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Margin-Based Asset Pricing and Deviations from the Law of One Price

Gârleanu, 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/10012461880

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/10012461095

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/10012461847

A Unified Theory of Underreaction, Momentum Trading and Overreaction in Asset Markets

Hong, Harrison - 1997

We assume that the instantaneous riskless rate reverts towards a central tendency which in turn, is changing stochastically over time. As a result, current short-term rates are not" sufficient to predict future short-term rates movements, as would be the case if the central" tendency was...

Persistent link: https://www.econbiz.de/10012472491

Leverage and Asset Bubbles : Averting Armageddon with Chapter 11?

Miller, Marcus - 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'

Persistent link: https://www.econbiz.de/10012462797

Liquidity and Asset Prices : A Unified Framework

Vayanos, Dimitri - 2009

We examine how liquidity and asset prices are affected by the following market imperfections: asymmetric information …

Persistent link: https://www.econbiz.de/10012463434

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/10012461005

Trading on Sunspots

Jovanovic, Boyan - 2014

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/10012457853

The Effects of Mandatory Transparency in Financial Market Design : Evidence from the Corporate Bond Market

Asquith, Paul - 2013

Many financial markets have recently become subject to new regulations requiring transparency. This paper studies how mandatory transparency affects trading in the corporate bond market. In July 2002, TRACE began requiring the public dissemination of post-trade price and volume information for...

Persistent link: https://www.econbiz.de/10012459243

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/10012461110