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Modeling Structural and Temporal Variation in the Market's Valuation of Banking Firms
Kane, Edward J. - 2008
This paper decomposes both the market sensitivity and the interest-rate sensitivity of bank stock into on-balance-sheet and off-balance-sheet components. It derives these constituent and often-offsetting sensitivities from a nonstationary three-equation model that employs accounting and...
Persistent link: https://www.econbiz.de/10012774829
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Equilibrium Asset Prices Under Imperfect Corporate Control
Dow, James - 2010
version of the separation of ownership and control -- Jensen's (1986) free cash flow theory--into a dynamic equilibrium model … and study the effect of imperfect corporate control on asset prices and investment. We assume that firms are run by empire … aggregate free cash flow of the corporate sector is an important state variable in explaining asset prices and investment. We …
Persistent link: https://www.econbiz.de/10012762816
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The Effects of a Baby Boom on Stock Prices and Capital Accumulation in the Presence of Social Security
Abel, Andrew B. - 2010
convex cost of adjustment. A baby boom increases national saving and investment and thus causes an increase in the price of …. Social Security can potentially affect national saving and investment, though in the long run, it does not affect the price …
Persistent link: https://www.econbiz.de/10012762982
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The Social Cost of Near-Rational Investment
Hassan, Tarek A. - 2011
We show that the stock market may fail to aggregate information even if it appears to be efficient, and that the resulting decrease in the information content of prices may drastically reduce welfare. We solve a macroeconomic model in which information about fundamentals is dispersed and...
Persistent link: https://www.econbiz.de/10013125571
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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/10013076911
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The Stock Market and Capital Accumulation
Hall, Robert E. - 2021
If firms purchase capital up to the point where there is no further marginal benefit, and the firms' securities are equal in value to the capital, then the market value of securities measures the quantity of capital. I explore the implications of this hypothesis using data from U.S. non-farm,...
Persistent link: https://www.econbiz.de/10013247200
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Conditional Asset Allocation in Emerging Markets
Harvey, Campbell R. - 2010
countries' returns. It is well known that low correlations improve investment opportunities and my research provides out …
Persistent link: https://www.econbiz.de/10012763465
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Sources of Risk and Expected Returns in Global Equity Markets
Ferson, Wayne E. - 2010
unconditional mean- variance efficiency of a world market portfolio, our evidence indicates that the tests are low in power, and the … world market betas do not provide a good explanation of cross-sectional differences in average returns. Multiple beta models …
Persistent link: https://www.econbiz.de/10012763466
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Dynamic Prediction Pools : An Investigation of Financial Frictions and Forecasting Performance
Del Negro, Marco - 2014
We provide a novel methodology for estimating time-varying weights in linear prediction pools, which we call Dynamic Pools, and use it to investigate the relative forecasting performance of DSGE models with and without financial frictions for output growth and inflation from 1992 to 2011. We...
Persistent link: https://www.econbiz.de/10013045643
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Answering the Critics : Yes, Arch Models Do Provide Good Volatility Forecasts
Andersen, Torben G. - 2008
Volatility permeates modern financial theories and decision making processes. As such, accurate measures and good forecasts of future volatility are critical for the implementation and evaluation of asset pricing theories. In response to this, a voluminous literature has emerged for modeling the...
Persistent link: https://www.econbiz.de/10012774886