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Essays In Asset Pricing And Applied Micro Economics
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Book Synopsis Essays in Asset Pricing and Applied Micro-economics by : Mark William Clements
Download or read book Essays in Asset Pricing and Applied Micro-economics written by Mark William Clements and published by . This book was released on 2015 with total page 532 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the first chapter, Christian Goulding and I present a model of asset prices with recursive preferences and the simple consumption growth dynamics of Mehra and Prescott (1985) but relax the assumption that preference parameters are constant over time. We show that rare, temporary, and plausible fluctuations in the elasticity of inter-temporal substitution (EIS) and risk aversion (RA) can quantitatively explain numerous regularities in U.S. asset prices including: the equity premium and risk-free rate puzzles, excess return and consumption growth predictability, a counter-cyclical risk premium and an upward-sloping real yield curve. A novel implication is that time-varying EIS is more important than time-varying RA for explaining many of these regularities, suggesting a new source of risk in investors' ability to plan their consumption over long horizons. In addition, our model can accommodate a behavioral interpretation of psychological factors (e.g. fear) that drive fluctuations in asset prices beyond traditional risk factors.
Book Synopsis Essays in asset pricing and information economics by : Vassilios Dimitrakas
Download or read book Essays in asset pricing and information economics written by Vassilios Dimitrakas and published by . This book was released on 2008 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays in Asset Pricing Anomalies by : Serena Frazzoni
Download or read book Essays in Asset Pricing Anomalies written by Serena Frazzoni and published by . This book was released on 2006 with total page 77 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Economic Uncertainty, Instabilities And Asset Bubbles: Selected Essays by : Anastasios G Malliaris
Download or read book Economic Uncertainty, Instabilities And Asset Bubbles: Selected Essays written by Anastasios G Malliaris and published by World Scientific. This book was released on 2005-10-03 with total page 373 pages. Available in PDF, EPUB and Kindle. Book excerpt: The compendium of papers in this volume focuses on aspects of economic uncertainty, financial instabilities and asset bubbles.Economic uncertainty is modeled in continuous time using the mathematical techniques of stochastic calculus. A detailed treatment of important topics is provided, including the existence and uniqueness of asymptotic economic growth, the modeling of inflation and interest rates, the decomposition of inflation and its volatility, and the extension of the quantity theory of money to allow for randomness.The reader is also introduced to the methods of chaotic dynamics, and this methodology is applied to asset pricing, the European equity markets, and the multi-fractality in foreign currency markets.Since the techniques of stochastic calculus and chaotic dynamics do not readily accommodate the presence of stochastic bubbles, several papers discuss in depth the presence of financial bubbles in asset prices, and econometric work is performed to link such bubbles to monetary policy.Finally, since bubbles often burst rather than deflate slowly, the last section of the book studies the crash of October 1987 as well as other crashes of national equity markets due to the Persian gulf crisis.
Book Synopsis Essays on Asset Pricing in Continuous Time by : John Hatgioannides
Download or read book Essays on Asset Pricing in Continuous Time written by John Hatgioannides and published by . This book was released on 1996 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays in Market Microstructure and Asset Pricing by : Omid Sabbaghi
Download or read book Essays in Market Microstructure and Asset Pricing written by Omid Sabbaghi and published by . This book was released on 2009 with total page 242 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays in Empirical Asset Pricing by : Johan Parmler
Download or read book Essays in Empirical Asset Pricing written by Johan Parmler and published by . This book was released on 2005 with total page 163 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays in Asset Pricing by : Ran Shi
Download or read book Essays in Asset Pricing written by Ran Shi and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Selected Essays in Empirical Asset Pricing by : Christian Funke
Download or read book Selected Essays in Empirical Asset Pricing written by Christian Funke and published by Springer Science & Business Media. This book was released on 2008-09-15 with total page 123 pages. Available in PDF, EPUB and Kindle. Book excerpt: Christian Funke aims at developing a better understanding of a central asset pricing issue: the stock price discovery process in capital markets. Using U.S. capital market data, he investigates the importance of mergers and acquisitions (M&A) for stock prices and examines economic links between customer and supplier firms. The empirical investigations document return predictability and show that capital markets are not perfectly efficient.
Book Synopsis Essays on Asset Pricing by : Cheng Zhang
Download or read book Essays on Asset Pricing written by Cheng Zhang and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays on Asset Allocation and Asset Pricing by : Chen Cao
Download or read book Three Essays on Asset Allocation and Asset Pricing written by Chen Cao and published by . This book was released on 2013 with total page 137 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on Asset Pricing by : Hoyong Choi
Download or read book Essays on Asset Pricing written by Hoyong Choi and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis "Essays in Asset Pricing by : Oliver Randall
Download or read book "Essays in Asset Pricing written by Oliver Randall and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays in Consumption-based Asset Pricing Models by : Hugo Alejandro Garduño Arredondo
Download or read book Essays in Consumption-based Asset Pricing Models written by Hugo Alejandro Garduño Arredondo and published by . This book was released on 2008 with total page 324 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays in Applied Microeconomics and Finance by : Emanuela Maria Iancu
Download or read book Essays in Applied Microeconomics and Finance written by Emanuela Maria Iancu and published by . This book was released on 2013 with total page 192 pages. Available in PDF, EPUB and Kindle. Book excerpt: The topics covered in this paper cover a broad range of subjects, from a reputation system in a discrete and infinite time model over to a three period game on a network and concluding with the optimal default decision in continuous time framework. The first paper, entitled "Firms' Strategic Competition and The Dynamics of Reputation: The Case of an Online Market", a joint work with Clodomiro Ferreira, analyzes, both theoretically and quantitatively, how sellers strategic competition for high valuation buyers in a context resembling on-line markets shapes reputation building incentives, and how it determines the dynamics of prices and reputation itself. The second paper, joint work with Agnese Leonello, investigates interbank market freeze and contagion that arises through asset sales in a financial network in which mark-to-market is the accounting standard in place. The paper develops a simple three-period theoretical model in which banks can borrow liquidity on the interbank market or sell assets at fire sale prices to meet their liquidity needs. Interbank market freeze and contagion arise in equilibrium as consequence of uncertainty of the counterparty risk and miscoordination in the sell of assets. Finally, the third paper written together with Mariana Khapko analyzes the issue of debt overhang in a Leland(1994) type of model and shows how the presence of a credit rating agency can mitigate this problem to some extent. Our results point out to the fact that a firm with performance sensitive debt in place might find it worthwhile to invest earlier in better projects whenever the investment reduces the coupon payments. The effect of the credit rating agency's policy in the underinvestment issue is nevertheless non-monotonic.
Book Synopsis Essays on Empirical Asset Pricing by : Theis Ingerslev Jensen
Download or read book Essays on Empirical Asset Pricing written by Theis Ingerslev Jensen and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays in Empirical Asset Pricing by : Svetlana Bryzgalova
Download or read book Essays in Empirical Asset Pricing written by Svetlana Bryzgalova and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
