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Measuring market and inflation risk premia in France and in Germany

Cappiello, Lorenzo; Guéné, Stéphane - 2005

Capital Asset Pricing Model à la Merton (1973), with inflation as an independent source of risk, for France and Germany. Our … the convergence process towards the single currency might have affected the role of inflation in the pricing of financial … assets. We find that inflation is a significant explanatory factor for the pricing of stocks and government bonds in the two …

Persistent link: https://www.econbiz.de/10011604482

Stock market volatility and learning

Adam, Klaus; Marcet, Albert; Nicolini, Juan Pablo - 2008

Introducing bounded rationality into a standard consumption based asset pricing model with a representative agent and …

Persistent link: https://www.econbiz.de/10011604908

Imperfect predictability and mutual fund dynamics. How managers use predictors in changing systematic risk.

Amisano, Gianni; Savona, Roberto - 2008

Suppose a fund manager uses predictors in changing port-folio allocations over time. How does predictability translate into portfolio decisions? To answer this question we derive a new model within the Bayesian framework, where managers are assumed to modulate the systematic risk in part by...

Persistent link: https://www.econbiz.de/10011604927

Country and industry equity risk premia in the euro area: an intertemporal approach

Cappiello, Lorenzo; Lo Duca, Marco; Maddaloni, Angela - 2008

This paper provides new evidence on the dynamics of equity risk premia in euro area stock markets across country and industry portfolios. We develop and estimate a conditional intertemporal CAPM where returns on aggregate euro area, country and industry portfolios depend on the market risk as...

Persistent link: https://www.econbiz.de/10011604959

The term structure of equity premia in an affine arbitrage-free model of bond and stock market dynamics

Lemke, Wolfgang; Werner, Thomas - 2009

We estimate time-varying expected excess returns on the US stock market from 1983 to 2008 using a model that jointly captures the arbitrage-free dynamics of stock returns and nominal bond yields. The model nests the class of affine term structure (of interest rates) models. Stock returns and...

Persistent link: https://www.econbiz.de/10011605091

Asset pricing, habit memory, and the labor market

Jaccard, Ivan - 2010

This article studies the asset pricing and the business cycle implications of habit formation in a production economy …. This mechanism enhances the model’s ability to explain asset pricing puzzles. …

Persistent link: https://www.econbiz.de/10011605209

Epstein-Zin preferences and their use in macro-finance models: implications for optimal monetary policy

Darracq Pariès, Matthieu; Loublier, Alexis - 2010

for both asset pricing and macroeconomic allocation under a welfare-based monetary policy conduct. Against this background …

Persistent link: https://www.econbiz.de/10011605255

Learning from experience in the stock market

Nakov, Anton; Nuño, Galo - 2011

We study the dynamics of a Lucas-tree model with finitely lived agents who "learn from experience." Individuals update expectations by Bayesian learning based on observations from their own lifetimes. In this model, the stock price exhibits stochastic boom-and-bust fluctuations around the...

Persistent link: https://www.econbiz.de/10011605442

Asset allocation and risk taking under different interest rate regimes

Hermans, Lieven; Kostka, Thomas; Vassallo, Danilo - 2023

We study the effects of low short-term interest rates on the optimal portfolio allocation in Markowitz portfolios and Risk parity portfolios. We propose a measure of Portfolio Instability, gauging the amount of optimal portfolio shifts needed to respond to exogenous shocks to the expected risk...

Persistent link: https://www.econbiz.de/10014374591

Learning From Experience in the Stock Market

Nakov, Anton - 2011

Persistent link: https://www.econbiz.de/10013119137