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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
In this dissertation, I investigate three related topics on asset pricing: the consumption-based asset pricing under long-run risks and fat tails, the pricing of VIX (CBOE Volatility Index) options and the market price of risk embedded in stock returns and stock options. These three topics are...
Persistent link: https://www.econbiz.de/10009460573
University of Minnesota. Ph.D. dissertation. August 2008. Major: Economics. Advisor: Werner, Jan. 1 computer file (PDF … trading patterns are strictly decreasing in agents' confidence in private signals. Interestingly, social communication can ….Chapter 3 develops a multi-period market model to examine the evolution of risk averse agents' confidence degrees in learning …
Persistent link: https://www.econbiz.de/10009462951
Duration is an important and well-established risk characteristic for fixed income securities. We use recent developments in financial statement analysis research to construct a measure of duration for equity securities. We find that the standard empirical predictions and results for fixed...
Persistent link: https://www.econbiz.de/10009477256
experimental economics may serve as an important link. Its aim is to integrate the insights of cognitive and social psychologists … contributes to a better understanding of human decision-making. …
Persistent link: https://www.econbiz.de/10009468509
Laborexperiment sollten die Teilnehmer eine Entscheidung über die genaue Höhe einer Investition treffen. In verschiedenen Treatments … reale Arbeit-Freizeit-Entscheidung treffen.Als zentrales Ergebnis beider Laborexperimente lässt sich Folgendes … zusammenfassen: Neben dem Arbeitsleid und dem Einkommen scheint die Steuerwahrnehmung einen entscheidenden Einfluss auf die Arbeit-Freizeit-Entscheidung …
Persistent link: https://www.econbiz.de/10009478158
), aggregation method (average versus weighted by money, a proxy for confidence), and incentive (not incentive compatible versus … respondents to state their confidence, using my method, which induces the respondents to reveal confidence, there is a sizable and … statically significant positive relationship between confidence and the accuracy of individual-level expectations. This positive …
Persistent link: https://www.econbiz.de/10009438764
activities. I examine whether managers consider voluntary disclosure, combined with the structuring decision, to alter this … hypothesis that managers factor voluntary disclosure into the financing decision to either offset or maintain uninformative …
Persistent link: https://www.econbiz.de/10009438464
This paper investigates the effect of the introduction of exchange-traded funds (ETFs) on the liquidity of individual stocks. Prior analytical studies suggest that uninformed investors strictly prefer trading ETFs to trading individual stocks in order to avoid trading against informed investors....
Persistent link: https://www.econbiz.de/10009438705
Accounting Research System (NAARS). Each of these firms implemented an ESOP between January 1972 and December 1986. Market return …
Persistent link: https://www.econbiz.de/10009438744