The Economy and Asset Pricing
Asset Pricing in a Production Economy with ChewÐDekel Preferences
... on asset pricing in production economy assume the existence of such costs or other rigidities that impede the smooth adjustment of capital to ...
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Asset Pricing in a Production Economy with Chew-Dekel Preferences
... of asset returns have made giant steps ...the asset pricing implications of the stochastic growth model is due to Rouwenhorst ...endowment economy, raising the coefficient of relative ...
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Asset pricing in a Lucas "fruit-tree' economy with non-additive beliefs
... asset-pricing equilibrium in this economy. Our equilibrium concept thereby takes ac- count of the fact that Choquet decision makers are dynamically inconsistent whenever they violate Savage’s ...
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Asset Pricing with Incomplete Information In a Discrete Time Pure Exchange Economy
... in asset pricing models used linear stochastic differential equations with Brownian motion increments to characterize the exogenous path of the dividends ...study asset pricing / portfolio ...
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Asset Pricing in a General Equilibrium Production Economy with Chew-Dekel Risk Preferences
... endowment economy where agents maximize expected discounted utility, the low elasticity of intertemporal substitution implied by high risk aversion also induces a conterfactually high risk–free ...
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Essays on asset pricing
... 1 Chapter 1 Introduction Over the last few decades, global financial markets have experienced major structural changes and severe crisis periods. The financial crisis of the late 1990s, and the very recent global crisis ...
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The Asset Pricing System
... of asset pricing, otherwise all factors affecting asset prices would be deemed as if they could be totally under our ...global economy that can not be kept away even for a well-diversified ...
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Essays on asset pricing.
... The strictly domestic nature of the existing models motivates the theoretical contribution of this paper. In the second part, I propose a model to investigate the role of the variance premium in explaining the ...
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Essays in Asset Pricing
... The paper that more closely resembles mine is Pastor & Veronesi (2013). They set up an economy where agents learn in a Bayesian fashion about future government policies and examine their effects on average implied ...
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Essays in asset pricing
... not converge asymptotically to zero because the drift of the underlying fundamentals is allowed to switch according to a two-state Markov process. The distinction between an incomplete information rational expectations ...
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Essays on asset pricing
... benchmark economy the implied volatility curve is rather flat, a sharp downward trend is exhibited in the VaR economy as the option type goes from the OTM puts to the OT- M ...underlying asset, ...
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Intermediary Asset Pricing
... The asset purchase policy indirectly increases the household’s exposure to the risky asset because future taxes now depend on the returns to the risky ...the economy to move from ...risky ...
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Essays on Asset Pricing
... Markovian economy. For each economy, we generate model-implied prices and seek to recover natural probabilities and preferences using our ...a pricing matrix of a lower rank, and a continuum of ...
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Essays on Asset Pricing.
... inal bonds and stocks, while 10-year nominal bonds and cash are shorted. The allocation to inflation-linked bonds is hardly affected. The long-short position in nominal bonds pays off in states of the economy ...
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Asset Pricing with Durable Goods: Potential Resolution of Some Asset Pricing Puzzles
... also quite precise, supporting the strong conclusion that the elasticity is unlikely to be much above 0.1, and may well be zero.” Using improved inference methods, Hansen and Singleton (1983) find that there is less ...
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Essays on Asset Pricing and Derivatives
... Intuitively, when the state of the economy worsens, the risks of banks increase, e.g., market volatility is soaring and non-performing loans are accumulating. In such a situation, banks have two options to reduce ...
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Asset pricing in UK
... To conclude, the results from the Conditional Asset Pricing model for the size, PE ratio and dividend yield portfolios provides evidence that the following factors: the return on FTSE[r] ...
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Essays on asset pricing
... On the other hand if wealth is very low and close to the value at which the agent can switch to subsistence, he/she will find it beneficial to consume the rest of available wealth in a short burst to boost utility, ...
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Noncausality and Asset Pricing
... that asset prices are generated by a process P t = f ( Ω t−1 , n t , ε t ), where Ω t−1 includes all past prices and dividends and n t include the fractions of each ...
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Global Asset Pricing
... ships leads to several observations that are difficult to explain with standard models. For example, equity returns depend upon both domestic and global risk factors. Moreover, this dependence on local factors is mirrored ...
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