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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

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

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

Does Human Capital Risk Explain The Value Premium Puzzle?

Sylvain, Serginio - Volkswirtschaftliche Fakultät, … - 2014

relative Book-to-Market Equity, greater long-run risk exposure for Value firms, and failure of the CAPM. Hence, it replicates …

Persistent link: https://www.econbiz.de/10011110609

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

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

"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

Derivatives and the Efficient Allocation of Price Risks in a General Equilibrium World.

Heal, G. - Graduate School of Business, Columbia University - 1995

Persistent link: https://www.econbiz.de/10005631025

"Which Improves Welfare More: Nominal or Indexed Bond?"

Magill, M.; Quinzii, M. - Economics Department, University of California-Davis - 1995

Persistent link: https://www.econbiz.de/10005631339

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