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Author : Alon Brav
Publisher :
ISBN 13 :
Total Pages : 48 pages
Book Rating : 4.:/5 (849 download)
Download or read book Asset Pricing with Heterogeneous Consumer and Limited Partecipation: Empirical Evidence written by Alon Brav and published by . This book was released on 1999 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Alon Brav
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (129 download)
Download or read book Asset pricing heterogeneous consumers and limited participation written by Alon Brav and published by . This book was released on 2002 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Alon Brav
Publisher :
ISBN 13 :
Total Pages : 64 pages
Book Rating : 4.0/5 ( download)
Download or read book Asset Pricing with Heterogeneous Consumers and Limited Participation written by Alon Brav and published by . This book was released on 2002 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt: We present evidence that the equity premium and the premium of value stocks over growth stocks are explained in the 1982 1996 period with a stochastic discount factor (SDF) calculated as the weighted average of individual households' marginal rate of substitution with low and economically plausible values of the relative risk aversion (RRA) coefficient. Household consumption of non-durables and services is reconstructed from the CEX database. Since the above premia are not explained with a SDF calculated as the per capita marginal rate of substitution with low value of the RRA coefficient, the evidence supports the hypothesis of incomplete consumption insurance. We also present evidence is that a SDF calculated as the per capita marginal rate of substitution is better able to explain the equity premium and does so with a lower value of the RRA coefficient, as the definition of asset holders is tightened to recognize the limited participation of households in the capital market.
Author : Alon Brav
Publisher :
ISBN 13 :
Total Pages : 48 pages
Book Rating : 4.:/5 (716 download)
Download or read book Asset Pricing with Heterogeneous Consumers and Limited Paricipation written by Alon Brav and published by . This book was released on 1999 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Alon Brav
Publisher :
ISBN 13 :
Total Pages : 48 pages
Book Rating : 4.:/5 (248 download)
Download or read book Asset Pricing with Heterogenous Consumers and Limited Participation written by Alon Brav and published by . This book was released on 1999 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : George M. Constantinides
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book Asset Pricing with Heterogeneous Consumers written by George M. Constantinides and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Empirical difficulties encountered by representative-consumer models are resolved in an economy with heterogeneity in the form of uninsurable, persistent, and heteroscedastic labor income shocks. Given the joint process of arbitrage-free asset prices, dividends, and aggregate income, satisfying a certain joint restriction, it is shown that this process is supported in the equilibrium of an economy with judiciously modeled income heterogeneity. The Euler equations of consumption in a representative-agent economy are replaced by a set of Euler equations that depend not only on the per capita consumption growth but also on the cross-sectional variance of the individual consumers' consumption growth.
Author : Georgy Chabakauri
Publisher :
ISBN 13 :
Total Pages : 36 pages
Book Rating : 4.:/5 (13 download)
Download or read book Asset Pricing with Heterogeneous Investors and Portfolio Constraints written by Georgy Chabakauri and published by . This book was released on 2014 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study general equilibrium in a Lucas (1978) economy with one consumption good and two investors with heterogeneous risk aversions and beliefs about aggregate consumption growth rate, and portfolio constraints. We provide a comprehensive comparison of various constraints, and show which of them and under what conditions help match the properties of asset prices in the data. We find that borrowing and short-sale constraints decrease stock return volatilities, whereas limited stock market participation constraints can increase volatilities even when investors have identical preferences and beliefs. Moreover, borrowing constraints generate spikes in interest rates and stock return volatilities when the constraint starts to bind. Finally, we find that short-sale constraints have smaller impact on asset prices than borrowing constraints, consistent with the empirical evidence on short-sale bans in the aftermath of 2007-09 financial crisis.
Author : George M. Constantinides
Publisher :
ISBN 13 :
Total Pages : 25 pages
Book Rating : 4.:/5 (461 download)
Download or read book Asset pricing with heterogeneous consumers written by George M. Constantinides and published by . This book was released on 1992 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Carl Chiarella
Publisher :
ISBN 13 :
Total Pages : 33 pages
Book Rating : 4.:/5 (13 download)
Download or read book Heterogeneous Expectations in Asset Pricing written by Carl Chiarella and published by . This book was released on 2016 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper empirically estimates a heterogeneous agents model using S&P 500 data. While previous studies on heterogeneous agents models typically resort to simulation techniques, our empirical results indicate that the market is populated with fundamentalists, chartists, and noise traders. In addition, agents switch between these groups conditional on their previous performance. As a result, the model is capable of explaining the inflation and deflation of bubbles. Finally, it is reported that the model can explain the stylized facts of financial market such as heavy tails and volatility clustering.
Author : Francisco J. Gomes
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (15 download)
Download or read book Asset Pricing with Limited Risk Sharing and Heterogeneous Agents written by Francisco J. Gomes and published by . This book was released on 2007 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Orazio P. Attanasio
Publisher :
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4.3/5 ( download)
Download or read book Intertemporal Consumption Choices, Transaction Costs and Limited Participation to Financial Markets written by Orazio P. Attanasio and published by . This book was released on 2007 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper builds a unifying framework that, within the theory of intertemporal consumption choices, brings together the limited participation -based explanation of the poor empirical performance of the C-CAPM and the transaction costs-based explanation of incomplete portfolios. Using the implications of the consumption model and observed household consumption and portfolio choices, we identify the preference parameters of interest and a lower bound for the costs rationalizing non-participation in financial markets, in the presence of unobserved heterogeneity in tastes for consumption and portfolio allocation. Using the US Consumer Expenditure Survey and assuming isoelastic preferences, we estimate the coefficient of relative risk aversion at 1.7 and a cost bound of 0.4 percent of non-durable consumption. Our estimate of the preference parameter is theoretically plausible and the bound sufficiently small to be likely to be exceeded by the actual total (observable and unobservable) costs of participating to financial markets.
