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Jump-diffusion long-run risks models, variance risk premium and volatility dynamics

Jin, Jianjian - 2013

This paper calibrates a class of jump-diffusion long-run risks (LRR) models to quantify how well they can jointly explain the equity risk premium and the variance risk premium in the U.S. financial markets, and whether they can generate realistic dynamics of riskneutral and realized...

Persistent link: https://www.econbiz.de/10009734341

The private equity premium puzzle revisited

Kartashova, Katya - 2011

In this paper, I extend the results of Moskowitz and Vissing-Jørgensen (2002) on the returns to entrepreneurial investments in the United States. First, following the authors' methodology I replicate the original findings from the Survey of Consumer Finances (SCF) for the period 1989 - 1998 and...

Persistent link: https://www.econbiz.de/10008841171

Idiosyncratic coskewness and equity return anomalies

Chabi-Yo, Fousseni; Yang, Jun - 2010

In this paper, we show that in a model where investors have heterogeneous preferences, the expected return of risky assets depends on the idiosyncratic coskewness beta, which measures the co-movement of the individual stock variance and the market return. We find that there is a negative...

Persistent link: https://www.econbiz.de/10003981312

Multivariate tests of mean-variance efficiency and spanning with a large number of assets and time-varying covariances

Gungor, Sermin; Luger, Richard - 2013

We develop a finite-sample procedure to test for mean-variance efficiency and spanning without imposing any parametric assumptions on the distribution of model disturbances. In so doing, we provide an exact distribution-free method to test uniform linear restrictions in multivariate linear...

Persistent link: https://www.econbiz.de/10009746573

Testing linear factor pricing models with large cross-sections : a distribution-free approach

Gungor, Sermin; Luger, Richard - 2010

We develop a finite-sample procedure to test the beta-pricing representation of linear factor pricing models that is applicable even if the number of test assets is greater than the length of the time series. Our distribution-free framework leaves open the possibility of unknown forms of...

Persistent link: https://www.econbiz.de/10008771577

On the welfare cost of rare housing disasters

Xu, Shaofeng - 2015

This paper examines the welfare cost of rare housing disasters characterized by large drops in house prices. I … disaster periods, due to smaller holdings of housing assets, and benefit from lower house prices in normal periods, due to the …

Persistent link: https://www.econbiz.de/10011302010

An equilibrium analysis of the rise in house prices and mortgage debt

Xu, Shaofeng - 2013

the sharp rise in U.S. house prices and mortgage debt between 1994 and 2005. I construct an overlapping generations … prices and most of the increase in mortgage debt during this period. Population aging contributes to rising house prices and … increases the mortgage borrowing of various age cohorts, but it has a trivial effect on house prices because interest rates rise …

Persistent link: https://www.econbiz.de/10009734359

Do survey expectations of stock returns reflect risk adjustments?

Adam, Klaus; Matveev, Dmitry; Nagel, Stefan - 2019

Motivated by the observation that survey expectations of stock returns are inconsistent with rational return expectations under real-world probabilities, we investigate whether alternative expectations hypotheses entertained in the literature on asset pricing are consistent with the survey...

Persistent link: https://www.econbiz.de/10011992454

Learning in a complex world : insights from an OLG lab experiment

Hommes, Cars H.; Huber, Stefanie J.; Minina, Daria; … - 2023 - Last updated: February 21, 2023

This paper brings novel insights into group coordination and price dynamics in complex environments. We implement an overlapping-generation model in the lab where output dynamics are given by the well-known chaotic quadratic map. This model structure allows us to study previously unexplored...

Persistent link: https://www.econbiz.de/10014231727

Macroprudential rules and monetary policy when financial frictions matter

Bailliu, Jeannine N.; Meh, Césaire Assah; Zhang, Yahong - 2012

This paper examines the interaction between monetary policy and macroprudential policy and whether policy makers should respond to financial imbalances. To address this issue, we build a dynamic general equilibrium model that features financial market frictions and financial shocks as well as...

Persistent link: https://www.econbiz.de/10009501847

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