Showing 1 - 10 of 253
interactions with complex capital adequacy regulation, does generate market distortions of its own. Second, while mark …
Persistent link: https://www.econbiz.de/10011171756
Allowing for a richer information structure than usual, we show that rational traders’ calculation with short-term price fluctuations may heavily influence their behaviour even if the interim price is not influenced by non-rational agents i.e. there is no noise trader risk. Instead, traders...
Persistent link: https://www.econbiz.de/10010884635
We introduce an alternative version of the Fama-French three-factor model of stock returns together with a new estimation methodology. We assume that the factor betas in the model are smooth nonlinear functions of observed security characteristics. We develop an estimation procedure that...
Persistent link: https://www.econbiz.de/10010884698
This paper explores the quantitative impact of the Baby Boom on stock and bond returns. It constructs a neoclassical growth model with overlapping generations, in which agents make a portfolio decision over risky capital and safe bonds in zero net supply. The model has exogenous technology and...
Persistent link: https://www.econbiz.de/10005328938
We extend the standard specification of the market price of risk for affine yield models of the term structure of interest rates, and estimate several models using the extended specification. For most models, the extended specification fits US data better than standard specifications, often with...
Persistent link: https://www.econbiz.de/10005328948
risk premia and focuses exclusively on liquidity. A float-adjusted return model (FARM) is derived, explaining the pricing …
Persistent link: https://www.econbiz.de/10005328954
In this article we construct a model in which agents exhibit preference for ownership with respect to a durable (house). Ownership is modeled as a continuous function of debt service normalized by the price of the house. We study the utility optimization problem of an investor not endowed with...
Persistent link: https://www.econbiz.de/10005328956
Using a generalized cross-spectral approach, we propose a model-free omnibus statistical procedure to check whether the direction of changes in an economic variable is predictable using the history of its past changes. A class of separate inference procedures are also given to gauge possible...
Persistent link: https://www.econbiz.de/10005328959
We study the impact on asset prices of illiquidity associated with search and bargaining in an economy in which agents can trade only when they find each other. Marketmakers' prices are higher and bid-ask spreads are lower if investors can find each other more easily. Prices become Walrasian as...
Persistent link: https://www.econbiz.de/10005328973
shown that portfolios of small (large) firms have negative (positive) coskewness with market. An asset pricing model … investigate the implications of erroneously neglecting coskewness for testing asset pricing models, with particular interest for …
Persistent link: https://www.econbiz.de/10005328981