Researchers on variance bounds tests of stock price volatility recognized early that risk aversion can increase the volatility of prices implied by the present-value model. This finding suggests that specifying risk neutrality may induce a bias toward rejecting the present-value model insofar as...

This paper employs a standard asset pricing model to derive theoretical volatility measures in a setting that allows for varying degrees of investor information about the dividend process. We show that the volatility of the price–dividend ratio increases monotonically with investor information...

On 15th November 2012 in Copenhagen, SUERF and Nykredit in association with Danmarks Nationalbank organised a conference on “Property prices and real estate financing in a turbulent world.” The papers included in this SUERF Study are based on contributions to the conference.

An argument that variations of extant general-equilibrium monetary models can generate real-time economic forecasts comparable in accuracy to those contained in the Federal Reserve Board's "Greenbook" briefing documents.

On 15th November 2012 in Copenhagen, SUERF and Nykredit in association with Danmarks Nationalbank organised a conference on “Property prices and real estate financing in a turbulent world.” The papers included in this SUERF Study are based on contributions to the conference.