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Financial Intermediation Heterogeneous Investors And Asset Pricing
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Book Synopsis Financial Intermediation, Heterogeneous Investors, and Asset Pricing by :
Download or read book Financial Intermediation, Heterogeneous Investors, and Asset Pricing written by and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: I found that investors prefer to learn what others do not learn, and this explains why there is specialization in the investment. Investors tend to be fundamentalists when market is uncertain, but learning also depends on capacity, ratio of sophisticated investors, risk aversion, etc. I analyze the trade-off between these information sources, and the implications for price efficiency, risk, and return, in a general equilibrium.
Book Synopsis Asset Pricing with Heterogeneous Investors and Portfolio Constraints by : Georgy Chabakauri
Download or read book Asset Pricing with Heterogeneous Investors and Portfolio Constraints written by Georgy Chabakauri and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Heterogeneity of Investors and Asset Pricing in a Risk-value by : Günter Franke
Download or read book Heterogeneity of Investors and Asset Pricing in a Risk-value written by Günter Franke and published by . This book was released on 2001 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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.
Book Synopsis Asset Pricing by : Patrick Konermann
Download or read book Asset Pricing written by Patrick Konermann and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on Asset Pricing with Heterogeneous Investors by : Scott Spencer Condie
Download or read book Essays on Asset Pricing with Heterogeneous Investors written by Scott Spencer Condie and published by . This book was released on 2007 with total page 210 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Slow Moving Capital by : Mark Mitchell
Download or read book Slow Moving Capital written by Mark Mitchell and published by . This book was released on 2007 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study three cases in which specialized arbitrageurs lost significant amounts of capital and, as a result, became liquidity demanders rather than providers. The effects on security markets were large and persistent: Prices dropped relative to fundamentals and the rebound took months. While multi-strategy hedge funds who were not capital constrained increased their positions, a large fraction of these funds actually acted as net sellers consistent with the view that information barriers within a firm (not just relative to outside investors) can lead to capital constraints for trading desks with mark-to-market losses. Our findings suggest that real world frictions impede arbitrage capital.
Book Synopsis The Implications of Heterogeneity and Inequality for Asset Pricing by : Stavros Panageas
Download or read book The Implications of Heterogeneity and Inequality for Asset Pricing written by Stavros Panageas and published by Now Publishers. This book was released on 2020-11-23 with total page 92 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Implications of Heterogeneity and Inequality for Asset Pricing provides a unified framework to better understand this large literature and to reconcile several of the seemingly inconsistent results found in some seminal papers.
Book Synopsis Heterogeneity and Persistence in Returns to Wealth by : Andreas Fagereng
Download or read book Heterogeneity and Persistence in Returns to Wealth written by Andreas Fagereng and published by International Monetary Fund. This book was released on 2018-07-27 with total page 69 pages. Available in PDF, EPUB and Kindle. Book excerpt: We provide a systematic analysis of the properties of individual returns to wealth using twelve years of population data from Norway’s administrative tax records. We document a number of novel results. First, during our sample period individuals earn markedly different average returns on their financial assets (a standard deviation of 14%) and on their net worth (a standard deviation of 8%). Second, heterogeneity in returns does not arise merely from differences in the allocation of wealth between safe and risky assets: returns are heterogeneous even within asset classes. Third, returns are positively correlated with wealth: moving from the 10th to the 90th percentile of the financial wealth distribution increases the return by 3 percentage points - and by 17 percentage points when the same exercise is performed for the return to net worth. Fourth, wealth returns exhibit substantial persistence over time. We argue that while this persistence partly reflects stable differences in risk exposure and assets scale, it also reflects persistent heterogeneity in sophistication and financial information, as well as entrepreneurial talent. Finally, wealth returns are (mildly) correlated across generations. We discuss the implications of these findings for several strands of the wealth inequality debate.
