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Author : Martin Lettau
Publisher :
ISBN 13 :
Total Pages : 52 pages
Book Rating : 4.X/5 (6 download)
Download or read book Preferences, Consumption Smoothing, and Risk Premia written by Martin Lettau and published by . This book was released on 1997 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Martin Lettau
Publisher :
ISBN 13 :
Total Pages : 52 pages
Book Rating : 4.3/5 ( download)
Download or read book Preferences, Consumption Smoothing, and Risk Premia written by Martin Lettau and published by . This book was released on 1997 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Georg Kaltenbrunner
Publisher :
ISBN 13 :
Total Pages : 67 pages
Book Rating : 4.:/5 (129 download)
Download or read book Long-Run Risk Through Consumption Smoothing written by Georg Kaltenbrunner and published by . This book was released on 2011 with total page 67 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine how long-run consumption risk arises endogenously in a standard production economy model where the representative agent has Epstein-Zin preferences. Even when technology growth is i.i.d., optimal consumption smoothing induces highly persistent time-variation in expected consumption growth (long-run risk). This increases the price of risk when investors prefer early resolution of uncertainty, and the model can then account for the low volatility of consumption growth and the high price of risk with a low coefficient of relative risk aversion. The asset price implications of endogenous long-run risk depends crucially on the persistence of technology shocks and investors preference for the timing of resolution of uncertainty. We use the time-series of consumption growth and the cross-section of stock returns to evaluate different parameterizations of the model.
Author : Miles S. Kimball
Publisher :
ISBN 13 :
Total Pages : 36 pages
Book Rating : 4.:/5 (25 download)
Download or read book Precautionary Saving and Consumption Smoothing Across Time and Possibilities written by Miles S. Kimball and published by . This book was released on 1992 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines how aversion to risk and intertemporal substitution determine the strength of the precautionary saving motive in a two-period model with Kreps-Porteus preferences. For small risks, we derive a measure of the strength of the precautionary saving motive which generalizes to these more general preferences the concept of "prudence" introduced by Kimball [l990b] to these more general preferences. For large risks, we show that decreasing absolute risk aversion guarantees that the precautionary saving motive is stronger than risk aversion, regardless of the elasticity of intertemporal substitution. Holding risk preferences fixed, the extent to which the precautionary saving motive is stronger than risk aversion increases with the elasticity of intertemporal substitution. We derive sufficient conditions for the strength of the precautionary saving motive to decline with wealth and for a change in risk preferences alone to increase the strength of the precautionary saving motive.
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 : Ms.Aude Pommeret
Publisher : International Monetary Fund
ISBN 13 : 1451854013
Total Pages : 37 pages
Book Rating : 4.4/5 (518 download)
Download or read book Agents’ Preferences, the Equity Premium, and the Consumption-Saving Trade-Off written by Ms.Aude Pommeret and published by International Monetary Fund. This book was released on 2001-08-01 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper aims to measure the risk premium on French equities during 1960-92 and to evaluate how well theoretical models based on various representations of agents' preferences can explain it. Aside from the standard, time-additive utility function with constant relative risk aversion, three other utility functions are reviewed: a recursive utility function, a habit formation utility function, and a utility function that accounts for the interdependence of preferences. Both calibration and econometric estimations show that none of the studied marginal changes in the representation of agents' preferences are sufficient to solve both the equity premium puzzle and the risk-free rate puzzle.
Author : Rajnish Mehra
Publisher : Elsevier
ISBN 13 : 0080555853
Total Pages : 635 pages
Book Rating : 4.0/5 (85 download)
Download or read book Handbook of the Equity Risk Premium written by Rajnish Mehra and published by Elsevier. This book was released on 2011-08-11 with total page 635 pages. Available in PDF, EPUB and Kindle. Book excerpt: Edited by Rajnish Mehra, this volume focuses on the equity risk premium puzzle, a term coined by Mehra and Prescott in 1985 which encompasses a number of empirical regularities in the prices of capital assets that are at odds with the predictions of standard economic theory.
Author : Anne Epaulard
Publisher :
ISBN 13 :
Total Pages : 42 pages
Book Rating : 4.:/5 (318 download)
Download or read book Agents' Preferences, the Equity Premium, and the Consumption-saving Trade-off written by Anne Epaulard and published by . This book was released on 2001 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Glenn W. Harrison
Publisher : Emerald Group Publishing
ISBN 13 : 1837972680
Total Pages : 265 pages
Book Rating : 4.8/5 (379 download)
Download or read book Models of Risk Preferences written by Glenn W. Harrison and published by Emerald Group Publishing. This book was released on 2023-10-23 with total page 265 pages. Available in PDF, EPUB and Kindle. Book excerpt: Models of Risk Preferences collects studies that critically review alternatives to Expected Utility Theory from the perspective of experimental economics.
Author : William N. Goetzmann
Publisher : Oxford University Press
ISBN 13 : 0199881979
Total Pages : 568 pages
Book Rating : 4.1/5 (998 download)
Download or read book The Equity Risk Premium written by William N. Goetzmann and published by Oxford University Press. This book was released on 2006-11-16 with total page 568 pages. Available in PDF, EPUB and Kindle. Book excerpt: What is the return to investing in the stock market? Can we predict future stock market returns? How have equities performed over the last two centuries? The authors in this volume are among the leading researchers in the study of these questions. This book draws upon their research on the stock market over the past two dozen years. It contains their major research articles on the equity risk premium and new contributions on measuring, forecasting, and timing stock market returns, together with new interpretive essays that explore critical issues and new research on the topic of stock market investing. This book is aimed at all readers interested in understanding the empirical basis for the equity risk premium. Through the analysis and interpretation of two scholars whose research contributions have been key factors in the modern debate over stock market perfomance, this volume engages the reader in many of the key issues of importance to investors. How large is the premium? Is history a reliable guide to predict future equity returns? Does the equity and cash flows of the market? Are global equity markets different from those in the United States? Do emerging markets offer higher or lower equity risk premia? The authors use the historical performance of the world's stock markets to address these issues.
