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The minimal entropy martingale measure in a market of traded financial and actuarial risks

Dhaene, Jan; Stassen, Ben; Devolder, Pierre; Vellekoop, … - 2014

" to the physical probability measure P, where closeness is measured in terms of relative entropy. In this paper, we … determine the minimal entropy martingale measure in a market where securities are traded with payoffs depending on two types of … these risks are independent under the entropy measure. Moreover, in such a market the entropy measure of the combined …

Persistent link: https://www.econbiz.de/10010391547

A hybrid joint moment ratio test for financial time series

Groenendijk, Patrick A.; Lucas, André; Vries, Casper G. de - 1998

We advocate the use of absolute moment ratio statistics in conjunctionwith standard variance ratio statistics in order to disentangle lineardependence, non-linear dependence, and leptokurtosis in financial timeseries. Both statistics are computed for multiple return horizonssimultaneously, and...

Persistent link: https://www.econbiz.de/10011299968

Stock index volatility forecasting with high frequency data

Hol Uspensky, Eugenie; Koopman, Siem Jan - 2002

The increasing availability of financial market data at intraday frequencies has not only led to the development of improved ex-post volatility measurements but has also inspired research into their potential value as an informa-tion source for longer horizon volatility forecasts. In this paper...

Persistent link: https://www.econbiz.de/10011326944

Consumption and wealth in the long run : an integrated unobserved component approach

Gardberg, Malin; Pozzi, Lorenzo - 2018 - Revision: September 2018

The ratio of consumption to total household wealth (i.e., tangible assets plus unobserved human wealth) is commonly calculated from the estimation of a log-linear version of the household intertemporal budget constraint as a cointegrating relationship between consumption, assets and earnings...

Persistent link: https://www.econbiz.de/10011844588

Optimal taxation of normal and excess returns to risky assets

Boadway, Robin W.; Spiritus, Kevin - 2021

We study the optimal taxation of risk-free and excess capital income with heterogeneous rates of return, alongside an optimal nonlinear earnings tax. Households can hold three assets: one risk-free, one risky but diversifiable, and one a private investment with idiosyncratic risk whose expected...

Persistent link: https://www.econbiz.de/10012487914

Income inequality and stock market returns

Markiewicz, Agnieszka; Raciborski, Rafal - 2018

In this paper, we study the relationship between income inequality and stock market returns. We develop a quantitative general equilibrium model that links shifts in both labour and capital income inequality to stock market variables. An increase of the share of capital owners' income from risky...

Persistent link: https://www.econbiz.de/10011916413

Asset pricing with distorted beliefs : are equity returns too good to be true?

Cecchetti, Stephen G.; Lam, Pok-sang; Mark, Nelson C. - 1997

Persistent link: https://www.econbiz.de/10000959246

Common risk factors in equity markets

Atanasov, Victoria - 2014 - This version: May 26, 2014

Empirical measures of world consumption growth risk have failed to rationalize the cross-section of country equity returns. We propose a new factor, termed "the global consumption factor", to explain the patterns in risk premiums on international equity markets. We identify this factor as the...

Persistent link: https://www.econbiz.de/10010362976

Cash flow and discount rate risk in up and down markets : what is actually priced?

Botshekan, Mahmoud; Kräussl, Roman; Lucas, André - 2010

We test whether asymmetric preferences for losses versus gains as in Ang, Chen, and Xing (2006) also affect the pricing of cash flow versus discount rate news as in Campbell and Vuolteenaho (2004). We construct a new four-fold beta decomposition, distinguishing cash flow and discount rate betas...

Persistent link: https://www.econbiz.de/10011382429

Experience does not eliminate bubbles : experimental evidence

Kopányi-Peuker, Anita; Weber, Matthias - 2018

We study the role of experience in the formation of asset price bubbles. Therefore, we conduct two related experiments. One is a call market experiment in which participants trade assets with each other. The other is a learning-to-forecast experiment in which participants only forecast future...

Persistent link: https://www.econbiz.de/10011932581

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