Narrow search
Showing 1 - 10 of 28,708
Cover Image
The equity premium in a production economy; A new perspective involving recursive utility
Aase, Knut K. - Institutt for foretaksøkonomi, Norges Handelshøyskole … - 2015
We study a rational expectations' competitive equilibrium in a production economy, i.e., a system of prices at which firms' profit maximizing production decisions and individuals' preferred affordable consumption choices equate supply and demand in every market. We derive the equilibrium price...
Persistent link: https://www.econbiz.de/10011252631
Cover Image
Recursive Competitive Equilibrium
Mehra, Rajnish - National Bureau of Economic Research (NBER) - 2006
In this article we define a Recursive Competitive Equilibrium, provide an example and review the related literature. The article is an entry prepared for The New Palgrave: A Dictionary of Economics, 2nd Edition (Palgrave Macmillan: New York).
Persistent link: https://www.econbiz.de/10005720187
Cover Image
The Colombian Stock Market: 1930-1998
Pareja, Ignacio Vélez - MASTER CONSULTORES - 1999
This article explores the behavior of the stock market in Colombia with the information given by the Bolsa de Bogota Index (Indice de la Bolsa de Bogota, IBB). The index is analyzed from January, 1930 to December, 1998. The inflation rate covers the same period; the inflation rate as measured by...
Persistent link: https://www.econbiz.de/10010827952
Cover Image
Lassen sich CAPM, HCAPM und CCAPM durch konsumbasierte zeitvariable Parameterspezifikation rehabilitieren?
Auer, Benjamin R. - In: Journal of Economics and Statistics (Jahrbuecher fuer … 232 (2012) 5, pp. 518-544
factor parameters in the CAPM of Sharpe (1964), the HCAPM of Jagannathan and Wang (1996) and the CCAPM of Lucas (1978) can … models and that (b) a CAPM using the labour income to consumption ratio as a conditioning variable proves to be the best …
Persistent link: https://www.econbiz.de/10010907944
Cover Image
From Equity Premium Puzzle to Expectations Puzzle : A General Equilibrium Production Economy with Stochastic Habit Formation
Dai, Qiang - 2000
This paper develops a general equilibrium model for a representative agent, production economy with stochastic internal habit formation. The model describes a scale-independent economy, with a unique stochastic investment opportunity set. Local correlation between the stochastic interest rate...
Persistent link: https://www.econbiz.de/10012743283
Cover Image
The Cyclical Dynamics of Illiquid Housing, Debt, and Foreclosures
Hedlund, Aaron - Economics Department, University of Missouri - 2014
This paper quantitatively accounts for the cyclical dynamics of key macroeconomic housing and mortgage market variables using a tractable, search-theoretic model of housing with equilibrium mortgage default. To explain these dynamics, the model highlights the importance of liquidity spirals...
Persistent link: https://www.econbiz.de/10010933610
Cover Image
Illiquidity and its Discontents: Trading Delays and Foreclosures in the Housing Market
Hedlund, Aaron - Economics Department, University of Missouri - 2014
This paper investigates the macroeconomic effects of search risk in the housing market. To do so, I introduce a tractable directed search model of housing with mul- tidimensional buyer and seller heterogeneity. I incorporate this framework in an in- complete markets macroeconomic model with...
Persistent link: https://www.econbiz.de/10010933613
Cover Image
Market Demand Functions in the CAPM
Hens, Thorsten; Andres L=EEffler - University of Bonn, Germany - 1995
We demonstrate that in a CAPM economy Walras Law and the Tobin Separation Property characterize market demand in finite … sets of prices. Consequently, for any number n there exist CAPM economies which have at least n equilibria and hence have n …
Persistent link: https://www.econbiz.de/10004968172
Cover Image
Basic Principles Of Asset Pricing Theory: Evidence From Large-Scale Experimental Financial Markets
Bossaerts, Peter; Plott, Charles - C.E.P.R. Discussion Papers - 2000
propositions of modern asset pricing theory, namely, that the interaction between risk averse agents in a competitive market leads …-markets model, and the Sharpe-Lintner-Mossin Capital Asset Pricing Model (CAPM). This framework enabled us to measure how far our … discovered swift convergence towards equilibrium prices of Arrow and Debreu's model or the CAPM. This discovery is significant …
Persistent link: https://www.econbiz.de/10005662411
Cover Image
Covariances versus Characteristics in General Equilibrium
Zhang, Lu; Lin, Xiaoji - National Bureau of Economic Research (NBER) - 2011
We question a deep-ingrained doctrine in asset pricing: If an empirical characteristic-return relation is consistent with investor "rationality," the relation must be "explained" by a risk factor model. The investment approach changes the big picture of asset pricing. Factors formed on...
Persistent link: https://www.econbiz.de/10009220642