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On equilibrium prices in continuous time
Martins-da-Rocha, Victor Filipe; Riedel, Frank - 2008
We combine general equilibrium theory and théorie générale of stochastic processes to derive structural results about equilibrium state prices.
Persistent link: https://www.econbiz.de/10009452546
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Case-Based Decision Theory and Financial Markets
Guerdjikova, Ani Vladimirova - 2004
Die Dissertation wendet die fallgestützte Entscheidungstheorie (Case-Based Decision Theory) vorgeschlagen von Gilboa and Schmeidler (1995) auf Entscheidungen in Finanzmärkten an. Betrachtet werden sowohl das individuelle Portfoliowahlproblem eines Investors, wie auch Märkte, in denen...
Persistent link: https://www.econbiz.de/10009476229
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Imperfect competition in product markets and labor markets, general equilibrium and unemployment
Schniewind, Achim - 2000
In this thesis it is analyzed if promoting product market competition can help to to fight unemployment in Europe. We have used a general equilibrium model in order to study how reducing mark-ups and increasing productivity in one sector affect aggregate unemployment for an exogenously given...
Persistent link: https://www.econbiz.de/10009476214
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Conditional Betas, Higher Comoments and the Cross-Section of Expected Stock Returns
Xu, Lei - 2010
size and book-to-market ratio in Chapter 3. This is a cross-sectional test of the conditional CAPM. The models examined …-factor asset pricing models. Models tested are the CAPM, the Fama-French three-factor model and a four-factor model including the … coefficients of coskewness and cokurtosis have the correct sign as predicted by the higher-moment CAPM theory but only cokurtosis …
Persistent link: https://www.econbiz.de/10009440933
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Prices as Factors: Approximate Aggregation with Incomplete Markets
Telmer, Chris I; Zin, Stanley E. - 2000
kernel that depends on returns, as in the CAPM or the APT, can accurately price assets. In this sense, theory based on …
Persistent link: https://www.econbiz.de/10009441191
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Essays in cross-sectional asset pricing
Cederburg, Scott Hogeland - 2011
returns. The finance literature has uncovered several potential failings of the Capital Asset Pricing Model (CAPM). I … investigate the ability of additional risk factors, which are not considered by the CAPM, to explain these problems. In particular … to refine and reassess the cross-sectional evidence against the CAPM.In the first chapter, I test the cross …
Persistent link: https://www.econbiz.de/10009466087
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Essays on portfolio choice over the life cycle.
Guo, Lei - 2010
University of Minnesota Ph.D. dissertation. August 2010. Major: Economics. Advisor: Narayana R. Kocherlakota. 1 computer file (PDF); vii, 81 pages. Ill.(some col.)
Persistent link: https://www.econbiz.de/10009462869
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Bankruptcy and Transaction Costs in General Financial Models
Hoelle, Matthew - 2010
General financial models have become workhorse models in the fields of macroeconomics and finance. These models have been developed and extensively studied by general equilibrium theorists. What makes them so applicable for macroeconomics and finance is the well accepted fact that models with a...
Persistent link: https://www.econbiz.de/10009439043
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Financial Leverage and the Leverage Effect - A Market and Firm Analysis
Aydemir, A. Cevdet; Gallmeyer, Michael; Hollifield, Burton - 2007
We quantify the effect of financial leverage on stock return volatility in a dynamic general equilibrium economy with debt and equity claims. The effect of financial leverage is studied both at a market and a firm level where the firm is exposed to both idiosyncratic and market risk. In a...
Persistent link: https://www.econbiz.de/10009441057
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Residential Segregation in General Equilibrium
Bayer, Patrick; McMillan, Robert; Rueben, Kim - 2004
This paper studies the causes and consequences of racial segregation using a new general equilibrium model that treats neighborhood compositions as endogenous. The model is estimated using unusually detailed restricted Census microdata covering the entire San Francisco Bay Area, and in...
Persistent link: https://www.econbiz.de/10009444158