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Long-run and Cyclical Dynamics in the US Stock Market
Gil-Alana, L.A.; caporale, G.M. - Econometric Society - 2004
-free rate, real stock returns, equity premium and price/dividend ratio, annually from 1871 to 1993. When focusing exclusively on …
Persistent link: https://www.econbiz.de/10005063571
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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 …-premium involved-, most motivations of these fixed costs are as incompatible with conventional portfolio theory as the non … alternatives to conventional portfolio theory. We find in Choquet expected utility theory a tool that is better equipped to deal …
Persistent link: https://www.econbiz.de/10005699623
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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
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Liquidity Discovery and Asset Pricing
Seppi, Duane; Gallmeyer, Michael; Hollifield, Burton - Econometric Society - 2004
Most investors purchase securities knowing they will resell those securities in the future. Uncertainty about the 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...
Persistent link: https://www.econbiz.de/10005130211
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Limits of Arbitrage: Theory and Evidence from the Mortgage-Backed Securities Market
Vigneron, Olivier; Gabaix, Xavier; Krishnamurthy, Arvind - Econometric Society - 2004
``Limits of Arbitrage" theories require that the marginal investor in a particular asset market be a specialized arbitrageur. Then the constraints faced by this arbitrageur (i.e. capital constraints) feed through into asset prices. We examine the mortgage-backed securities (MBS) market in this...
Persistent link: https://www.econbiz.de/10005130216
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Media Frenzies in Markets for Financial Information
Veldkamp, Laura - Econometric Society - 2004
Promising emerging equity markets often witness investment herds and frenzies, accompanied by an abundance of media … frenzies. Using equity data and a new panel data set of news counts for 23 emerging markets, the results show that when asset … lowest price. Given two identical asset markets, investors herd: asset demand is higher in the market with abundant …
Persistent link: https://www.econbiz.de/10005063589
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Unraveling of Dynamic Sorting
Damiano, Ettore; Li, Hao - Econometric Society - 2004
We consider a two-sided, finite-horizon search and matching model with heterogeneous types and complementarity between types. The quality of the pool of potential partners deteriorates as agents who have found mutually agreeable matches exit the market. When search is costless and all agents...
Persistent link: https://www.econbiz.de/10005328853
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Knowledge Creation as a Square Dance on the Hilbert Cube
Fujita, Masahisa; Berliant, Marcus - Econometric Society - 2004
literatures, such as those pertaining to endogenous growth theory, urban agglomeration and growth, organizational R&D and …
Persistent link: https://www.econbiz.de/10005342188
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simultaneous search
smith, lones; chade, hector - Econometric Society - 2004
We introduce and solve a new class of static portfolio choice problems, where only the best realized alternative matters. A decision maker must simultaneously choose among independent ranked options, and the better alternatives have a lower chance of panning out. Each choice is costly, and just...
Persistent link: https://www.econbiz.de/10005342200
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Organizational Learning: An Experimental Study
Franco, April; Blume, Andreas; Duffy, John - Econometric Society - 2004
making experiment in line with the predictions of the theory. We are currently exploring, experimentally, the predictions in …
Persistent link: https://www.econbiz.de/10005342236