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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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Quantitative Implication of A Debt-Deflation Theory of Sudden Stops and Asset Prices
Mendoza, Enrique G. - 2004
This paper shows that the quantitative predictions of an equilibrium asset pricing model with financial frictions are consistent with the large consumption and current-account reversals and asset-price collapses observed in the "Sudden Stops" of emerging markets crises. Margin requirements set a...
Persistent link: https://www.econbiz.de/10012467747
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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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Asset Pricing with Countercyclical Household Consumption Risk
Constantinides, George M. - 2014
We show that shocks to household consumption growth are negatively skewed, persistent, countercyclical, and drive asset prices. We construct a parsimonious model where heterogeneous households have recursive preferences. A single state variable drives the conditional cross-sectional moments of...
Persistent link: https://www.econbiz.de/10012458555
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A Cross-Sectional Test of a Production-Based Asset Pricing Model
Cochrane, John H. - 1992
This paper tests a factor pricing model for stock returns. The factors are returns on physical investment, inferred … from investment data via a production function. The tests examine the model's ability to explain the variation in expected … investment return factors drive out all the other models. The paper also provides an easy technique for estimating and testing …
Persistent link: https://www.econbiz.de/10012474955
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Inflation Risk and Capital Market Equilibrium
Bodie, Zvi - 1979
assets. (3.) A preliminary empirical test of the theory using rates of return on common stocks, long-term bonds, real estate …
Persistent link: https://www.econbiz.de/10012478775
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Recursive Competitive Equilibrium
Mehra, Rajnish - 2006
In this article we define a Recursive Competitive Equilibrium, provide an example and review the related literature. The article is an entry prepared for The New Palgrave: A Dictionary of Economics, 2nd Edition (Palgrave Macmillan: New York)
Persistent link: https://www.econbiz.de/10012466231
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Crisis "Shock Factors" and the Cross-Section of Global Equity Returns
Calomiris, Charles W. - 2010
We study stock returns over the period of the global financial crisis of 2007-2008 and identify three crisis "shock …, and (3) selling pressure on firms' equity. All three of these "shock factors" are reflected in large and statistically … of the importance of each of the shock factors tracks related changes in the global economic environment …
Persistent link: https://www.econbiz.de/10012462098
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Rare Events and Long-Run Risks
Barro, Robert J. - 2016
Rare events (RE) and long-run risks (LRR) are complementary elements for understanding asset-pricing patterns, including the average equity premium and the volatility of equity returns. We construct a model with RE (temporary and permanent parts) and LRR (including stochastic volatility) and...
Persistent link: https://www.econbiz.de/10012456801
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Rare Macroeconomic Disasters
Barro, Robert J. - 2011
The potential for rare macroeconomic disasters may explain an array of asset-pricing puzzles. Our empirical studies of these extreme events rely on long-term data now covering 28 countries for consumption and 40 for GDP. A baseline model calibrated with observed peak-to-trough disaster sizes...
Persistent link: https://www.econbiz.de/10012461330