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Meta-Communication and Market Dynamics. Reflexive Interactions of Financial Markets and the Mass Media
Schuster, Thomas - EconWPA - 2003
A widely held belief in financial economics suggests that stock prices always adequately reflect all available information. Price movements away from fundamentals are assumed to occur only infrequently, if at all. „False“ prices are supposed to be corrected by the counter-actions of...
Persistent link: https://www.econbiz.de/10005134753
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Basic Principles Of Asset Pricing Theory: Evidence From Large-Scale Experimental Financial Markets
Bossaerts, Peter; Plott, Charles - C.E.P.R. Discussion Papers - 2000
propositions of modern asset pricing theory, namely, that the interaction between risk averse agents in a competitive market leads …-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 …
Persistent link: https://www.econbiz.de/10005662411
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A Simple Characterization of Dynamic Completeness in Continuous Time
Diasakos, Theodoros M. - Collegio Carlo Alberto, Università degli Studi di Torino - 2011
I establish a necessary and sufficient condition for the securities' market to be dynamically-complete in a single-commodity, pure-exchange economy with many Lucas' trees whose dividends are geometric Brownian motions. Even though my analysis is based upon the representative-agent version of...
Persistent link: https://www.econbiz.de/10009320155
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Economic Activity of Firms and Asset Prices
Kogan, Leonid; Papanikolaou, Dimitris - In: Annual Review of Financial Economics 4 (2012) 1, pp. 361-384
In this review we survey the recent research on the fundamental determinants of stock returns. These studies explore how firms' systematic risk and their investment and production decisions are jointly determined in equilibrium. Models with production provide insights into several types of...
Persistent link: https://www.econbiz.de/10010603965
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"Which Improves Welfare More: Nominal or Indexed Bond?"
Magill, M.; Quinzii, M. - California Davis - Institute of Governmental Affairs - 1995
Persistent link: https://www.econbiz.de/10005774129
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Financial Leverage Does Not Cause the Leverage Effect
Aydemir, A. Cevdet; Gallmeyer, Michael; Hollifield, Burton - Society for Economic Dynamics - SED - 2006
We quantify the effect of financial leverage on stock return volatility in a dynamic general equilibrium economy with debt and equity claims. We study the effects of financial leverage on the market portfolio, and on a small firm with idiosyncratic and market risk. In an economy with both a...
Persistent link: https://www.econbiz.de/10004977944
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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 …
Persistent link: https://www.econbiz.de/10005002278
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Comparative Statics of Asset Prices
Diasakos, Theodoros - Collegio Carlo Alberto, Università degli Studi di Torino - 2008
In a single-commodity, pure-exchange, representative-agent economy with many Lucas' trees whose dividends are geometric Brownian motions, I study the comparative statics of the prices of these assets with respect to the current Brownian realization. As is well-known, due to wealth effects, a...
Persistent link: https://www.econbiz.de/10005094048
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Growth Options in General Equilibrium: Some Asset Pricing Implications
Hugonnier, Julien; Morellec, Erwan; Sundaresan, Suresh - Swiss Finance Institute - 2005
We develop a general equilibrium model of a production economy which has a risky production technology as well as a growth option to expand the scale of the productive sector of the economy. We show that when confronted with growth options, the representative consumer may sharply alter...
Persistent link: https://www.econbiz.de/10005612048
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Growth to value: Option exercise and the cross section of equity returns
Ai, Hengjie; Kiku, Dana - In: Journal of Financial Economics 107 (2013) 2, pp. 325-349
model (CAPM) prediction. The model also quantitatively accounts for the pattern in mean returns on book-to-market sorted … portfolios, the magnitude of the CAPM-alphas, and other stylized features of the cross-sectional data. …
Persistent link: https://www.econbiz.de/10010616813