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Download or read book Incomplete Information in a Long Run Risks Model of Asset Pricing written by and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Long-run Risks Model of Asset Pricing with Fat Tails written by and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Kerry E. Back
Publisher : Oxford University Press
ISBN 13 : 0190241152
Total Pages : 608 pages
Book Rating : 4.1/5 (92 download)
Download or read book Asset Pricing and Portfolio Choice Theory written by Kerry E. Back and published by Oxford University Press. This book was released on 2017-01-04 with total page 608 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the 2nd edition of Asset Pricing and Portfolio Choice Theory, Kerry E. Back offers a concise yet comprehensive introduction to and overview of asset pricing. Intended as a textbook for asset pricing theory courses at the Ph.D. or Masters in Quantitative Finance level with extensive exercises and a solutions manual available for professors, the book is also an essential reference for financial researchers and professionals, as it includes detailed proofs and calculations as section appendices. The first two parts of the book explain portfolio choice and asset pricing theory in single-period, discrete-time, and continuous-time models. For valuation, the focus throughout is on stochastic discount factors and their properties. A section on derivative securities covers the usual derivatives (options, forwards and futures, and term structure models) and also applications of perpetual options to corporate debt, real options, and optimal irreversible investment. A chapter on "explaining puzzles" and the last part of the book provide introductions to a number of additional current topics in asset pricing research, including rare disasters, long-run risks, external and internal habits, asymmetric and incomplete information, heterogeneous beliefs, and non-expected-utility preferences. Each chapter includes a "Notes and References" section providing additional pathways to the literature. Each chapter also includes extensive exercises.
Author : Ravi Bansal
Publisher :
ISBN 13 :
Total Pages : 36 pages
Book Rating : 4.:/5 (495 download)
Download or read book An empirical evaluation of the long-run risks model for asset prices written by Ravi Bansal and published by . This book was released on 2009 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: We provide an empirical evaluation of the forward-looking long-run risks (LRR) model and highlight model differences with the backward-looking habit based asset pricing model. We feature three key results: (i) Consistent with the LRR model, there is considerable evidence in the data of time-varying expected consumption growth and volatility, (ii) The LRR model matches the key asset markets data features, (iii) In the data and in the LRR model accordingly, past consumption growth does not predict future asset prices, whereas lagged consumption in the habit model forecasts future price-dividend ratios with an R2 of over 40%. Overall, our evidence implies that the LRR model provides a coherent framework to analyze and interpret asset prices.
Author : Ravi Bansal
Publisher :
ISBN 13 :
Total Pages : 34 pages
Book Rating : 4.:/5 (129 download)
Download or read book Long-Run Risks and Financial Markets written by Ravi Bansal and published by . This book was released on 2010 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: The recently developed long-run risks asset pricing model shows that concerns about long-run expected growth and time-varying uncertainty (i.e., volatility) about future economic prospects drive asset prices. These two channels of economic risks can account for the risk premia and asset price fluctuations. In addition, the model can empirically account for the cross-sectional differences in asset returns. Hence, the long-run risks model provides a coherent and systematic framework for analyzing financial markets.
Download or read book Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles written by and published by . This book was released on with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The National Bureau of Economic Research, Inc. (NBER) presents an abstract for a paper entitled "Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles," by Ravi Bansal and Amir Yaron and issued December 2000. The paper highlights how news about growth rates significantly alter agent's perceptions regarding long run expected growth rates and growth rate uncertainty. Users may purchase the full text of the paper.
Author : Kerry Back
Publisher : Oxford University Press, USA
ISBN 13 : 0195380614
Total Pages : 504 pages
Book Rating : 4.1/5 (953 download)
Download or read book Asset Pricing and Portfolio Choice Theory written by Kerry Back and published by Oxford University Press, USA. This book was released on 2010 with total page 504 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book covers the classical results on single-period, discrete-time, and continuous-time models of portfolio choice and asset pricing. It also treats asymmetric information, production models, various proposed explanations for the equity premium puzzle, and topics important for behavioral finance.
