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Download or read book Liquidity Constraints in Production Based Asset Pricing Models written by and published by . This book was released on 1989 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : William A. Brock
Publisher :
ISBN 13 :
Total Pages : 19 pages
Book Rating : 4.:/5 (129 download)
Download or read book Liquidity constraints in production based asset pricing models written by William A. Brock and published by . This book was released on 1989 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : William A. Brock
Publisher :
ISBN 13 :
Total Pages : 48 pages
Book Rating : 4.3/5 ( download)
Download or read book Liquidity Constraints in Production Based Asset Pricing Models written by William A. Brock and published by . This book was released on 1989 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper explores the time series implications of introducing credit constraints into a production based asset pricing model. Simulations are performed choosing parameter values which generate reasonable values for aggregate fluctuations. These results show that mean reversion in simulated returns series, measured by variance ration tests, is enhanced with the introduction of binding credit constraints. Without these constraints there is very little evidence of mean reversion. This is consistent with financial market data where the weak evidence for mean reversion is stronger in small firm returns. Other tests are run on the simulated series including checking the standard deviation, skewness, and kurtosis. These other tests do not show strong differences between the constrained and unconstrained firms in the model.
Author : William A. Brock
Publisher :
ISBN 13 :
Total Pages : 34 pages
Book Rating : 4.:/5 (129 download)
Download or read book Liquidity Constraints in Production Based Asset Pricing Models written by William A. Brock and published by . This book was released on 2010 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper explores the time series implications of introducing credit constraints into a production based asset pricing model. Simulations are performed choosing parameter values which generate reasonable values for aggregate fluctuations. These results show that mean reversion in simulated returns series, measured by variance ration tests, is enhanced with the introduction of binding credit constraints. Without these constraints there is very little evidence of mean reversion. This is consistent with financial market data where the weak evidence for mean reversion is stronger in small firm returns. Other tests are run on the simulated series including checking the standard deviation, skewness, and kurtosis. These other tests do not show strong differences between the constrained and unconstrained firms in the model.
Author : Huntley Schaller
Publisher :
ISBN 13 :
Total Pages : 41 pages
Book Rating : 4.:/5 (221 download)
Download or read book Production-based Asset Pricing Models and Finance Constraints written by Huntley Schaller and published by . This book was released on 1993 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Bengt Holmström
Publisher :
ISBN 13 :
Total Pages : 84 pages
Book Rating : 4.3/5 (243 download)
Download or read book LAPM written by Bengt Holmström and published by . This book was released on 1998 with total page 84 pages. Available in PDF, EPUB and Kindle. Book excerpt: The intertemporal CAPM predicts that an asset's price is equal to the expectation of the product of the asset's payoff and a representative consum substitution. This paper develops an alternative approach to asset pricing based on industrial and financial corporations' desire to hoard liquidity to fulfill future cash needs. Our corporate finance a determinants of asset prices such as the distribution of wealth within the corporate sector and between the corporate sector and the consumers. Also, leverage ratios, capital adequacy requirements, and the composition of savings affect the corporate demand for li The paper first sets up a general model of corporate demand for liquid assets, and obtains an explicit formula for the associated liquidity permia. It then derives some implications of corporate liquidity demand for the equity premium puzzle, for the yield curve, and for the state-contingent volatility of asset prices. Finally, the paper looks at some macroeconomic implications of the theory. It shows that government may be able to boost aggregate liquidity and enhance economic efficiency by promoting job and asset price stability. On the liability side, long-term deposits and equity investments, which depend on the consumers' endogenously determined liquidity needs, contribute to creating a feedback effect between employment prospects and equity-like investments. On the asset side, orderly sales of real estate by liquidity-squeezed institutions may generate a Pareto improvement.
