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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
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Tax reform and financial markets
Hendershott, Patric H. - In: Conference Series ; [Proceedings] 29 (1985), pp. 153-186
Persistent link: https://www.econbiz.de/10005498280
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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
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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
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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
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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
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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
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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
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Effects of movements in equities prices on M2 demand
Carlson, John B.; Schwarz, Jeffrey C. - In: Economic Review (1999) Q IV, pp. 2-9
Large swings in stock prices are sometimes associated with a redirection of household savings flows. Such changes can lead to transitory increases in M2 as investors temporarily “park” funds in depository assets while they determine the funds’ ultimate destination. The authors find that,...
Persistent link: https://www.econbiz.de/10005360799
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Economic fluctuations without shocks to fundamentals; or, does the stock market dance to its own music?
Aiyagari, S. Rao - In: Quarterly Review (1988) Win, pp. 8-24
Persistent link: https://www.econbiz.de/10005360824