Author : Ravi Bansal
Publisher :
ISBN 13 :
Total Pages : 43 pages
Book Rating : 4.:/5 (129 download)
Download or read book Risks for the Long Run written by Ravi Bansal and published by . This book was released on 2010 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: We model dividend and consumption growth rates as containing a small long-run predictable component and economic uncertainty (i.e., growth rate volatility) as being time-varying. The magnitudes of the predictable variation and changing volatility in growth rates, as in the data, are quite small. These growth rate dynamics, for which we provide empirical support, in conjunction with plausible parameter configurations of the Epstein and Zin (1989) preferences can explain key observed asset markets phenomena. In particular, we show that the model can justify the observed equity premium, the low risk free rate, and the ex-post volatilities of the market return, real risk free rate, and the price-dividend ratio. As in the data, the model also implies that dividend yields predict returns and that market return volatility is stochastic. The main economic insight we capture is that news about growth rates significantly alter agent's perceptions regarding long run expected growth rates and growth rate uncertainty--in equilibrium, this leads to a large equity risk premium, low risk free interest rate, and large market volatility.
Author : Jason Beeler
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (819 download)
Download or read book The Long-run Risk Model and Aggregate Asset Prices: an Empirical Assessment written by Jason Beeler and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jason Beeler
Publisher :
ISBN 13 :
Total Pages : 50 pages
Book Rating : 4.:/5 (12 download)
Download or read book The Long-run Risks Model and Aggregate Asset Prices written by Jason Beeler and published by . This book was released on 2009 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: The long-run risks model of asset prices explains stock price variation as a response to persistent fluctuations in the mean and volatility of aggregate consumption growth, by a representative agent with a high elasticity of intertemporal substitution. This paper documents several empirical difficulties for the model as calibrated by Bansal and Yaron (BY, 2004) and Bansal, Kiku, and Yaron (BKY, 2007a). BY's calibration counterfactually implies that long-run consumption and dividend growth should be highly persistent and predictable from stock prices. BKY's calibration does better in this respect by greatly increasing the persistence of volatility fluctuations and their impact on stock prices. This calibration fits the predictive power of stock prices for future consumption volatility, but implies much greater predictive power of stock prices for future stock return volatility than is found in the data. Neither calibration can explain why movements in real interest rates do not generate strong predictable movements in consumption growth. Finally, the long-run risks model implies extremely low yields and negative term premia on inflation-indexed bonds.
Author : Mariano M. Croce
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (114 download)
Download or read book Investor Information, Long-Run Risk, and the Term Structure of Equity written by Mariano M. Croce and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the role of information in asset pricing models with long-run cash flow risk. When investors can distinguish short- from long-run consumption risks (full information), the model generates a sizable equity risk premium only if the equity term structure slopes up, contrary to the data. In general, the short- and long-run components are unidentified. We propose a sparsity-based bounded rationality model of long-run risk that is both parsimonious and fully identified from historical data. In contrast to full information, the model generates a sizable market risk premium simultaneously with a downward sloping equity term structure, as in the data.
Author : M. Ali Khan
Publisher : Springer Science & Business Media
ISBN 13 : 3662070715
Total Pages : 441 pages
Book Rating : 4.6/5 (62 download)
Download or read book Equilibrium Theory in Infinite Dimensional Spaces written by M. Ali Khan and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 441 pages. Available in PDF, EPUB and Kindle. Book excerpt: Apart from the underlying theme that all the contributions to this volume pertain to models set in an infinite dimensional space, they differ on many counts. Some were written in the early seventies while others are reports of ongoing research done especially with this volume in mind. Some are surveys of material that can, at least at this point in time, be deemed to have attained a satisfactory solution of the problem, while oth ers represent initial forays into an original and novel formulation. Some furnish alternative proofs of known, and by now, classical results, while others can be seen as groping towards and exploring formulations that have not yet reached a definitive form. The subject matter also has a wide leeway, ranging from solution concepts for economies to those for games and also including representation of preferences and discussion of purely mathematical problems, all within the rubric of choice variables belonging to an infinite dimensional space, interpreted as a commodity space or as a strategy space. Thus, this is a collective enterprise in a fairly wide sense of the term and one with the diversity of which we have interfered as little as possible. Our motivation for bringing all of this work under one set of covers was severalfold.
