Showing 1 - 10 of 18
Hedging downside risk before substantial price corrections is vital for risk management and long-only active equity manager performance. This study proposes a novel methodology for crafting timing signals to hedge sectors' downside risk. These signals can be integrated into existing strategies...
Persistent link: https://www.econbiz.de/10014497324
In an exchange economy with endowment inequality, we investigate how preferences with external habits affect the equity risk premium. We show that the dynamics of external additive habits with wealth inequality are complex when a background risk is present. It is ambiguous whether wealth...
Persistent link: https://www.econbiz.de/10012626100
Many studies have documented the missing relationship between PCE inflation and the labor market slack in the last 20 years. This paper first presents evidence of a strong sensitivity of price inflation to labor market tightness once we remove the late 90s from our sample and account for the...
Persistent link: https://www.econbiz.de/10013177103
This essay reviews the family of models that seek to provide aggregate risk based explanations for the empirically observed equity premium. Theories based on non-expected utility preference structures, limited financial market participation, model uncertainty and the small probability of...
Persistent link: https://www.econbiz.de/10003500061
Persistent link: https://www.econbiz.de/10002619779
We explore the consequences for asset pricing of admitting a bequest motive into an otherwise standard overlapping generations model where agents trade equity and perpetual debt securities. Prices of securities are seen to be approximately 50% higher in an economy with bequests as compared to an...
Persistent link: https://www.econbiz.de/10012783801
We evaluate the properties of mean reversion and mean aversion in asset prices and returns as commonly characterized in the finance literature. The study is undertaken within a class of well-known dynamic stochastic general equilibrium models and shows that the mean reversion/aversion...
Persistent link: https://www.econbiz.de/10012893576
We evaluate the properties of mean reversion and mean aversion in asset prices and returns as commonly characterized in the finance literature. The study is undertaken within a class of well-known dynamic stochastic general equilibrium models and shows that the mean reversion/aversion...
Persistent link: https://www.econbiz.de/10012894027
We evaluate the properties of mean reversion and mean aversion in asset prices and returns as commonly characterized in the finance literature. The study is undertaken within a class of well-known dynamic stochastic general equilibrium models and shows that the mean reversion/aversion...
Persistent link: https://www.econbiz.de/10012479475
We explore the consequences for asset pricing of admitting a bequest motive into an otherwise standard overlapping generations model where agents trade equity and perpetual debt securities. Prices of securities are seen to be approximately 50% higher in an economy with bequests as compared to an...
Persistent link: https://www.econbiz.de/10012467563