Author : Bengt Holmstrom
Publisher :
ISBN 13 :
Total Pages : 34 pages
Book Rating : 4.:/5 (14 download)
Download or read book A Liquidity Based Asset Pricing Model written by Bengt Holmstrom and published by . This book was released on 1998 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : R. Glenn Hubbard
Publisher : University of Chicago Press
ISBN 13 : 0226355942
Total Pages : 354 pages
Book Rating : 4.2/5 (263 download)
Download or read book Asymmetric Information, Corporate Finance, and Investment written by R. Glenn Hubbard and published by University of Chicago Press. This book was released on 2009-05-15 with total page 354 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this volume, specialists from traditionally separate areas in economics and finance investigate issues at the conjunction of their fields. They argue that financial decisions of the firm can affect real economic activity—and this is true for enough firms and consumers to have significant aggregate economic effects. They demonstrate that important differences—asymmetries—in access to information between "borrowers" and "lenders" ("insiders" and "outsiders") in financial transactions affect investment decisions of firms and the organization of financial markets. The original research emphasizes the role of information problems in explaining empirically important links between internal finance and investment, as well as their role in accounting for observed variations in mechanisms for corporate control.
Author : Yakov Amihud
Publisher : Now Publishers Inc
ISBN 13 : 1933019123
Total Pages : 109 pages
Book Rating : 4.9/5 (33 download)
Download or read book Liquidity and Asset Prices written by Yakov Amihud and published by Now Publishers Inc. This book was released on 2006 with total page 109 pages. Available in PDF, EPUB and Kindle. Book excerpt: Liquidity and Asset Prices reviews the literature that studies the relationship between liquidity and asset prices. The authors review the theoretical literature that predicts how liquidity affects a security's required return and discuss the empirical connection between the two. Liquidity and Asset Prices surveys the theory of liquidity-based asset pricing followed by the empirical evidence. The theory section proceeds from basic models with exogenous holding periods to those that incorporate additional elements of risk and endogenous holding periods. The empirical section reviews the evidence on the liquidity premium for stocks, bonds, and other financial assets.
Author : Phillip A. Braun
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book An Empirical Examination of Production Based Asset Pricing written by Phillip A. Braun and published by . This book was released on 1999 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This study tests the production based asset pricing model. The paper proceeds by first theoretically deriving an asset pricing model from a firm's production-investment decision following Cochrane (1991). To do this it is necessary to assume specific functional forms for the firm's production technology, as well as a representative consumer's utility function. Then, using aggregate data for investment expenditures and real gross domestic expenditures, I test whether this asset pricing model can price alternative sets of financial securities using Hansen's (1982) MMG. The main conclusions of this study are that the particular production technologies and asset pricing model assumed are not compatible with the data. The most interesting finding is that the problems documented for the consumption based asset pricing models also plague the production based model. This result is very important because the original expectation for the production based model was that the relationship between firms' investment expenditures and asset returns would be stronger than that observed for consumption expenditures. The findings of this study do not support this expectation. In fact, the results indicate that the production based model actually fits the data worse than the consumption based model.
Author : William A. Brock
Publisher : Edward Elgar Publishing
ISBN 13 : 9781782543046
Total Pages : 488 pages
Book Rating : 4.5/5 (43 download)
Download or read book Growth Theory, Nonlinear Dynamics, and Economic Modelling written by William A. Brock and published by Edward Elgar Publishing. This book was released on 2001-01-01 with total page 488 pages. Available in PDF, EPUB and Kindle. Book excerpt: 'Buz Brock's contribution to economic theory in general and economic dynamics in particular are characterized by an unmatched richness of ideas and by deep theoretical, empirical as well as computational analysis. Brock's contribution to economic dynamics range from one extreme of the field, global stability of stochastic optimal growth models, to another extreme, market instability and nonlinearity in economic and financial modelling and data analysis. But his work also includes environmental and economic policy issues and, more recently, the modelling of markets as complex adaptive systems. This collection of essays reflects Brock's richness of ideas that have motivated economists for more than three decades already and will continue to influence many economists for the next decades to come.' - Cars H. Hommes, University of Amsterdam, The Netherlands 'Buz Brock has been, from the beginning of his career, one of the most original thinkers in dynamic economics. His early work showed that growth with random elements could be studied effectively and above all posed exactly the right questions. His more recent work has brought complexity theory to the fore and shown its implications for financial and other markets. In the process, he has both introduced and used econometric tools to show the relevance of his work to empirically observed phenomena. It is very useful to have his work in collected form.' - Kenneth J. Arrow, Stanford University, US This outstanding collection of William Brock's essays illustrates the power of dynamic modelling to shed light on the forces for stability and instability in economic systems. The articles selected reflect his best work and are indicative both of the type of policy problem that he finds challenging and the complex methodology that he uses to solve them. Also included is an introduction by Brock to his own work, which helps tie together the main aspects of his research to date.
