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Margin-Based Asset Pricing and Deviations from the Law of One Price
Garleanu, Nicolae - 2011
. Such a funding-liquidity crisis gives rise to "bases," that is, price gaps between securities with identical cash-flows but …
Persistent link: https://www.econbiz.de/10013130262
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Advances in Consumption-Based Asset Pricing : Empirical Tests
Ludvigson, Sydney C. - 2011
The last 15 years has brought forth an explosion of research on consumption-based asset pricing as a leading contender for explaining aggregate stock market behavior. This research has propelled further interest in consumption-based asset pricing, as well as some debate. This chapter surveys the...
Persistent link: https://www.econbiz.de/10013129191
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The Lucas Orchard
Martin, Ian - 2011
This paper investigates the behavior of asset prices in an endowment economy in which a representative agent with power utility consumes the dividends of multiple assets. The assets are Lucas trees; a collection of Lucas trees is a Lucas orchard. The model generates return correlations that vary...
Persistent link: https://www.econbiz.de/10013118845
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Liquidity and Asset Prices : A Unified Framework
Vayanos, Dimitri - 2010
We examine how liquidity and asset prices are affected by the following market imperfections: asymmetric information …
Persistent link: https://www.econbiz.de/10013151396
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Leverage and Asset Bubbles : Averting Armageddon with Chapter 11?
Miller, Marcus H. - 2010
An iconic model with high leverage and overvalued collateral assets is used to illustrate the amplification mechanism driving asset prices to 'overshoot' equilibrium when an asset bubble bursts--threatening widespread insolvency and what Richard Koo calls a 'balance sheet recession'. Besides...
Persistent link: https://www.econbiz.de/10013145248
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Evaporating Liquidity
Nagel, Stefan - 2011
liquidity provision. Analysis of reversal strategies shows that the expected return from liquidity provision is strongly time … Ratios during times of high VIX. The results point to withdrawal of liquidity supply, and an associated increase in the … expected returns from liquidity provision, as a main driver behind the evaporation of liquidity during times of financial …
Persistent link: https://www.econbiz.de/10013117559
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A Theory of Asset Pricing Based on Heterogeneous Information
Albagli, Elias - 2011
We propose a theory of asset prices that emphasizes heterogeneous information as the main element determining prices of … prices exceeds the variability for realized dividends. We conclude with two applications of our theory. First, we highlight …
Persistent link: https://www.econbiz.de/10013119040
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Trading on Sunspots
Jovanovic, Boyan - 2015
In a model with multiple Pareto-ranked equilibria we add trade in assets that pay based on the realization of a sunspot. Asset trading restricts the equilibrium set in a way that raises welfare by eliminating equilibria with a high likelihood of disasters. When the probability of a disaster is...
Persistent link: https://www.econbiz.de/10013031016
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The Real Effects of Financial Markets
Bond, Philip - 2011
A large amount of activity in the financial sector occurs in secondary financial markets, where securities are traded among investors without capital flowing to firms. The stock market is the archetypal example, which in most developed economies captures a lot of attention and resources. Is the...
Persistent link: https://www.econbiz.de/10013117118
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Valuation, Adverse Selection, and Market Collapses
Fishman, Michael J. - 2012
We study a market for funding real investment in which valuation creates information on which adverse selection can occur. Unlike in previous models, higher amounts of valuation are associated with lower market prices and so greater returns to valuation, and this strategic complementarity in the...
Persistent link: https://www.econbiz.de/10013100990