Book Synopsis Investor Heterogeneity, Trading Volume, and Asset Pricing by : Takeshi Yamada
Download or read book Investor Heterogeneity, Trading Volume, and Asset Pricing written by Takeshi Yamada and published by . This book was released on 1993 with total page 106 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Heterogeneous Intermediaries and Asset Prices by : Sai Ma
Download or read book Heterogeneous Intermediaries and Asset Prices written by Sai Ma and published by . This book was released on 2018 with total page 74 pages. Available in PDF, EPUB and Kindle. Book excerpt: Canonical intermediary asset pricing models assume a representative intermediary with an SDF linear in its leverage. Yet the leverage of broker-dealers is procyclical whereas the leverage of banking holding companies is countercyclical. I propose an empirically testable heterogeneous intermediary stochastic discount factor (HI-SDF) that depends non-linearly on aggregate leverage as well as net worth shares of individual intermediaries. I show that the HI-SDF emerges from general equilibrium models with heterogeneous intermediaries whereas its specific functional form hinges on different models' specifications of financing constraints. To address this issue, the HI-SDF is estimated semiparametrically. I provide empirical evidence that the wealth distribution among intermediaries is an important source of risk for pricing risky securities. The estimated HI-SDF is found to exhibit substantial explanatory power for cross-sectional variation in expected returns across a wide range of test assets. In contrast to representative intermediary empirical models, the HI-SDF exhibits lower pricing errors and explains larger fractions of the cross-section of expected returns.
Book Synopsis Asset Pricing with Heterogeneous and Constrained Investors by : Lei Shi
Download or read book Asset Pricing with Heterogeneous and Constrained Investors written by Lei Shi and published by . This book was released on 2019 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: We analyze the joint effect of borrowing and short-sale constraints in a dynamic economy populated by two constrained investors with heterogeneous risk aversions and beliefs. We find that equilibrium prices adjust in such a way that the constraints never simultaneously bind. When the constraints are tight, we observe a regime switch behavior (discontinuities) in the risk-free rate and market price of risk at a critical state, where two equilibria exist, i.e., either constraint can be binding. Stock return volatility is the lowest at the critical state. Imposing a ban on short-sales at the same time when access to credit is restrictive or tightening borrowing during a short-sale ban can potentially move the equilibrium away from the critical state, thus increase stock return volatility rather than reducing it.
Book Synopsis Heterogeneity of Investors and Asset Pricing in a Risk-value World by : Günter Franke
Download or read book Heterogeneity of Investors and Asset Pricing in a Risk-value World written by Günter Franke and published by . This book was released on 2003 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Asset Pricing with Financial Frictions by : Paolo Cavallino
Download or read book Asset Pricing with Financial Frictions written by Paolo Cavallino and published by . This book was released on 2017 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: I explore the relationship between financial frictions and asset prices in a closed economy model, and study the implications for the leverage cycle of financial intermediaries. I develop a continuous-time dynamic macroeconomic model with heterogeneous agents and limited stock market participation. Risk averse households can invest in the stock market only through financial intermediaries. Financiers raise funds from households by issuing risk-free debt or outside equity and invest in the stock market. An agency friction limits the amount of outside equity that the financier can issue and constraints risk-sharing among agents. The model generates pro cyclical leverage during normal times while countercyclical leverage when the equity constraint binds and replicates the non-linearity of equity premia observed during financial crises. I calibrate the model to match features of the financial intermediation sector, such as average debt-to-assets ratio and a measure of financial managers compensation, and show that the simulated asset prices moments are close to those observed in the data.
Book Synopsis The Importance of Investor Heterogeneity and Financial Market Imperfections for the Behavior of Asset Prices by : John Heaton
Download or read book The Importance of Investor Heterogeneity and Financial Market Imperfections for the Behavior of Asset Prices written by John Heaton and published by . This book was released on 1994 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Financial Intermediation and Macroeconomic Risks in Asset Pricing by : Paul Meyerhof
Download or read book Financial Intermediation and Macroeconomic Risks in Asset Pricing written by Paul Meyerhof and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Institutional Investors, Heterogeneous Benchmarks and the Comovement of Asset Prices by : Andrea M. Buffa
Download or read book Institutional Investors, Heterogeneous Benchmarks and the Comovement of Asset Prices written by Andrea M. Buffa and published by . This book was released on 2018 with total page 65 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the equilibrium implications of a multi-asset economy in which asset managers are subject to different benchmarks, and demonstrate how heterogeneous benchmarking generates a mechanism through which fundamental shocks propagate across assets. Fluctuations in asset managers' capital invested for benchmarking purposes, scaled by the size of the economy, induce price pressure that can result in negative spillovers across asset returns. We highlight the economic significance of these benchmarking-induced spillovers by analyzing shock elasticities and cross-elasticities of price-dividend ratios, and characterize a rich structure of asset price comovements within and across benchmarks. Heterogeneous benchmarking also induces return predictability, generating both reversal and momentum.