Author : Georgy Chabakauri
Publisher :
ISBN 13 :
Total Pages : 42 pages
Book Rating : 4.:/5 (13 download)
Download or read book Asset Pricing with Heterogeneous Preferences, Beliefs, and Portfolio Constraints written by Georgy Chabakauri and published by . This book was released on 2015 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: Portfolio constraints are widespread and have significant effects on asset prices. This paper studies the effects of constraints in a dynamic economy populated by investors with different risk aversions and beliefs about the rate of economic growth. The paper provides a comparison of various constraints and conditions under which these constraints help match certain empirical facts about asset prices. Under these conditions, borrowing and short-sale constraints decrease stock return volatilities, whereas limited stock market participation constraints amplify them. Moreover, borrowing constraints generate spikes in interest rates and volatilities and have stronger effects on asset prices than short-sale constraints.
Author : Baptiste Truchot
Publisher :
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4.:/5 (13 download)
Download or read book Consumption-Based Asset Pricing written by Baptiste Truchot and published by . This book was released on 2016 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: The equilibrium approach to asset pricing is born with the Capital Asset Pricing Model (CAPM) of Sharpe ([Sha64]) and Lintner ([Lin65]), based on the works of Markowitz on diversification and portfolio theory ([Mar52], [Mar56]). Since then, most theoretical and empirical developments take place in a well established framework, the consumption-based paradigm. Though an integral part of modern macroeconomics, it has difficulties explaining stylized facts of asset pricing, at least in its canonical form. The most famous example is its inability to explain the high observed equity premia, or the “equity premium puzzle” as coined by Rajnish Mehra and Edward C. Prescott ([MP85]). We survey the empirical inconsistencies of the standard paradigm and the numerous extensions aiming at adressing those empirical shortcomings. The emphasis is on the heterogeneous consumption-based models. They constitute indeed a very promising line of research, both due to the relevance of the results and the theoretical appeal of the underlying assumptions. Moreover, the seminal reviews of the field devote little attention to these developments because, to a large extent, they appeared very recently. This report does not claim to be a comprehensive survey of this literature but an overview of the different approaches, their assumptions and their contributions, in the extended consumption-based paradigm.
Author : Christian Bach
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (837 download)
Download or read book Habit-based Asset Pricing with Limited Participation Consumption written by Christian Bach and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Tsvetanka Karagyozova
Publisher :
ISBN 13 :
Total Pages : 264 pages
Book Rating : 4.:/5 (186 download)
Download or read book Three Essays on Heterogeneity, Insurance, and Asset Pricing written by Tsvetanka Karagyozova and published by . This book was released on 2007 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : John H. Cochrane
Publisher : Princeton University Press
ISBN 13 : 1400829135
Total Pages : 560 pages
Book Rating : 4.4/5 (8 download)
Download or read book Asset Pricing written by John H. Cochrane and published by Princeton University Press. This book was released on 2009-04-11 with total page 560 pages. Available in PDF, EPUB and Kindle. Book excerpt: Winner of the prestigious Paul A. Samuelson Award for scholarly writing on lifelong financial security, John Cochrane's Asset Pricing now appears in a revised edition that unifies and brings the science of asset pricing up to date for advanced students and professionals. Cochrane traces the pricing of all assets back to a single idea--price equals expected discounted payoff--that captures the macro-economic risks underlying each security's value. By using a single, stochastic discount factor rather than a separate set of tricks for each asset class, Cochrane builds a unified account of modern asset pricing. He presents applications to stocks, bonds, and options. Each model--consumption based, CAPM, multifactor, term structure, and option pricing--is derived as a different specification of the discounted factor. The discount factor framework also leads to a state-space geometry for mean-variance frontiers and asset pricing models. It puts payoffs in different states of nature on the axes rather than mean and variance of return, leading to a new and conveniently linear geometrical representation of asset pricing ideas. Cochrane approaches empirical work with the Generalized Method of Moments, which studies sample average prices and discounted payoffs to determine whether price does equal expected discounted payoff. He translates between the discount factor, GMM, and state-space language and the beta, mean-variance, and regression language common in empirical work and earlier theory. The book also includes a review of recent empirical work on return predictability, value and other puzzles in the cross section, and equity premium puzzles and their resolution. Written to be a summary for academics and professionals as well as a textbook, this book condenses and advances recent scholarship in financial economics.
Author : Gregory William Huffman
Publisher : London : Department of Economics, University of Western Ontario
ISBN 13 : 9780771406645
Total Pages : 25 pages
Book Rating : 4.4/5 (66 download)
Download or read book Asset Pricing with Heterogeneous Agents written by Gregory William Huffman and published by London : Department of Economics, University of Western Ontario. This book was released on 1985 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt:
