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The Equity Premium and the Baby Boom
Brooks, Robin - Econometric Society - 2004
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
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Market Price of Risk Specifications for Affine Models: Theory and Evidence
Cheridito, Patrick; Filipovic, Damir - Econometric Society - 2004
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
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Liquidity Premia in Dynamic Bargaining Markets
duffie - Econometric Society - 2004
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
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Consumption, Portfolio Policies and Dynamic Equilibrium in the Presence of Preference for Ownership
Ehling, Paul - Econometric Society - 2004
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
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Are the directions of stock price changes predictable? A generalized cross-spectral approach
Chung, Jaehun; Hong, Yongmiao - Econometric Society - 2004
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
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Valuation in Dynamic Bargaining Markets
duffie - Econometric Society - 2004
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
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Testing Asset Pricing Model with Coskweness
Urga, Giovanni; Adesi, Giovanni Barone; Gagliardini, Patrick - Econometric Society - 2004
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
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An Empirical Investigation of Habit-Based Asset Pricing Models
Ludvigson, Sydney C.; Chen, Xiaohong - Econometric Society - 2004
best explains asset pricing data. This paper studies the ability of a general class of habit-based asset pricing models to … match the conditional moment restrictions implied by asset pricing theory. Our approach is to treat the functional form of … about the specification of habit-based asset pricing models, and to formally test the framework's ability to explain stock …
Persistent link: https://www.econbiz.de/10005328992
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Valuation in Dynamic Bargaining Markets
Pedersen, Lasse; Duffie, Darrell; Garleanu, Nicolae - Econometric Society - 2004
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/10005328997
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High-Order Consumption Moments and Asset Pricing
Semenov, Andrei - Econometric Society - 2004
To assess the potential of incomplete consumption insurance for explaining the equity premium and the risk-free rate of return, we use a Taylor series expansion of the individual's marginal utility of consumption around the conditional expectation of consumption and derive an approximate...
Persistent link: https://www.econbiz.de/10005329000