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Low Inflation : High Default Risk AND High Equity Valuations

Bhamra, Harjoat S. - 2018

We develop an asset-pricing model with endogenous corporate policies that explains how inflation jointly impacts real asset prices and corporate default risk. Our model includes two empirically grounded nominal frictions: fixed nominal coupons and sticky profitability. Taken together, these two...

Persistent link: https://www.econbiz.de/10012480968

Style Investing

Barberis, Nicholas - 2000

We study asset prices in an economy where some investors classify risky assets into different styles and move funds back and forth between these styles depending on their relative performance. Our assumptions imply that news about one style can affect the prices of other apparently unrelated...

Persistent link: https://www.econbiz.de/10012470692

Investor Sentiment and the Closed-End Fund Puzzle

Lee, Charles - 1990

individual investor sentiment toward closed end funds and other securities. The theory implies that discounts on various funds …

Persistent link: https://www.econbiz.de/10012475562

Positive Feedback Investment Strategies and Destabilizing Rational Speculation

De Long, J. Bradford - 1989

Analyses of the role of rational speculators in financial markets usually presume that such investors dampen price fluctuations by trading against liquidity or noise traders. This conclusion does not necessarily hold when noise traders follow positive-feedback investment strategies buy when...

Persistent link: https://www.econbiz.de/10012476174

The Economic Consequences of Noise Traders

De Long, J. Bradford - 1987

The claim that financial markets are efficient is backed by an implicit argument that misinformed "noise traders" can have little influence on asset prices in equilibrium. If noise traders' beliefs are sufficiently different from those of rational agents to significantly affect prices, then...

Persistent link: https://www.econbiz.de/10012476673

Monetary Policy through Production Networks : Evidence from the Stock Market

Ozdagli, Ali - 2017

Monetary policy shocks have a large impact on stock returns in narrow windows around press releases by the Federal Reserve. We use spatial autoregressions to decompose the overall effect of monetary policy shocks into a direct effect and an indirect (network) effect. We attribute 50%-85% of the...

Persistent link: https://www.econbiz.de/10012455257

Finance and the Preservation of Wealth

Gennaioli, Nicola - 2013

We introduce the model of asset management developed in Gennaioli, Shleifer, and Vishny (2012) into a Solow-style neoclassical growth model with diminishing returns to capital. Savers rely on trusted intermediaries to manage their wealth (claims on capital stock), who can charge fees above costs...

Persistent link: https://www.econbiz.de/10012459544

Are Sticky Prices Costly? Evidence From The Stock Market

Gorodnichenko, Yuriy - 2013

We propose a simple framework to assess the costs of nominal price adjustment using stock market returns. We document that, after monetary policy announcements, the conditional volatility rises more for firms with stickier prices than for firms with more flexible prices. This differential...

Persistent link: https://www.econbiz.de/10012459801

Salience and Asset Prices

Bordalo, Pedro - 2013

We present a simple model of asset pricing in which payoff salience drives investors' demand for risky assets. The key implication is that extreme payoffs receive disproportionate weight in the market valuation of assets. The model accounts for several puzzles in finance in an intuitive way,...

Persistent link: https://www.econbiz.de/10012459953

Money Doctors

Gennaioli, Nicola - 2012

investment, and allows managers to charge higher fees to investors who trust them more. Money managers compete for investor funds … by setting their fees, but because of trust the fees do not fall to costs. In the model, 1) managers consistently … involve sharing of expected returns between managers and investors, with higher fees in riskier products, 3) managers pander …

Persistent link: https://www.econbiz.de/10012460486