Essays In Consumer Preferences And Asset Pricing
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Essays In Consumer Preferences And Asset Pricing
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Author : John Qi Zhu
language : en
Publisher:
Release Date : 2007
Essays In Consumer Preferences And Asset Pricing written by John Qi Zhu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with categories.
Essays On Consumer Preferences And Asset Pricing
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Author : John Qi Zhu
language : en
Publisher:
Release Date : 2007
Essays On Consumer Preferences And Asset Pricing written by John Qi Zhu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with categories.
Three Essays On Consumer Behavior And Asset Prices
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Author : Jeon-Hyeok Cho
language : en
Publisher:
Release Date : 1991
Three Essays On Consumer Behavior And Asset Prices written by Jeon-Hyeok Cho and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1991 with categories.
Essays On Risk Management And Insurance
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Author : Daliana Luca
language : en
Publisher:
Release Date : 2018
Essays On Risk Management And Insurance written by Daliana Luca and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
Two Essays On Asset Pricing And Asset Choice
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Author : James Eric Gunderson
language : en
Publisher:
Release Date : 2004
Two Essays On Asset Pricing And Asset Choice written by James Eric Gunderson and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with categories.
Essays In Asset Pricing And Applied Micro Economics
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Author : Mark William Clements
language : en
Publisher:
Release Date : 2015
Essays In Asset Pricing And Applied Micro Economics written by Mark William Clements and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
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.
Three Essays On Asset Pricing Portfolio Choice And Behavioral Finance
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Author : Ehud Peleg
language : en
Publisher: ProQuest
Release Date : 2008
Three Essays On Asset Pricing Portfolio Choice And Behavioral Finance written by Ehud Peleg and has been published by ProQuest this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Capital assets pricing model categories.
Essays In Asset Pricing And Portfolio Choice
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Author : Philipp Karl Illeditsch
language : en
Publisher:
Release Date : 2010
Essays In Asset Pricing And Portfolio Choice written by Philipp Karl Illeditsch and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with categories.
In the Ơ̐1rst essay, I decompose inƠ̐2ation risk into (i) a part that is correlated with real returns on the market portfolio and factors that determine investor0́9s preferences and investment opportunities and (ii) a residual part. I show that only the Ơ̐1rst part earns a risk premium. All nominal Treasury bonds, including the nominal money-market account, are equally exposed to the residual part except inƠ̐2ation-protected Treasury bonds, which provide a means to hedge it. Every investor should put 100% of his wealth in the market portfolio and inƠ̐2ation-protected Treasury bonds and hold a zero-investment portfolio of nominal Treasury bonds and the nominal money market account. In the second essay, I solve the dynamic asset allocation problem of Ơ̐1nite lived, constant relative risk averse investors who face inƠ̐2ation risk and can invest in cash, nominal bonds, equity, and inƠ̐2ation-protected bonds when the investment opportunityset is determined by the expected inƠ̐2ation rate. I estimate the model with nominal bond, inƠ̐2ation, and stock market data and show that if expected inƠ̐2ation increases, then investors should substitute inƠ̐2ation-protected bonds for stocks and they should borrow cash to buy long-term nominal bonds. In the lastessay, I discuss how heterogeneity in preferences among investors withexternal non-addictive habit forming preferences aƠ̐0ects the equilibrium nominal term structure of interest rates in a pure continuous time exchange economy and complete securities markets. Aggregate real consumption growth and inƠ̐2ation are exogenously speciƠ̐1ed and contain stochastic components thataƠ̐0ect their means andvolatilities. There are two classes of investors who have external habit forming preferences and diƠ̐0erent localcurvatures oftheir utility functions. The eƠ̐0ects of time varying risk aversion and diƠ̐0erent inƠ̐2ation regimes on the nominal short rate and the nominal market price of risk are explored, and simple formulas for nominal bonds, real bonds, and inƠ̐2ation risk premia that can be numerically evaluated using Monte Carlo simulation techniques are provided.
Essays In Empirical Asset Pricing And Consumption Portfolio Choice
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Author : Farina Weiss
language : en
Publisher:
Release Date : 2017
Essays In Empirical Asset Pricing And Consumption Portfolio Choice written by Farina Weiss and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
Essays In Consumption Based Asset Pricing Models
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Author : Hugo Alejandro Garduño Arredondo
language : en
Publisher:
Release Date : 2008
Essays In Consumption Based Asset Pricing Models written by Hugo Alejandro Garduño Arredondo and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Investments categories.