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Consumption Fluctuations And Expected Returns
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Book Synopsis Consumption Fluctuations and Expected Returns by : Victoria Atanasov
Download or read book Consumption Fluctuations and Expected Returns written by Victoria Atanasov and published by . This book was released on 2019 with total page 86 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper introduces a novel consumption-based variable, cyclical consumption, and examines its predictive properties for stock returns. Future expected stock returns are high (low) when aggregate consumption falls (rises) relative to its trend and marginal utility from current consumption is high (low). We show that the empirical evidence ties consumption decisions of agents to time-variation in returns in a manner consistent with asset pricing models based on external habit formation. The predictive power of cyclical consumption is not confined to bad times and subsumes the predictability of many popular forecasting variables.
Book Synopsis Essays on Consumption and Expected Returns by : Motohiro Yogo
Download or read book Essays on Consumption and Expected Returns written by Motohiro Yogo and published by . This book was released on 2004 with total page 203 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Financial Markets and the Real Economy by : John H. Cochrane
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.
Book Synopsis Pseudo-wealth and Consumption Fluctuations by : Martin Guzman
Download or read book Pseudo-wealth and Consumption Fluctuations written by Martin Guzman and published by . This book was released on 2016 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: This paper provides an explanation for situations in which the state variables describing the economy do not change, but aggregate consumption experiences significant changes. We present a theory of pseudo-wealth--individuals' perceived wealth that is derived from heterogeneous beliefs and expectations of gains in a bet. This wealth is divorced from real assets that may exist in society. The creation of a market for bets will imply positive pseudo-wealth. Changes in the differences of prior beliefs will lead to changes in expected wealth and hence to changes in consumption, implying ex-post intertemporal individual and aggregate consumption misallocations and instabilities. Thus, in the environment we describe, completing markets increases macroeconomic volatility, raising unsettling welfare questions
Book Synopsis Expected Returns and Expected Dividend Growth by : Martin Lettau
Download or read book Expected Returns and Expected Dividend Growth written by Martin Lettau and published by . This book was released on 2002 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate a consumption-based present value relation that is a function of future dividend growth. Using data on aggregate consumption and measures of the dividend payments from aggregate wealth, we show that changing forecasts of dividend growth make an important contribution to fluctuations in the U.S. stock market, despite the failure of the dividend-price ratio to uncover such variation. In addition, these dividend forecasts are found to covary with changing forecasts of excess stock returns. The variation in expected dividend growth we uncover is positively correlated with changing forecasts of excess returns and occurs at business cycle frequencies, those ranging from one to six years. Because positively correlated fluctuations in expected dividend growth and expected returns have offsetting affects on the log dividend-price ratio, the results imply that both the market risk-premium and expected dividend growth vary considerably more than what can be revealed using the log dividend-price ratio alone as a predictive variable.
Book Synopsis Consumption and Portfolio Decisions when Expected Returns are Time Varying by : John Y. Campbell
Download or read book Consumption and Portfolio Decisions when Expected Returns are Time Varying written by John Y. Campbell and published by . This book was released on 1998 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Stochastic Volatility, Long Run Risks, and Aggregate Stock Market Fluctuations by : Stefan Avdjiev
Download or read book Stochastic Volatility, Long Run Risks, and Aggregate Stock Market Fluctuations written by Stefan Avdjiev and published by . This book was released on 2010 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Consumption Risk and the Cross-section of Expected Returns by : Jonathan A. Parker
Download or read book Consumption Risk and the Cross-section of Expected Returns written by Jonathan A. Parker and published by . This book was released on 2004 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Time-varying Risk Premia, Sources of Macroeconomic Risk, and Aggregate Stock Market Behavior by : Massimiliano De Santis
Download or read book Time-varying Risk Premia, Sources of Macroeconomic Risk, and Aggregate Stock Market Behavior written by Massimiliano De Santis and published by . This book was released on 2005 with total page 334 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 Expectations-Based Reference-Dependent Preferences and Asset Pricing by : Michaela Pagel
Download or read book Expectations-Based Reference-Dependent Preferences and Asset Pricing written by Michaela Pagel and published by . This book was released on 2013 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper incorporates expectations-based reference-dependent preferences into the canonical Lucas-tree asset-pricing economy. Expectations-based loss aversion increases the equity premium and decreases the consumption-wealth ratio, because uncertain fluctuations in consumption are more painful. Moreover, because unexpected cuts in consumption are particularly painful, the agent wants to postpone such cuts to let his reference point decrease. Thus, even though shocks are i.i.d., loss aversion induces variation in the consumption-wealth ratio, which generates variation in the equity premium, expected returns, and predictability. The level and variation in the equity premium and the predictability in returns match historical moments, but the associated variation in intertemporal substitution motives results in excessive variation in the risk-free rate. This effect can be partially offset with variation in expected consumption growth, heteroskedasticity in consumption growth, or time-variant disaster risk. As a key contribution, I show that the preferences resolve the equity-premium puzzle and simultaneously imply plausible risk attitudes towards small and large wealth bets.
