Risk Price Dynamics
We present a novel approach to depicting asset pricing dynamics by characterizing shock exposures and prices for alternative investment horizons. We quantify the shock exposures in terms of elasticities that measure the impact of a current shock on future cash-flow growth. The elasticities are designed to accommodate nonlinearities in the stochastic evolution modeled as a Markov process. Stochastic growth in the underlying macroeconomy and stochastic discounting in the representation of asset values are central ingredients in our investigation. We provide elasticity calculations in a series of examples featuring consumption externalities, recursive utility, and jump risk
Year of publication: |
2009
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Authors: | Borovička, Jaroslav |
Other Persons: | Hansen, Lars Peter (contributor) ; Hendricks, Mark (contributor) ; Scheinkman, José (contributor) |
Publisher: |
[2009]: [S.l.] : SSRN |
Subject: | Theorie | Theory | Entscheidung unter Risiko | Decision under risk | Schock | Shock | Risiko | Risk | Cash Flow | Cash flow | Kapitalanlage | Financial investment |
Saved in:
freely available
Extent: | 1 Online-Ressource (52 p) |
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Series: | NBER Working Paper ; No. w15506 |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 2009 erstellt |
Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013154476