Author : Wayne Ferson
Publisher : MIT Press
ISBN 13 : 0262039370
Total Pages : 497 pages
Book Rating : 4.2/5 (62 download)
Download or read book Empirical Asset Pricing written by Wayne Ferson and published by MIT Press. This book was released on 2019-03-12 with total page 497 pages. Available in PDF, EPUB and Kindle. Book excerpt: An introduction to the theory and methods of empirical asset pricing, integrating classical foundations with recent developments. This book offers a comprehensive advanced introduction to asset pricing, the study of models for the prices and returns of various securities. The focus is empirical, emphasizing how the models relate to the data. The book offers a uniquely integrated treatment, combining classical foundations with more recent developments in the literature and relating some of the material to applications in investment management. It covers the theory of empirical asset pricing, the main empirical methods, and a range of applied topics. The book introduces the theory of empirical asset pricing through three main paradigms: mean variance analysis, stochastic discount factors, and beta pricing models. It describes empirical methods, beginning with the generalized method of moments (GMM) and viewing other methods as special cases of GMM; offers a comprehensive review of fund performance evaluation; and presents selected applied topics, including a substantial chapter on predictability in asset markets that covers predicting the level of returns, volatility and higher moments, and predicting cross-sectional differences in returns. Other chapters cover production-based asset pricing, long-run risk models, the Campbell-Shiller approximation, the debate on covariance versus characteristics, and the relation of volatility to the cross-section of stock returns. An extensive reference section captures the current state of the field. The book is intended for use by graduate students in finance and economics; it can also serve as a reference for professionals.
Author : George M. Constantinides
Publisher :
ISBN 13 :
Total Pages : 57 pages
Book Rating : 4.:/5 (63 download)
Download or read book Asset Pricing with Long Run Risks in Consumption Growth written by George M. Constantinides and published by . This book was released on 2008 with total page 57 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : George M. Constantinides
Publisher :
ISBN 13 :
Total Pages : 57 pages
Book Rating : 4.:/5 (611 download)
Download or read book Asset Pricing Tests with Long Run Risks in Consumption Growth written by George M. Constantinides and published by . This book was released on 2008 with total page 57 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Bansal and Yaron (2004) model of long-run risks (LRR) in aggregate consumption and dividend growth and its cointegrated extension are tested on a cross-section of assets and rejected over 1930-2006. Reversal of earlier conclusions is due to the increased power of the tests resulting from two observations under the null: the latent state variables and, therefore, the pricing kernel are known affine functions of observables; and, the unconditional moments of the time series processes impose constraints in addition to the pricing constraints. The models perform better in postwar subperiods, consistent with evidence of structural-breaks.
Author : Jiun-Lin Chen
Publisher :
ISBN 13 :
Total Pages : 32 pages
Book Rating : 4.:/5 (13 download)
Download or read book The Predictability Implied by Consumption-Based Asset Pricing Models written by Jiun-Lin Chen and published by . This book was released on 2018 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: The consumption-based models have a lack of predictive power for explaining variability of stock returns. This paper examines two well-known models, Campbell and Cochrane (1999)'s habit model and Bansal and Yaron (2004)'s long-run risks model, to see whether they produce a significant power of return predictability. For the habit model, empirical tests reveal that the state variable, the surplus consumption ratio, explains counter-cyclical time-varying expected returns. The long-run risks model also proves to explain that main sources of volatility in price-dividend ratio are a persistent and predictable consumption growth rate and fluctuating economic uncertainty. The models are also tested by following the work of Kirby (1998) whether they can explain the observed return predictability. Both models fail to generate any significant predictive power. The habit model is relatively strong in volatility, which implies that variation in expected excess return is largely attributable to the time-varying risk aversion.
Author : Roberto Apelfeld
Publisher :
ISBN 13 :
Total Pages : 100 pages
Book Rating : 4.:/5 (238 download)
Download or read book Asset Pricing Under Incomplete Information written by Roberto Apelfeld and published by . This book was released on 1990 with total page 100 pages. Available in PDF, EPUB and Kindle. Book excerpt:
