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Consumption Correlatedness and Risk Measurement in Economies with Non trade Assets and Heterogeneous Information

Grossman, Sanford J. - 1981

The consumption beta theorem of Breeden makes the expected return on any asset a function only of its covariance with changes in aggregate consumption. It is shown that the theorem is more robust than was indicated by Breeden. The theorem obtains even if one deletes Breeden's assumptions that...

Persistent link: https://www.econbiz.de/10012478428

The Life-Cycle Personal Accounts Proposal for Social Security : A Review

Shiller, Robert J. - 2005

The life-cycle accounts proposal for Social Security reform has been justified by its proponents using a number of different arguments, but these arguments generally involve the assumption of a high likelihood of good returns on the accounts. A simulation is undertaken to estimate the...

Persistent link: https://www.econbiz.de/10012467384

The Significance of the Market Portfolio

Athanasoulis, Stefano - 1997

The market portfolio is in one sense the least important portfolio to provide to investors. In an J-agent one-period stochastic endowment economy, where preferences are quadratic, a social-welfare-minded contract designer would never create a contract that would allow trading the market...

Persistent link: https://www.econbiz.de/10012472914

Crash Risk in Currency Markets

Farhi, Emmanuel - 2009

expected exchange rate depreciations (appreciations) for high (low) interest rate currencies, suggesting that disaster risk is … priced in currency markets. To study the price of disaster risk, we propose a simple structural model that includes both … Gaussian and disaster risk and can be estimated even in samples that do not contain disasters. Estimating the model over the …

Persistent link: https://www.econbiz.de/10012463588

Social Security and Institutions for Intergenerational, Intragenerational, and International Risk Sharing

Shiller, Robert J. - 1998

government's role in promoting risk sharing. Benefits for each retired person may be tied to that person's lifetime income …

Persistent link: https://www.econbiz.de/10012472169

Aggregate Income Risks and Hedging Mechanisms

Shiller, Robert J. - 1993

international macroeconomic risk sharing than is possible today. Retail institutions are described that might develop around such … markets and help the public with their risk management. However, the establishment of such markets would also incur the risk …

Persistent link: https://www.econbiz.de/10012474555

Speculative Behavior of Institutional Investors

Pound, John - 1986

in describing their investment strategy as relating to a theory about fundamental value rather than about the kind of …

Persistent link: https://www.econbiz.de/10012477108

Investor Behavior in the October 1987 Stock Market Crash : The Case of Japan

Shiller, Robert J. - 1988

In a questionnaire survey we asked Japanese institutional investors to recall what they thought and did during the worldwide stock market crash in October, 1987. The results confirm that the drop in U. S. stock prices was the primary factor on their minds, and other news stories in the United...

Persistent link: https://www.econbiz.de/10012476380

Investor Behavior in the October 1987 Stock Market Crash : Survey Evidence

Shiller, Robert J. - 1987

Questionnaires were sent out at the time of the October 19, 1987 stock market crash to both individual and institutional investors inquiring about their behavior during the crash. Nearly 1000 responses were received. The survey results show that: 1. no news story or rumor appearing on the 19th...

Persistent link: https://www.econbiz.de/10012476621

Emotions and Subjective Crash Beliefs

Goetzmann, William N.; Kim, Dasol; Shiller, Robert J. - National Bureau of Economic Research - 2024

location to test how news of unusual exogenous shocks affects crash belief formation. The results are consistent the risk …

Persistent link: https://www.econbiz.de/10014576618