Essays On Asset Pricing In Continuous Time
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Essays On Asset Pricing In Continuous Time
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Author : John Hatgioannides
language : en
Publisher:
Release Date : 1996
Essays On Asset Pricing In Continuous Time written by John Hatgioannides and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with categories.
Three Essays In Asset Pricing And Continuous Time Finance
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Author : Tony Berrada
language : en
Publisher:
Release Date : 2001
Three Essays In Asset Pricing And Continuous Time Finance written by Tony Berrada and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with categories.
Three Essays On Asset Pricing Models In Discrete And Continuous Time
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Author : Kyou Yung Kim
language : en
Publisher:
Release Date : 1988
Three Essays On Asset Pricing Models In Discrete And Continuous Time written by Kyou Yung Kim and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1988 with categories.
Three Essays In Asset Pricing Theory
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Author : Lionel Martellini
language : en
Publisher:
Release Date : 2000
Three Essays In Asset Pricing Theory written by Lionel Martellini and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with 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.
Three Essays On Money And Asset Pricing
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Author :
language : en
Publisher:
Release Date : 2008
Three Essays On Money And Asset Pricing written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.
Essays In Asset Pricing And Institutional Investors
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Author : Qi Shang
language : en
Publisher:
Release Date : 2012
Essays In Asset Pricing And Institutional Investors written by Qi Shang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with categories.
The thesis includes three papers: 1. Limited Arbitrage Analysis of CDS Basis Trading By modeling time-varying funding costs and demand pressure as the limits to arbitrage, the paper shows that assets with identical cash-flows have not only different expected returns, but also different expected returns in excess of funding costs. I solve the model in closed-form to show that the arbitrage on the CDS and corporate bond market is a risky arbitrage. The sign of the expected excess return of the arbitrage is decided by the sign and size of market frictions rather than the observed price discrepancy. The size and risk of the arbitrage excess return are increasing in market friction levels and assets' maturities. High levels of market frictions also destruct the positive predictability of credit spread term structure on credit spread changes. Results from the empirical section support the above-mentioned model predictions. 2. General Equilibrium Analysis of Stochastic Benchmarking This paper applies a closed-form continuous-time consumption-based general equilibrium model to analyze the equilibrium implications when some agents in the economy promise to beat a stochastic benchmark at an intermediate date. For very risky benchmark, these agents increase volatility and risk premium in the equilibrium. On the other hand, when they promise to beat less risky benchmark, they decrease volatility and risk premium in the equilibrium. In both cases, the degree of effect is state-dependent and stock price rises. 3. Institutional Asset Pricing with Heterogenous Belief (Co-authored) We propose an equilibrium asset pricing model in which investors with heterogeneous beliefs care about relative performance. We find that the relative performance concern leads agents to trade more similarly, which has two effects. First, similar trading directly decreases volatility. Second, similar trading decreases the impact of the dominant agents. When the economy is extremely good or bad, the second effect is dominant so that the relative performance concern enlarges the excess volatility caused by heterogeneous beliefs. When the first effect is dominant, which corresponds to a normal economy, the volatility is lower than without the relative performance concern. Moreover, this paper shows that the relative performance concern also influences investors' holdings, stock prices and risk premia.
Essays On High Frequency Asset Pricing
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Author : Hongxiang Xu
language : en
Publisher:
Release Date : 2015
Essays On High Frequency Asset Pricing written by Hongxiang Xu 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.
This thesis uses high-frequency data to estimate the stochastic discount factor. The high-frequency data used is sampled at one-second frequency. The fundamental equation of asset pricing is based on the continuous-time no-arbitrage theory. For empirical estimation, I apply the general method of moments to estimate the market price of risk for the risk factors, which consist of exchange-traded funds (ETFs). In Chapter 1, I estimate a one-factor model using the ETF SPY (an SPDR ETF that tracks S&P 500 index) as the risk factor. The estimated risk prices are significant over 2/3 of the sample, and the time series shows plausible patterns of the overall riskiness of the market. An additional factor using IWM (the Russell 2000 ETF that tracks the performance of the small-cap equity market) as the second factor is incorporated into the model in Chapter 2 to arrive at a two-factor model. Adding IWM improves the performance of the model and the estimation precision substantially: the risk price of SPY is almost always significant and the risk price of IWM is significant for about 2/3 of the sample. In Chapter 3 I extend the two-factor model by adding a third factor. Adding a third factor improves the performance of the model to a modest extent, but the large-cap factor SPY followed by the small-cap factor IWM are predominant.
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.
Three Essays On Asset Pricing
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Author : Ji Zhou
language : en
Publisher:
Release Date : 2016
Three Essays On Asset Pricing written by Ji Zhou and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.
This thesis consists of three essays. In the first essay, we derive a pricing kernel for a continuous-time long-run risks (LRR) economy with the Epstein-Zin utility function, non-i.i.d. consumption growth, and incomplete information about fundamentals. In equilibrium, agents learn about latent conditional mean of consumption growth and price equity simultaneously. Since the pricing kernel is endogenous and affected by learning, uncertainty about unobserved conditional mean of consumption growth affects risk prices corresponding to shocks in both consumption and dividend growth. We demonstrate our analytical results by applying the model to a profitability-based equity valuation model proposed by Pastor and Veronesi (2003). Calibration of the model demonstrates that the LRR model with learning has potential to fit levels of price-dividend ratios of the S&P 500 Composite Index, equity premium, and the short term interest rate simultaneously. In essay two, we extend the LRR model with incomplete information proposed in essay one by incorporating inflation and applying the model to the valuation of nominal term structure of interest rate. We estimate the processes of state variables and latent variables using a Bayesian Markov-Chain Monte Carlo method. In the estimation, we rely only on the information in macro-economic data on aggregate consumption growth, inflation, and dividend growth on S&P 500 Composite Index. In this way, parameters and latent state variables are estimated outside the model. Estimation results suggest a mildly persistent LRR component. However, both real and nominal yield curves implied by the LRR model are downward-sloping. We show that the inverted yield curve is due to a negative risk premium, which is determined jointly by covariance between shocks in state variables and shocks in the nominal pricing kernel. Incorporating learning about the mean consumption growth flattens the yield curve but does not change the sign of the yield curve slope. In essay three, we study the critique of the conditional affine factor asset pricing models proposed by Lewellen and Nagel (2006). They suggest that two important economic constraints are overlooked in cross-sectional regressions. First, the estimated unconditional slope associated with a risk factor should equal the average risk premium on that factor in a conditional model. Second, the estimated slope associated with the product of a risk factor and an instrument should be equal to the covariance of the factor risk premium with the instrument. We test both constraints on conditional models with time-varying betas and our results confirm the proposition. Also, from the functional relationship between conditional and unconditional betas, we identify an unconditional constraint on unconditional betas for time-varying beta models and develop a testing procedure subject to this constraint. We show that imposing this unconditional constraint changes estimates of unconditional betas and risk prices significantly.