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Existing literature continues to be unable to offer a convincing explanation for the volatility of the stochastic …
Persistent link: https://www.econbiz.de/10011084682
gain learning may contribute towards explaining the stock price and return volatility as well as the predictability of …We study the extent to which self-referential adaptive learning can explain stylized asset pricing facts in a general … production economy and a Lucas type endowment economy. We find that recursive least squares learning has almost no effects on …
Persistent link: https://www.econbiz.de/10005789201
. Bayesian learning implies that beliefs about the likelihood of rare disasters drop to a much more pessimistic level once a … persist for some time. Thus, belief dynamics are a source of apparent excess volatility relative to a rational expectations … between rational and adaptive Bayesian learning. Rational learners account for the possibility of future changes in beliefs in …
Persistent link: https://www.econbiz.de/10009201120
propositions of modern asset pricing theory, namely, that the interaction between risk averse agents in a competitive market leads …-markets model, and the Sharpe-Lintner-Mossin Capital Asset Pricing Model (CAPM). This framework enabled us to measure how far our … discovered swift convergence towards equilibrium prices of Arrow and Debreu's model or the CAPM. This discovery is significant …
Persistent link: https://www.econbiz.de/10005662411
-root process. Hyperbolic and quasi-hyperbolic discount factors can significantly increase the volatility of aggregate wealth and …
Persistent link: https://www.econbiz.de/10005662071
specialization, wealth inequality, stock trading intensity, liquidity and return volatility. …
Persistent link: https://www.econbiz.de/10009293661
resulting volatility can induce risk-averse transactors who face transaction costs to desert these markets altogether. Thus … thinness and the consequent price volatility may become joint self-perpetuating features of an equity market, whatever the … volatility of asset fundamentals. If, however, appropriate incentive schemes are adopted to encourage entry of additional …
Persistent link: https://www.econbiz.de/10005662005
This paper studies the pricing of financial assets in a complete general equilibrium set-up. We begin with an asset pricing model à la Lucas grafted on a standard Real Business Cycles model. We provide a new decentralized interpretation of such a model in which firms make meaningful investment...
Persistent link: https://www.econbiz.de/10005504725
Housing transactions by existing homeowners take two steps, a purchase of a new property and sale of the old housing unit. These two decisions are not independent, and their sequence may depend on the state of the housing market. This paper shows how the sequence of buyer-seller decisions...
Persistent link: https://www.econbiz.de/10011083698
volatility of equity and long term bond risk premia as well as salient features of the nominal short rate, the dividend yield …
Persistent link: https://www.econbiz.de/10005661851