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Seppi, Duane; Gallmeyer, Michael; Hollifield, Burton - Econometric Society - 2004

preferences of future trading counter-parties causes randomness in future resale prices that we call liquidity risk. It is natural … to suppose that investors are asymmetrically informed about liquidity risk. Through a process of liquidity discovery …, trading volumes and prices reveal private information about future counter-party preferences. The liquidity discovery process …

Persistent link: https://www.econbiz.de/10005130211

Financial intermediaries, markets, and growth

Fecht, Falko; Huang, Kevin - Econometric Society - 2004

provide insurance to households against a liquidity shock. Households can also invest directly on a financial market, if they …

Persistent link: https://www.econbiz.de/10005130194

Do Heterogeneous Beliefs Matter for Asset Pricing?

Juergens, Jennifer; Anderson, Evan; Ghysels, Eric - Econometric Society - 2004

We study how heterogeneous beliefs affect returns and examine whether heterogeneous beliefs are a priced factor in traditional asset pricing models. To accomplish this task, we suggest new empirical measures based on the disagreement among analysts about expected (short-term and long-term)...

Persistent link: https://www.econbiz.de/10005342284

Testing Asset Pricing Model with Coskweness

Urga, Giovanni; Adesi, Giovanni Barone; Gagliardini, Patrick - Econometric Society - 2004

In this paper we investigate portfolio coskewness using a quadratic market model as return generating process. It is shown that portfolios of small (large) firms have negative (positive) coskewness with market. An asset pricing model including coskewness is tested through the restrictions it...

Persistent link: https://www.econbiz.de/10005328981

Offsetting the Incentives: Risk Shifting and Benefits of Benchmarking in Money Management

Shapiro, Alex; Basak, Suleyman; Pavlova, Anna - Econometric Society - 2004

Money managers are rewarded for increasing the value of assets under management, and predominantly so in the mutual fund industry. This gives the manager an implicit incentive to exploit the well-documented positive fund-flows to relative-performance relationship by manipulating her risk...

Persistent link: https://www.econbiz.de/10005699668

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

Consumption, Portfolio Policies and Dynamic Equilibrium in the Presence of Preference for Ownership

Ehling, Paul - Econometric Society - 2004

in order to be able to purchase the house immediately. However, due to liquidity constraints, which prevent the poor … shown that the poor and liquidity constrained agent does not hold financial assets until the durable is completely acquired …

Persistent link: https://www.econbiz.de/10005328956

The Markovian Dynamics of "Smart Money"

Yang, J-H Steffi - Econometric Society - 2004

I develop a Markov model of samrt money chasing past winning funds while taking into account associated costs. The model also allows market capital entry and exit. The steady-state capital allocations re derived using constant transition probabilities. The results sugget that down side risk is...

Persistent link: https://www.econbiz.de/10005086415

Ignorance, Fixed Costs, and the Stock Market Participation Puzzle

Naudon, Alberto; Tapia, Matías - Econometric Society - 2004

While the existence of fixed costs in entering asset markets is the leading rationalization of the "participation puzzle" -the fact that most households do not hold stocks, despite the diversification gains and the significant risk-premium involved-, most motivations of these fixed costs are as...

Persistent link: https://www.econbiz.de/10005699623

Learning the CAPM through Bubbles

Kedar-Levy, Haim - Econometric Society - 2004

Bubbles are generally considered the outcome of investor irrationality or informational asymmetry, both objectionable in efficient markets with rational investors. We introduce an Intertemporal-CAPM with market clearing between high- and low-risk-averse rational investors who learn the CAPM...

Persistent link: https://www.econbiz.de/10005702759

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