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Short-Term Contracts as a Monitoring Device
Rey, Patrick; Stiglitz, Joseph E. - 2021
This paper focuses on two separate problems. The first is that frequently, the most profitable use of funds involves long-term investments, which militiates for long-term debt contracts. The second problem is to monitor the investor's use of funds, as exemplified by the U.S. S&L saga, and we...
Persistent link: https://www.econbiz.de/10013230189
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Risk Preferences and the Macro Announcement Premium
Ai, Hengjie - 2016
The paper develops a theory for equity premium around macroeconomic announcements. Stock returns realized around pre … premium. Our theory establishes that the announcement premium identifies a significant deviation from expected utility and …
Persistent link: https://www.econbiz.de/10012984765
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Asset Management, Human Capital, and the Market for Risky Assets
Ehrlich, Isaac - 2015
Risky-asset prices are conventionally modeled as quot;fully (information-) revealingquot;. Much less work has been done on how prices get to reveal information. Following the quot;noisy-pricesquot;, rational-expectations approach, our answer focuses on the micro-foundations of information...
Persistent link: https://www.econbiz.de/10012750105
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Depression Babies : Do Macroeconomic Experiences Affect Risk-Taking?
Malmendier, Ulrike - 2010
We investigate whether individuals' experiences of macro-economic outcomes have long-term effects on their risk attitudes, as often suggested for the generation that experienced the Great Depression. Using data from the Survey of Consumer Finances from 1964-2004, we find that individuals who...
Persistent link: https://www.econbiz.de/10012757672
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Financial Market Risk Perceptions and the Macroeconomy
Pflueger, Carolin E.; Siriwardane, Emil N.; Sunderam, Aditya - 2022
We propose a novel measure of risk perceptions: the price of volatile stocks (PVSt), defined as the book-to-market ratio of low-volatility stocks minus the book-to-market ratio of high-volatility stocks. PVSt is high when perceived risk directly measured from surveys and option prices is low....
Persistent link: https://www.econbiz.de/10013322228
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How Much Would You Pay to Resolve Long-Run Risk?
Epstein, Larry G. - 2013
Though risk aversion and the elasticity of intertemporal substitution have been the subjects of careful scrutiny when calibrating preferences, the long-run risks literature as well as the broader literature using recursive utility to address asset pricing puzzles have ignored the full...
Persistent link: https://www.econbiz.de/10013074290
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Belief Disagreement and Portfolio Choice
Meeuwis, Maarten; Parker, Jonathan A.; Schoar, Antoinette; … - 2021
Using proprietary portfolio data on millions of households, we show that (likely) Republicans increase the equity share and market beta of their portfolios following the 2016 presidential election, while (likely) Democrats rebalance into safe assets. We provide evidence that this behavior is...
Persistent link: https://www.econbiz.de/10013223798
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The Burden of the Nondiversifiable Risk of Entrepreneurship
Hall, Robert Ernest - 2014
In the standard venture capital contract, entrepreneurs have a large fraction of equity ownership in the companies they … aversion, higher initial assets, preferences for entrepreneurship over employment, and optimistic beliefs about the payoffs …
Persistent link: https://www.econbiz.de/10012751344
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Client-Based Entrepreneurship
Rauch, James E. - 2014
. If when an employer and worker establish a relationship they cannot contract on the output and profits of the worker …'s prospective new firm, the employer counters by inducing the worker to sign a contract that prohibits him from competing or … soliciting the current client in the event of termination of employment. The socially optimal level of entrepreneurship will …
Persistent link: https://www.econbiz.de/10013069964
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Explaining the Favorite-Longshot Bias : Is it Risk-Love or Misperceptions?
Snowberg, Erik - 2010
misperceptions of probability drive the favorite-longshot bias, as suggested by Prospect Theory …
Persistent link: https://www.econbiz.de/10013144509