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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

-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

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

Liquidity Discovery and Asset Pricing

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

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

Currency Substitution, Portfolio Diversification and Money Demand

Freitas, Miguel Lebre de - Econometric Society - 2004

by the Portfolio Balance Theory of Currency Substitution (Cuddington, 1983), the results obtained in this paper suggest …

Persistent link: https://www.econbiz.de/10005328925

A Life-cycle Model with Housing, Portfolio Allocation, and Mortgage Financing

Nichols, Joseph - Econometric Society - 2004

This paper presents a model developed to explain the life-cycle patterns in both homeownership and portfolio allocation, and the relationship between them, using a model of rational agents. Two key innovations are incorporated into this model. First, housing is explicitly modeled as both a...

Persistent link: https://www.econbiz.de/10005328942

Uncertainty in Second Moments: Implications for Portfolio Allocation

Cho, David Daewhan - Econometric Society - 2004

This paper investigates the uncertainty in variance and covariance of asset returns. It is commonly believed that these second moments can be estimated very accurately. However, time varying volatility and nonnormality of asset returns can lead to imprecise variance estimates. Using CRSP value...

Persistent link: https://www.econbiz.de/10005342343

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