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Loss aversion, habit formation and the term structures of equity and interest rates

Curatola, Giuliano - In: Journal of Economic Dynamics and Control 53 (2015) C, pp. 103-122

I propose a consumption-based asset pricing model that jointly explains the high equity premium, the counter-cyclical behaviour of stock returns, the upward-sloping term structure of interest rates and the downward-sloping term structure of equity. The driving forces behind these results are...

Persistent link: https://www.econbiz.de/10011209226

On the Fluctuations in Consumption and Market Returns in the Presence of Labour and Human Capital: An Equilibrium Analysis

Basak, S. - Rodney L. White Center for Financial Research, Wharton … - 1998

We examine the effects of human capital on consumption, stock market, and other fluctuations in a general equilibrium continuous-time model. A representative consumer-worker-investor derives utility from consumption and leisure. A representative firm demands labour as the sole input to a...

Persistent link: https://www.econbiz.de/10005245218

An Experimental Test of the Lucas Asset Pricing Model

Duffy, John; Crockett, Sean - Department of Economics, University of Pittsburgh - 2010

We implement a dynamic asset pricing experiment in the spirit of Lucas (1978) with storable assets and non-storable cash. In one treatment we impose diminishing marginal returns to cash to incentivize consumption-smoothing across periods, while in a second treatment there is no induced motive...

Persistent link: https://www.econbiz.de/10010908258

On equilibrium prices in continuous time

Martins-da-Rocha, V. Filipe; Riedel, Frank - Institut für Mathematische Wirtschaftsforschung, … - 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/10005002278

Monopoly Power and the Firm's Valuation: A Dynamic Analysis of Short versus Long-Term Policies

Basak, Suleyman; Pavlova, Anna - C.E.P.R. Discussion Papers - 2002

This article develops a multi-period production model to examine the optimal dynamic behaviour of a large monopolistic value-maximizing firm that manipulates its valuation as well as the price of its output. In the pre-commitment equilibrium the firm’s output and labour demand are decreased,...

Persistent link: https://www.econbiz.de/10005666999

Basic Principles Of Asset Pricing Theory: Evidence From Large-Scale Experimental Financial Markets

Bossaerts, Peter; Plott, Charles - C.E.P.R. Discussion Papers - 2000

-markets model, and the Sharpe-Lintner-Mossin Capital Asset Pricing Model (CAPM). This framework enabled us to measure how far our … discovered swift convergence towards equilibrium prices of Arrow and Debreu's model or the CAPM. This discovery is significant … walk, in favour of stochastic convergence towards CAPM and Arrow-Debreu equilibrium. …

Persistent link: https://www.econbiz.de/10005662411

Existence of solutions and asset pricing bubbles in general equilibrium models.

Mattalia, Claudio - International Centre for Economic Research (ICER) - 2003

This paper analyses the problem represented by the presence of speculative bubbles on asset prices in general equilibrium models. The main results concerning the existence of solutions in intertemporal general equilibrium models are summarized, then the specific problem of asset pricing is...

Persistent link: https://www.econbiz.de/10005577355

Endogenous indeterminacy and volatility of asset prices under ambiguity

Mandler, Michael - In: Theoretical Economics 8 (2013) 3

If agents are ambiguity-averse and can invest in productive assets, asset prices can robustly exhibit indeterminacy in the markets that open after the productive investment has been launched. For indeterminacy to occur, the aggregate supply of goods must appear in precise configurations but the...

Persistent link: https://www.econbiz.de/10010691956

Existence and structure of stochastic equilibria with intertemporal substitution

Bank, Peter; Riedel, Frank - Sonderforschungsbereich 373, Quantifikation und … - 2000

We prove existence of an Arrow-Debreu equilibrium when agents' preferences exhibit local substitution in the sense of Hindy, Huang, and Kreps (1992). Efficient allocations and supporting price functionals are identified and characterized. Under Hindy Huang Kreps preferences, equilibrium price...

Persistent link: https://www.econbiz.de/10010956478

Sunk Investments Lead to Unpredictable Prices

Mailath, George; Postlewaite, Andrew; Samuelson, Larry - Department of Economics, University of Pennsylvania - 2003

We study transactions that require investments before trading in a competitive market, when forward contracts fixing the transaction price are absent. We show that, despite the market being perfectly competitive and subject to arbitrarily little uncertainty, the inability to jointly determine...

Persistent link: https://www.econbiz.de/10005109584

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