Book Synopsis Essays on Aggregate and Individual Consumption Fluctuations by : Youngjin Hwang
Download or read book Essays on Aggregate and Individual Consumption Fluctuations written by Youngjin Hwang and published by . This book was released on 2006 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis consists of three essays on aggregate and individual consumption fluctuations. Chapter 1 develops a quantitative model to explore aggregate and individual consumption dynamics when the income process exhibits regime-switching features, and compares its performance with the conventional linear model. For this purpose, I consider an economy populated by a large number of consumers whose incomes are subject to both aggregate and idiosyncratic shocks. The notable element of the model is that a latent regime-switching stochastic variable governs both the trend growth of the aggregate component and the counter-cyclical variances of the idiosyncratic components in individual earnings. I demonstrate that the model can provide a reasonable description of the cyclical behavior of actual consumption fluctuations, and can successfully replicate some key empirical properties of aggregate consumption growth, such as smaller volatility than income growth, greater volatility in recessions than in expansions, and a negatively skewed and leptokurtic distribution, while the typical linear model fails to do so.
Book Synopsis Financial Asset Pricing Theory by : Claus Munk
Download or read book Financial Asset Pricing Theory written by Claus Munk and published by OUP Oxford. This book was released on 2013-04-18 with total page 598 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Asset Pricing Theory offers a comprehensive overview of the classic and the current research in theoretical asset pricing. Asset pricing is developed around the concept of a state-price deflator which relates the price of any asset to its future (risky) dividends and thus incorporates how to adjust for both time and risk in asset valuation. The willingness of any utility-maximizing investor to shift consumption over time defines a state-price deflator which provides a link between optimal consumption and asset prices that leads to the Consumption-based Capital Asset Pricing Model (CCAPM). A simple version of the CCAPM cannot explain various stylized asset pricing facts, but these asset pricing 'puzzles' can be resolved by a number of recent extensions involving habit formation, recursive utility, multiple consumption goods, and long-run consumption risks. Other valuation techniques and modelling approaches (such as factor models, term structure models, risk-neutral valuation, and option pricing models) are explained and related to state-price deflators. The book will serve as a textbook for an advanced course in theoretical financial economics in a PhD or a quantitative Master of Science program. It will also be a useful reference book for researchers and finance professionals. The presentation in the book balances formal mathematical modelling and economic intuition and understanding. Both discrete-time and continuous-time models are covered. The necessary concepts and techniques concerning stochastic processes are carefully explained in a separate chapter so that only limited previous exposure to dynamic finance models is required.
Book Synopsis Macroeconomic Shocks and Risk Premia by : Gabor Pinter
Download or read book Macroeconomic Shocks and Risk Premia written by Gabor Pinter and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Working Paper Series written by and published by . This book was released on 2003 with total page 580 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Term Structures of Risk in Expected Returns by : Irina Zviadadze
Download or read book Term Structures of Risk in Expected Returns written by Irina Zviadadze and published by . This book was released on 2018 with total page 81 pages. Available in PDF, EPUB and Kindle. Book excerpt: This article develops an empirical methodology to determine which economic shocks span risk in asset returns and fluctuations in discount rate and cash flow news. A theoretically motivated shock identification scheme in a present-value model identifies economic shocks. The choice of identifying restrictions is based on the properties of the term structure of risk in expected returns in the data and in equilibrium models. Empirically, I relate equity discount rate news and cash flow news to multiple sources of risk in the variance of consumption growth. Both types of news are almost equally important for the aggregate market risk.
Book Synopsis Nonlinear Modeling of Economic and Financial Time-Series by : Fredj Jawadi
Download or read book Nonlinear Modeling of Economic and Financial Time-Series written by Fredj Jawadi and published by Emerald Group Publishing. This book was released on 2010-12-17 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt: Presents researches in linear and nonlinear modelling of economic and financial time-series. This book provides a comprehensive understanding of financial and economic dynamics in various aspects using modern financial econometric methods. It also presents and discusses research findings and their implications.
