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READY, ROBERT - 2011

I show that relative levels of aggregate consumption and personal oil consumption provide anexcellent proxy for oil prices, and that high oil prices predict low future aggregate consumptiongrowth. Motivated by these facts, I add an oil consumption good to the long-run risk model of Bansal and...

Persistent link: https://www.econbiz.de/10009438584

Conditional Betas, Higher Comoments and the Cross-Section of Expected Stock Returns

Xu, Lei - 2010

different conditional market beta models by using monthly returns of the Fama-French 25 portfolios formed by the quintiles of …-factor asset pricing models. Models tested are the CAPM, the Fama-French three-factor model and a four-factor model including the … three Fama-French factors and a momentum factor. Realized betas of different models are used in the cross …

Persistent link: https://www.econbiz.de/10009440933

Consumption Volatility Risk

Boguth, Oliver; Kuehn, Lars-Alexander - 2009

Empirically, the conditional volatility of aggregate consumption growth varies over time. While many papers test the consumption CAPM based on realized consumption growth, little is known about how the time-variation of consumption growth volatility affects asset prices. We show that in a model...

Persistent link: https://www.econbiz.de/10009440955

Prices as Factors: Approximate Aggregation with Incomplete Markets

Telmer, Chris I; Zin, Stanley E. - 2000

Recent developments in intertemporal asset pricing theory focus on two sets of fundamental determinants of asset returns. Models with complete markets emphasize aggregate variables such as per capita consumption. Such models have not performed well empirically. Models with incomplete markets...

Persistent link: https://www.econbiz.de/10009441191

Are Accounting Standards Diversifiable? Evidence of the Aggregate Valuation Effects of Standards

Jorgensen, Bjorn N.; Li, Jing; Sadka, Gil - 2009

Prior research documents that individual stock returns respond to earnings differently under new accounting standards, regulations, or changes in enforcement. This paper examines whether this result extends to the aggregate stock market. We take a macro perspective and study the properties of...

Persistent link: https://www.econbiz.de/10009441198

Asset Pricing with Idiosyncratic Risk and Overlapping Generations

Storesletten, Kjetil; Telmer, Chris I; Yaron, Amir - 2007

What is the effect of non-tradeable idiosyncratic risk on asset-market risk premiums? Constantinides and Duffie (1996) and Mankiw (1986) have shown that risk premiums will increase if the idiosyncratic shocks become more volatile during economic contractions. We add two important ingredients to...

Persistent link: https://www.econbiz.de/10009441309

Pricing multi-asset options with levy copulas

Dushimimana, Jean Claude - 2011

ENGLISH ABSTRACT: In this thesis, we propose to use Levy processes to model the dynamics of asset prices. Inthe first part, we deal with single asset options and model the log stock prices with a Levyprocess. We employ pure jump Levy processes of infinite activity, in particular variancegamma...

Persistent link: https://www.econbiz.de/10009442040

Asset Pricing in Created Markets for Fishing Quotas

Newell, Richard G.; Papps, Kerry L.; Sanchirico, James N. - 2005

We investigate the applicability of the present-value asset pricing model to fishing quota markets by applying instrumental variable panel data estimation techniques to 15 years of market transactions from New Zealand's individual fishing quota market. In addition to the influence of current...

Persistent link: https://www.econbiz.de/10009445482

Agricultural Arbitrage, Adjustment Costs, and the Intensive Margin

Tack, Jesse B.; LaFrance, Jeffrey T. - 2010

Farmland and capital are an important and rapidly expanding component of the agriculturaleconomy, and empirical evidence suggests that these assets are quasi-fixed in that adjustment costs are incurred when holdings are altered. Increased interest in the rate of return for investing in farmland...

Persistent link: https://www.econbiz.de/10009446523

Essays on Consumption-based Asset Pricing Models

Bin Li - 2009

portfolios. Utilising the Fama-MacBeth (1973) procedure, it is found that conditional models perform better than unconditional … models. However, these conditional models do not outperform the Fama-French three-factor model. The fourth essay tests the …

Persistent link: https://www.econbiz.de/10009448102