Similar Search Results

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

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

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

Procyclical Stocks Earn Higher Returns

Goetzmann, William N.; Watanabe, Akiko; Watanabe, Masahiro - National Bureau of Economic Research - 2024

We find that procyclical stocks, whose returns comove with business cycles, earn higher average returns than countercyclical stocks. We use almost a three-quarter century of real GDP growth expectations from economists' surveys to determine forecasted economic states. This approach largely...

Persistent link: https://www.econbiz.de/10014544787

Forward Return Expectations

Gandhi, Mihir; Gormsen, Niels; Lazarus, Eben - National Bureau of Economic Research - 2023

We measure investors' short- and long-term stock-return expectations using both options and survey data. These expectations at different horizons reveal what investors think their own short-term expectations will be in the future, or forward return expectations. While contemporaneous short-term...

Persistent link: https://www.econbiz.de/10014372444

1
2
3
4
5
6
7
8
9
10
Next
Last