Similar Search Results

Hendershott, Patric H. - In: Conference Series ; [Proceedings] 29 (1985), pp. 153-186

Persistent link: https://www.econbiz.de/10005498280

The effects of a baby boom on stock prices and capital accumulation in the presence of Social Security

Abel, Andrew B. - Federal Reserve Bank of Philadelphia - 2002

baby boom is modeled as a high realization of a random birth rate, and the price of capital is determined endogenously by a … capital. The price of capital is meanreverting so the initial increase in the price of capital is followed by a decrease … of capital. …

Persistent link: https://www.econbiz.de/10005389522

Learning and excess volatility

Bullard, James; Duffy, John - Federal Reserve Bank of St. Louis - 1998

We introduce adaptive learning behavior into a general equilibrium lifecycle economy with capital accumulation. Agents … form forecasts of the rate of return to capital assets using least squares autoregressions on past data. We show that, in … persistent excess volatility in returns to capital. We explore a quantitative case for these learning equilibria. We use an …

Persistent link: https://www.econbiz.de/10005352849

Nonaddictive habit formation and the equity premium puzzle

Shrikhande, Milind M. - 1996

I analyze a model in a simple representative-agent economy with one risky and one riskless asset, populated by habit-forming consumer-investors. These consumer-investors exhibit nonaddictive habit formation in the sense that the current consumption rate of the consumer-investors can fall below...

Persistent link: https://www.econbiz.de/10010397492

Efficiency in index options markets and trading in stock baskets

Ackert, Lucy F.; Tian, Yisong S. - 1999

Researchers have reported mispricing in index options markets. This study further examines the efficiency of the S&P 500 index options market by testing theoretical pricing relationships implied by no-arbitrage conditions. The effect of a traded stock basket, Standard and Poor's Depository...

Persistent link: https://www.econbiz.de/10010397522

Pricing S&P 500 index options using a Hilbert space basis

Abken, Peter A.; Madan, Dilip B.; Ramamurtie, Sailesh - 1996

This paper tests the approach of Madan and Milne (1994) and its extension in Abken, Madan, and Ramamurtie (1996) for pricing contingent claims as elements of a separable Hilbert space. We specialize the Hilbert space basis to the family of Hermite polynomials and test the model on S&P 500 index...

Persistent link: https://www.econbiz.de/10010397584

Are stocks in new industries like lottery tickets?

Dwyer, Gerald; Barnhart, Cora - 2002

We examine the distribution of returns in new industries to determine whether stocks in new industries are similar to lottery tickets. We focus on one characteristic of lottery tickets: negative expected returns. We examine data from the United States on sellers of own-brand personal computers,...

Persistent link: https://www.econbiz.de/10010397612

The impact of CEO turnover on equity volatility

Clayton, Matthew J.; Hartzell, Jay C.; Rosenberg, Joshua V. - 2003

A change in executive leadership is a significant event in the life of a firm. This study investigates an important consequence of a CEO turnover: a change in equity volatility. We develop three hypotheses about how changes in CEO might affect stock price volatility, and test these hypotheses...

Persistent link: https://www.econbiz.de/10010283349

What long-run returns can investors expect from the stock market?

Golob, John E.; Bishop, David G. - In: Economic Review (1997) Q III, pp. 5-20

This article analyzes how macroeconomic fundamentals and high price-earnings ratios on stocks will affect long-run returns. The first section reviews the stock market's recent performance and describes how investors and analysts have reacted to this performance. The second section shows how...

Persistent link: https://www.econbiz.de/10005501282

Weekends can be rough: revisiting the weekend effect in stock prices

Fortune, Peter - Federal Reserve Bank of Boston - 1998

The performance of stock prices during breaks in trading has received considerable attention in recent years. While some studies focus on performance surrounding periods of unscheduled trading breaks (trading halts in individual stocks, circuit breakers for exchanges), other studies look at...

Persistent link: https://www.econbiz.de/10005501375