Author : Bengt R. Holmström
Publisher :
ISBN 13 :
Total Pages : 72 pages
Book Rating : 4.:/5 (129 download)
Download or read book Lapm written by Bengt R. Holmström and published by . This book was released on 2010 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt: The intertemporal CAPM predicts that an asset's price is equal to the expectation of the product of the asset's payoff and a representative consum substitution. This paper develops an alternative approach to asset pricing based on industrial and financial corporations' desire to hoard liquidity to fulfill future cash needs. Our corporate finance a determinants of asset prices such as the distribution of wealth within the corporate sector and between the corporate sector and the consumers. Also, leverage ratios, capital adequacy requirements, and the composition of savings affect the corporate demand for li The paper first sets up a general model of corporate demand for liquid assets, and obtains an explicit formula for the associated liquidity permia. It then derives some implications of corporate liquidity demand for the equity premium puzzle, for the yield curve, and for the state-contingent volatility of asset prices. Finally, the paper looks at some macroeconomic implications of the theory. It shows that government may be able to boost aggregate liquidity and enhance economic efficiency by promoting job and asset price stability. On the liability side, long-term deposits and equity investments, which depend on the consumers' endogenously determined liquidity needs, contribute to creating a feedback effect between employment prospects and equity-like investments. On the asset side, orderly sales of real estate by liquidity-squeezed institutions may generate a Pareto improvement.
Author : John H. Cochrane
Publisher : Now Publishers Inc
ISBN 13 : 1933019158
Total Pages : 117 pages
Book Rating : 4.9/5 (33 download)
Download or read book Financial Markets and the Real Economy written by John H. Cochrane and published by Now Publishers Inc. This book was released on 2005 with total page 117 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Markets and the Real Economy reviews the current academic literature on the macroeconomics of finance.
Author : Yakov Amihud
Publisher : Cambridge University Press
ISBN 13 : 0521191769
Total Pages : 293 pages
Book Rating : 4.5/5 (211 download)
Download or read book Market Liquidity written by Yakov Amihud and published by Cambridge University Press. This book was released on 2013 with total page 293 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book explores the effect of liquidity on asset prices, liquidity variations over time and how liquidity risk affects prices.
Author : Bengt Holmström
Publisher :
ISBN 13 :
Total Pages : 34 pages
Book Rating : 4.:/5 (49 download)
Download or read book A Liquidity Based Asset Pricing Model written by Bengt Holmström and published by . This book was released on 1998 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : John H. Cochrane
Publisher :
ISBN 13 :
Total Pages : 70 pages
Book Rating : 4.3/5 ( download)
Download or read book Production Based Asset Pricing written by John H. Cochrane and published by . This book was released on 1988 with total page 70 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper exploits producer's first order conditions to link asset prices to data on investment, output, etc. through marginal rates of transformation, just as consumer's first order conditions are commonly used to link asset prices to consumption data or proxies through marginal rates of substitution. It presents simulation economies analogous to the consumption based models of Mehra and Prescott (1985) and Backus, Gregory and Ziri (1986) that capture the size of the equity premium and the size and cyclical timing of the forward rate term premium.
Author : Frederico Belo
Publisher :
ISBN 13 :
Total Pages : 102 pages
Book Rating : 4.:/5 (712 download)
Download or read book A Pure Production-based Asset Pricing Model written by Frederico Belo and published by . This book was released on 2006 with total page 102 pages. Available in PDF, EPUB and Kindle. Book excerpt:
