Narrow search
Showing 1 - 10 of 486
Cover Image
An Integrated View of Tests of Rationality, Market Efficiency, and the Short-Run Neutrality of Monetary Policy
Abel, Andrew B.; Mishkin, Frederic S. - 2021
This paper analyzes an important class of models in which expectations play an important role. Topics included in the analysis are tests of: (1) rationality of forecasts in either market or survey data, (2) capital market efficiency, (3) the short-run neutrality of monetary policy and, (4)...
Persistent link: https://www.econbiz.de/10013310178
Cover Image
The Behavior of Savings and Asset Prices When Preferences and Beliefs are Heterogeneous
Tran, Ngoc-Khanh - 2011
Movements in asset prices are a major risk confronting individuals. This paper establishes new asset pricing results when agents differ in risk preference, time preference and/or expectations. It shows that risk tolerance is a critical concept driving savings decisions, consumption allocations,...
Persistent link: https://www.econbiz.de/10013122647
Cover Image
Rational Asset Price Movements Without News
Romer, David H. - 2008
This paper argues that an important part of movements in asset prices may be caused by neither external news nor irrationality, but the by revelation of information by the trading process itself. Two models are developed that illustrate this general idea. One model is based on investor...
Persistent link: https://www.econbiz.de/10012774857
Cover Image
Profitable Informed Trading in a Simple General Equilibrium Model of Asset Pricing
Dow, James; Gorton, Gary B. - 2021
This paper presents a simple general equilibrium model of asset pricing in which profitable informed trading can occur without any "noise" added to the model. It shows that models of profitable informed trading must restrict the portfolio choices of uninformed traders: in particular, they cannot...
Persistent link: https://www.econbiz.de/10013232909
Cover Image
On the Asset Market View of Exchange Rates
Burnside, A. Craig - 2012
If the asset market is complete then the difference between foreign and domestic agents' log intertemporal marginal rates of substitution (IMRSs) equals the log change in the real exchange rate. This equation is frequently used to argue that changes in real exchange rates reflect differences...
Persistent link: https://www.econbiz.de/10013096132
Cover Image
R-Squared and the Economy
Morck, Randall - 2013
Many seemingly discordant results are reconciled if firm-specific return volatility is characterized as the intensity with which firm-specific events occur. A functionally efficient stock market allocates capital to its highest value uses, which often amounts to financing Schumpeterian creative...
Persistent link: https://www.econbiz.de/10013082425
Cover Image
The New Fama Puzzle
Bussière, Matthieu - 2018
We re-examine the Fama (1984) puzzle – the finding that ex post depreciation and interest differentials are negatively correlated, contrary to what theory suggests – for eight advanced country exchange rates against the US dollar, over the period up to June 2019. The rejection of the joint...
Persistent link: https://www.econbiz.de/10012927015
Cover Image
Anomalies and Market Efficiency
Schwert, G. William - 2002
Anomalies are empirical results that seem to be inconsistent with maintained theories of asset-pricing behavior. They indicate either market inefficiency (profit opportunities) or inadequacies in the underlying asset-pricing model. The evidence in this paper shows that the size effect, the value...
Persistent link: https://www.econbiz.de/10012787078
Cover Image
The Economics of Value Investing
Hou, Kewei - 2017
The investment CAPM provides an economic foundation for Graham and Dodd's (1934) Security Analysis. Expected returns … future returns. However, the expected investment growth effect in sorts is weak. The investment CAPM has different …
Persistent link: https://www.econbiz.de/10012952503
Cover Image
The Investment CAPM
Zhang, Lu - 2017
A new class of Capital Asset Pricing Models (CAPM) arises from the first principle of real investment for individual … firms. Conceptually as "causal"' as the consumption CAPM, yet empirically more tractable, the investment CAPM emerges as a … drives many empirical patterns that are anomalous in the consumption CAPM. Most important, integrating the anomalies …
Persistent link: https://www.econbiz.de/10012960790