Narrow search
Showing 1 - 10 of 198
Cover Image
Essays on asset pricing and the macroeconomy
Kliem, Martin - 2009
Diese Dissertation beinhaltet drei eigenständige Aufsätze, die die Interaktionen von Bewertungsmodellen für Wertpapiere, Finanzmärkten und der Volkswirtschaft untersuchen. Alle drei Papiere tragen zu einem besseren Verständnis von Verknüpfungen zwischen Finanzmärkten und Realwirtschaft....
Persistent link: https://www.econbiz.de/10009467149
Cover Image
Essays on Consumption-based Asset Pricing Models
Bin Li - 2009
Consumption-based asset pricing models (CCAPMs) connect asset returns with consumption growth. The poor empirical performance of early consumption models has led to the development of a number of more sophisticated models. Nevertheless, most models focus on the US markets, and very few CCAPMs...
Persistent link: https://www.econbiz.de/10009448102
Cover Image
Consumption habit and international stock returns
Li, Yuming; Zhong, Maosen - 2005
We use the consumption-based asset pricing model with habit formation to study the predictability and cross-section of returns from the international equity markets. We find that the predictability of returns from many developed countries' equity markets is explained in part by changing prices...
Persistent link: https://www.econbiz.de/10009448823
Cover Image
Optimal consumption choice with intolerance for declining standard of living
Riedel, Frank - 2007
Duesenberry introduced the notion of a ratchet investor who does not tolerate any decline in her consumption rate. We connect the demand behavior of such an agent to the behavior of standard time-additive agents. A ratchet investor demands the running maximum of the optimal plan a conventional...
Persistent link: https://www.econbiz.de/10009452529
Cover Image
Essays in Open Economy Macroeconomics
Gonzalez Hernandez, Ramon Antonio - 2008
Research macroeconomists have witnessed remarkable methodological developments in mathematical, statistical, and computational tools during the last two decades. The three essays in this dissertation took advantage of these advances to analyze important macroeconomic issues.The first essay, “...
Persistent link: https://www.econbiz.de/10009460581
Cover Image
Envy and habits : panel data estimates of interdependent preferences
Alvarez-Cuadrado, Francisco; Sutthiphisal, Dhanoos; … - 2012
We estimate the importance of preference interdependence from consumption choices. Our strategy follows the literature that tests the constraints imposed by optimality in the evolution of individual consumption. We derive a Euler equation from a preference specifi cation that allows for...
Persistent link: https://www.econbiz.de/10012530376
Cover Image
Managerial ownership and firm performance in Thailand: An empirical analysis
Graduate School of Business
companies in Thailand. The convergence-of-interest hypothesis asserts that firm value increases as management ownership rises …
Persistent link: https://www.econbiz.de/10009435008
Cover Image
Parameter estimation of structural dynamic models using eigenvalue and eigenvector information
Allen, J.J.; Martinez, D.R. - 2008
Structural system identification methods are analytical techniques for reconciling test data with analytical models. The response data frequently used to compare a finite element model and test data are the eigenvalues of the system. However, eigenvalues alone cannot assure an adequate model....
Persistent link: https://www.econbiz.de/10009435739
Cover Image
Convergence of construction costs in the single European market
Langston, Craig; Best, Rick - 2009
Several studies have shown evidence of price convergence between countries in the European Union (EU) since the … the coefficient of variation. The results show little evidence of price convergence for non-residential construction for … either country group. This is shown to be in contrast with convergence that is evident in the prices of other product groups …
Persistent link: https://www.econbiz.de/10009441585
Cover Image
A Pair-wise Approach to Testing for Output and Growth Convergence
Pesaran, M Hashem - 2004
This paper proposes a pair-wise approach to testing for output convergence that considers all N(N-1)/2 possible pairs … of log per capita output gaps across N economies. A general probabilistic definition of output convergence is also … support output convergence and suggest that the findings of convergence clubs in the literature might be spurious. However …
Persistent link: https://www.econbiz.de/10009441996