Author : Willi Semmler
Publisher : Springer Science & Business Media
ISBN 13 : 3540246967
Total Pages : 249 pages
Book Rating : 4.5/5 (42 download)
Download or read book Asset Prices, Booms and Recessions written by Willi Semmler and published by Springer Science & Business Media. This book was released on 2007-03-21 with total page 249 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Asset Prices, Booms and Recessions" is a book on Financial Economics from a dynamic perspective. It focuses on the dynamic interaction of financial markets and economic activity. The financial markets to be studied here encompasses the money and bond market, credit market, stock market and foreign exchange market. Economic activity is described by the activity of firms, banks, households, governments and countries. The book shows how economic activity affects asset prices and the financial market and how asset prices and financial market volatility feed back to economic activity. The focus in this book is on theories, dynamic models and empirical evidence. Empirical applications relate to episodes of financial instability and financial crises of the U.S., Latin American, Asian as well as Euro-area countries. The current version of the book has moved to a more extensive coverage of the topics in financial economics by updating the literature in the appropriate chapters. Moreover it gives a more extensive treatment of new and more advanced topics in financial economics such as international portfolio theory, multi-agent and evolutionary approaches, capital asset pricing beyond consumption-based models and dynamic portfolio decisions. Overall, the book presents material that researchers and practitioners in financial engineering need to know about economic dynamics and that economists, practitioners and policy makers need to know about the financial market.
Author : Robert A. Jarrow
Publisher :
ISBN 13 :
Total Pages : 472 pages
Book Rating : 4.3/5 (91 download)
Download or read book Volatility written by Robert A. Jarrow and published by . This book was released on 1998 with total page 472 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written by a number of authors, this text is aimed at market practitioners and applies the latest stochastic volatility research findings to the analysis of stock prices. It includes commentary and analysis based on real-life situations.
Author : Felix Geiger
Publisher : Springer Science & Business Media
ISBN 13 : 3642215750
Total Pages : 320 pages
Book Rating : 4.6/5 (422 download)
Download or read book The Yield Curve and Financial Risk Premia written by Felix Geiger and published by Springer Science & Business Media. This book was released on 2011-08-17 with total page 320 pages. Available in PDF, EPUB and Kindle. Book excerpt: The determinants of yield curve dynamics have been thoroughly discussed in finance models. However, little can be said about the macroeconomic factors behind the movements of short- and long-term interest rates as well as the risk compensation demanded by financial investors. By taking on a macro-finance perspective, the book’s approach explicitly acknowledges the close feedback between monetary policy, the macroeconomy and financial conditions. Both theoretical and empirical models are applied in order to get a profound understanding of the interlinkages between economic activity, the conduct of monetary policy and the underlying macroeconomic factors of bond price movements. Moreover, the book identifies a broad risk-taking channel of monetary transmission which allows a reassessment of the role of financial constraints; it enables policy makers to develop new guidelines for monetary policy and for financial supervision of how to cope with evolving financial imbalances.
Author : Lans Bovenberg
Publisher : Springer
ISBN 13 : 0230307345
Total Pages : 407 pages
Book Rating : 4.2/5 (33 download)
Download or read book Ageing, Health and Pensions in Europe written by Lans Bovenberg and published by Springer. This book was released on 2010-10-27 with total page 407 pages. Available in PDF, EPUB and Kindle. Book excerpt: Providing an overview of the future research challenges for economists and social scientists concerning population ageing, pensions, health and social care in Europe, this book examines how scientific research can provide cutting-edge evidence on income security and well-being of the elderly, and labour markets and older workers.
Author : Peter Zweifel
Publisher : Springer Science & Business Media
ISBN 13 : 3540685405
Total Pages : 539 pages
Book Rating : 4.5/5 (46 download)
Download or read book Health Economics written by Peter Zweifel and published by Springer Science & Business Media. This book was released on 2009-07-14 with total page 539 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is the most complete text available on the economics of health behavior and health care delivery. Appropriate both for advanced undergraduate and beginning graduate students of economics, this text provides the key analytical tools required to understand current research. Issues discussed include the "cost explosion" in health care, the power of medical associations, the search for remuneration systems with favorable incentives, and technological change in medicine. Rather than simplifying the issues facing today’s healthcare systems, the book models existing complexities as they are, adapting economics to reflect the views of the average person.
Author :
Publisher : Springer
ISBN 13 : 1349588024
Total Pages : 7493 pages
Book Rating : 4.3/5 (495 download)
Download or read book The New Palgrave Dictionary of Economics written by and published by Springer. This book was released on 2016-05-18 with total page 7493 pages. Available in PDF, EPUB and Kindle. Book excerpt: The award-winning The New Palgrave Dictionary of Economics, 2nd edition is now available as a dynamic online resource. Consisting of over 1,900 articles written by leading figures in the field including Nobel prize winners, this is the definitive scholarly reference work for a new generation of economists. Regularly updated! This product is a subscription based product.
Author : Gianfranco Pellegrino
Publisher : Springer Nature
ISBN 13 : 303107002X
Total Pages : 1286 pages
Book Rating : 4.0/5 (31 download)
Download or read book Handbook of the Philosophy of Climate Change written by Gianfranco Pellegrino and published by Springer Nature. This book was released on with total page 1286 pages. Available in PDF, EPUB and Kindle. Book excerpt:
