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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
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
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
A primary focus of empirical earnings research is whether accounting earnings contain meaningful and timely information … that can be used by market participants to value securities. Empirically, accounting earnings numbers are considered to be …
Persistent link: https://www.econbiz.de/10009467814
highly critical of accounting methods at Fannie Mae, the government-sponsored enterprise that plays a leading role in the … secondary mortgage market. OFHEO charged Fannie Mae with not following generally accepted accounting practices in two critical … areas: (1) amortization of discounts, premiums, and fees involved in the purchase of home mortgages and (2) accounting for …
Persistent link: https://www.econbiz.de/10009475040
creative, but legitimate, accounting techniques to enhance their reported profits. This article identifies the principal … techniques used and assesses, in the context of the efficient markets hypothesis, whether manipulation of accounting information …
Persistent link: https://www.econbiz.de/10009475686