Essays On Asset Pricing In Production Economies
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Essays On Asset Pricing In Production Economies
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Author : Andrew Yeh-Chi Chen
language : en
Publisher:
Release Date : 2014
Essays On Asset Pricing In Production Economies written by Andrew Yeh-Chi Chen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.
Chapter 3 examines general restrictions on production technologies implied by asset prices. It shows that representative firm models which are consistent with asset price data require either large capital adjustment costs, or volatile investment-specific technology shocks. These restrictions hold regardless of preferences, beliefs, operating leverage, or the completeness of asset markets. The restrictions summarize the sense in which asset prices are anomalous with respect to the theory of optimal investment.
Essays On Asset Pricing In Open Economies
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Author : Andreas Stathopoulos
language : en
Publisher:
Release Date : 2010
Essays On Asset Pricing In Open Economies written by Andreas Stathopoulos 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.
Essays On Productivity Risks In Asset Pricing
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Author : Nam Gang Lee
language : en
Publisher:
Release Date : 2018
Essays On Productivity Risks In Asset Pricing written by Nam Gang Lee and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with Business cycles categories.
This dissertation analyzes the effect of productivity risk on economic fluctuations and asset prices in a production economy. My analysis is based on the direct estimation of various specifications regarding productivity, a key driver of fluctuations in macro quantities and asset prices, and seeks to avoid being the error of reverse-engineering the exogenous productivity process to match asset-pricing data.
Three Essays On Asset Pricing Model With Heterogenous Agents
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Author : Tae-Jin Kang
language : en
Publisher:
Release Date : 1991
Three Essays On Asset Pricing Model With Heterogenous Agents written by Tae-Jin Kang 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 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 Of Firm S Fundamentals And Asset Pricing
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Author : Wei-Kang Shih
language : en
Publisher:
Release Date : 2010
Three Essays Of Firm S Fundamentals And Asset Pricing written by Wei-Kang Shih and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with Earnings management categories.
In my dissertation research, I have three essays discussing the firm's fundamentals and their asset pricing implications. In the first essay entitled "Alternative Equity Valuation Models", we use simultaneous equations estimation and combined forecasting methods to examine future stock prices forecast ability of Ohlson (1995) Model, Feltham and Ohlson (1995) Model, and Warren and Shelton (1971) Model. We also investigate whether comprehensive earnings can provide incremental price-relevant information beyond net income. Overall, we find that the simultaneous equations estimation procedure can produce more accurate future stock price forecasts than the traditional single equation estimation method, and combined forecast method can further reduce the prediction errors by using combination of individual forecasts. We also find supporting evidence that investors can use comprehensive earnings to more accurately forecast future stock prices in these valuation models. My second essay entitled "Technical, Fundamental, and Combined Information for Separating Winners from Losers" jointly use fundamental and technical information to improve the technical momentum strategy. We examine how fundamental accounting information can be used to supplement the technical information, such as past returns and past trading volume data, to separate momentum winners from losers. More specifically, we propose a unified framework of incorporating fundamental indicators FSCORE (Piotroski, 2000) and GSCORE (Mohanram, 2005) into the technical momentum strategy. Our empirical results suggest that the combined momentum strategy outperforms technical momentum strategy for both growth and value stocks. My third essay entitled "The Economic Consequences of Real Earnings Management" examines how real activities based earnings management affect firm's payout and investment decisions. Our paper focuses on real earnings management in a general equilibrium production (GEP) economy setting, and studies the economic implications of this phenomenon on the economy. To formalize the notion of real earnings management, we propose that risk-averse managers "manage" earnings through investment-payout decisions that are conditioned by their history and habits. In addition, we permit habits to change randomly which introduces another source of risk. We explicitly solve for the endogenous asset prices and interest rate, and show how this additional risk from managerial habits is priced in the production economy.
Essays On Production Based Asset Pricing
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Author : Yifan Zhu
language : en
Publisher:
Release Date : 2022
Essays On Production Based Asset Pricing written by Yifan Zhu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022 with Operating leverage categories.
This dissertation consists of two essays on production-based asset pricing. The first essay studies the asset pricing implications of investment and disinvestment op- tions with a production-based model featuring costly reversibility. Investment options are contingent claims on assets in place so that they are riskier and earn higher expected re- turns. Disinvestment options with costly reversibility reduce exposure to aggregate risks amid deteriorating business conditions and lower expected returns on a firm. The inextri- cable link between investment options and disinvestment options explains the coexistence of the profitability premium and the value premium while retains a positive relation between profitability and market valuation ratios. My model also generates a procyclical profitability premium and a countercyclical value premium. In the second essay, my co-authors and I investigate the joint asset pricing effects of variable costs and fixed costs in a firm’s production process. While the latter such as SG&A expenses create an operating leverage effect, the variable costs allow firms to hedge against aggregate profitability shocks. Taking into account both types of production costs explains the empir- ical patterns in the cross-section asset returns in portfolios sorted by the gross profitability and operating leverage. Our model reconciles the seemingly contradictory phenomena that higher productivity firms earn lower returns ( ̇Imrohoro ̆glu and T ̈uzel (2014)), whereas more profitable, often more productive, firms earn higher returns (Novy-Marx (2013)). It also of- fers a novel explanation for the negative idiosyncratic volatility premium (Ang et al. (2006)) based on production costs.
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.
Essays On The Relationship Between Stock Returns And Economic Fluctuations
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Author : Naohiko Baba
language : en
Publisher:
Release Date : 1999
Essays On The Relationship Between Stock Returns And Economic Fluctuations written by Naohiko Baba and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 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.