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Financial Market Shocks and the Macroeconomy
Subrahmanyam, Avanidhar - 2013
Feedback from stock prices to cash flows occurs because information revealed by firms' stock prices influences the actions of competitors. We explore the implications of feedback within a noisy rational expectations setting with incumbent publicly traded firms and privately held new entrants. In...
Persistent link: https://www.econbiz.de/10012459278
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A Theory of Firm Characteristics and Stock Returns : The Role of Investment-Specific Shocks
Kogan, Leonid - 2012
firm characteristics - Tobin's Q, past investment, earnings-price ratios, market betas, and idiosyncratic volatility of … returns by aggregate investment and valuation ratios; and v) a downward sloping term structure of risk premia for dividend … strips. Our model delivers testable predictions about the behavior of firm-level real variables - investment and output …
Persistent link: https://www.econbiz.de/10012460684
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Growth Opportunities, Technology Shocks, and Asset Prices
Kogan, Leonid - 2012
We explore the impact of investment-specific technology (IST) shocks on the crosssection of stock returns. IST shocks … asset returns and investment rates …
Persistent link: https://www.econbiz.de/10012460863
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Modeling Financial Contagion Using Mutually Exciting Jump Processes
Aït-Sahalia, Yacine - 2010
Adverse shocks to stock markets propagate across the world, with a jump in one region of the world seemingly causing an increase in the likelihood of a different jump in another region of the world. To capture this effect mathematically, we introduce a model for asset return dynamics with a...
Persistent link: https://www.econbiz.de/10012462802
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Variable Rare Disasters : An Exactly Solved Framework for Ten Puzzles in Macro-Finance
Gabaix, Xavier - 2008
This paper incorporates a time-varying intensity of disasters in the Rietz-Barro hypothesis that risk premia result from the possibility of rare, large disasters. During a disaster, an asset's fundamental value falls by a time-varying amount. This in turn generates time-varying risk premia and...
Persistent link: https://www.econbiz.de/10012464923
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Rare Disasters, Asset Prices, and Welfare Costs
Barro, Robert J. - 2007
A representative-consumer model with Epstein-Zin-Weil preferences and i.i.d. shocks, including rare disasters, accords with key asset-pricing observations. If the coefficient of relative risk aversion equals 3-4, the model accords with observed equity premia and risk-free real interest rates. If...
Persistent link: https://www.econbiz.de/10012464956
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Occupation-Level Income Shocks and Asset Returns : Their Covariance and Implications for Portfolio Choice
Davis, Steven J. - 2000
-level equity portfolios. An application of the theory to the empirical results shows (a) large predicted levels of risky asset …
Persistent link: https://www.econbiz.de/10012470832
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The formation and stocks of total capital
Kendrick, John W. - 1976
Persistent link: https://www.econbiz.de/10000056090
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Existence of a competitive equilibrium in one sector growth model with heterogeneous agents and irreversible investment
Le Van, Cuong (contributor); Vailakis, Yiannis (contributor) - 2001 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001700042
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Beauty Contests and Irrational Exuberance : A Neoclassical Approach
Angeletos, George-Marios - 2010
The arrival of new, unfamiliar, investment opportunities is often associated with "exuberant" movements in asset prices … signals about the profitability of the new investment opportunities, and vice versa. In this paper, we study how such …
Persistent link: https://www.econbiz.de/10012462767