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Margin regulation and volatility
Brumm, Johannes; Grill, Michael; Kubler, Felix; … - 2014
In this paper we examine the quantitative effects of margin regulation on volatility in asset markets. We consider a … presence of collateral constraints leads to strong excess volatility. Thus, a regulation of margin requirements may have … stabilizing effects. However, in line with the empirical evidence on margin regulation in U.S. stock markets, we show that changes …
Persistent link: https://www.econbiz.de/10010258788
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Dynamic capital structure under managerial entrenchment : evidence from a structural estimation
Morellec, Erwan; Nikolov, Boris; Schürhoff, Norman - 2009
We develop a dynamic tradeoff model to examine the importance of manager-shareholder conflicts in capital structure choice. Using panel data on leverage choices and the model's predictions for different statistical moments of leverage, we show that while refinancing costs help explain the...
Persistent link: https://www.econbiz.de/10003970297
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Efficiency in large dynamic panel models with common factor
Gagliardini, Patrick; Gouriéroux, Christian - 2009 - This version: March 2009
This paper deals with efficient estimation in exchangeable nonlinear dynamic panel models with common unobservable factor. The specification accounts for both micro- and macro-dynamics, induced by the lagged individual observation and the common stochastic factor, respectively. For large...
Persistent link: https://www.econbiz.de/10003970309
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Cognitive biases, ambiguity aversion and asset pricing in financial markets
Asparouhova, Elena; Bossaerts, Peter L.; Eguia, Jon; … - 2010 - This version: March 2010
We present a new theory of asset pricing and portfolio choices under asymmetric reasoning, contrast the predictions …
Persistent link: https://www.econbiz.de/10003970453
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Optimal liquidation strategies in illiquid markets
Jondeau, Eric; Perilla, Augusto; Rockinger, Michael - 2009
In this paper, we consider block trading strategies and characterize the times when a block trade is a popular choice. We also study the economic relevance of optimal liquidation strategies by calibrating a recent and realistic microstructure model with data from the Paris Stock Exchange. We...
Persistent link: https://www.econbiz.de/10003970463
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Portfolio selection with narrow framing : probability weighting matters
De Giorgi, Enrico; Legg, Shane - 2009 - This version: June 9, 2009
aversion into dynamic models of portfolio choice and asset pricing can be extended to also account for probability weighting …
Persistent link: https://www.econbiz.de/10003970464
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Equilibrium driven by discounted dividend volatility
Cvitanić, Jakša; Malamud, Semyon - 2009
We derive representations for the stock price drift and volatility in the equilibrium of agents with arbitrary, heterogeneous utility functions and with the aggregate dividend following an arbitrary Markov diffusion. We introduce a new, intrinsic characteristic of the aggregate dividend process...
Persistent link: https://www.econbiz.de/10003971106
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Endogenous completeness of diffusion driven equilibrium markets
Hugonnier, Julien; Malamud, Semyon; Trubowitz, Eugene - 2009
We study the existence of equilibria with endogenously complete markets in a continuous-time, heterogenous agents economy driven by a multidimensional diffusion process. Our main results show that if prices are real analytic as functions of time and the state variables of the model then a...
Persistent link: https://www.econbiz.de/10003971255
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House prices, disposable income, and permanent and temporary shocks
Fraser, Patricia; Hoesli, Martin; McAlevey, Lynn George - 2009
Using quarterly data over 1973:4-2008:2, two-variable systems of house prices and income are specified for three major house-owning economies: New Zealand (N.Z.), the U.K. and the U.S. After considering differences in price−income relationships over sub-periods, the analysis compares responses...
Persistent link: https://www.econbiz.de/10003971258
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Financial markets equilibrium with heterogeneous agents
Cvitanić, Jakša; Jouini, Elyès; Malamud, Semyon; … - 2009
This paper presents an equilibrium model in a pure exchange economy when investors have three possible sources of heterogeneity. Investors may differ in their beliefs, in their level of risk aversion and in their time preference rate. We study the impact of investors heterogeneity on the...
Persistent link: https://www.econbiz.de/10003971310