exchange economy with ...An equilibrium is fully characterized by the SPD, so we derive the SPD and show its existence and uniqueness in ...
19
Equilibrium asset pricing with systemic risk
... the equilibrium pricing function in a regulated economy exhibits, as regulation becomes tighter, less depth and more volatility (the co- variance matrix is more positive ...endogenous equilibrium ...
32
Equilibrium asset pricing with transaction costs
... Theorem 4.8 is a special case of our more general well-posedness result in Theo- rem 8.3 and applies for example if the endowment volatilities β 1 , β 2 and the terminal condition S are uniformly bounded. More generally, ...
45
Equilibrium Asset Pricing with Time-Varying Pessimism
... Zh vwxg| wkh htxloleulxp sulflqj hhfwv ri d vhqwlphqw iru shvvlplvp1 Shvvlplvp kdv wkh irup ri Nqljkwldq prgho xqfhuwdlqw| dyhuvlrq iru d qhljkerukrrg ri lqglvwlqjxlvkdeoh prgho vshflfdw[r] ...
44
A Short-Horizon Model of Asset Pricing: Equilibrium Analysis
... Lq jhqhudo/ wkh vhwwlqj ri wkh prgho lv dv iroorzv1 L frqvlghu d qdqfldo pdu0 nhw zlwk d frqwlqxxp ri lqyhvwruv1 Wudghuv kdyh glhuhqw suhihuhqfhv/ glhuhqw hqgrzphqwv/ dqg glhuhqw lqirupd[r] ...
19
Stochastic Taxation and Asset Pricing in Dynamic General Equilibrium
... JEL No. G1, H2, E4 ABSTRACT Tax rates have fluctuated considerably since federal income taxes were introduced in the United States in 1913. This paper analyzes the effects of stochastic taxation on asset prices in ...
40
A General-Equilibrium Asset-Pricing Approach to the Measurement of Nominal and Real Bank Output
... On the other hand, following the same principle, capital gains or losses purely due to the random and unexpected realization of asset returns should not be counted as financial output. This can be seen in the ...
52
Asset Pricing in a General Equilibrium Production Economy with Chew-Dekel Risk Preferences
... Stambaugh (1991) convincingly argue that it obtains in endowment economies under time–additive expected utility and i.i.d. consumption growth, but does not generalize to other settings. Kocherlakota (1990a) shows that it ...
44
Efficient "Myopic" Asset Pricing in General Equilibrium: A Potential Pitfall in Excess Volatility Tests
... With logarithmic utility, the price—dividend ratio is a constant in this model, i.e. only the current dividend affects the current asset price, regardless of the nature of the stochastic[r] ...
14