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Higher-order dynamics in asset-pricing models with recursive preferences

Pohl, Walter; Schmedders, Karl; Wilms, Ole - 2014

This paper shows that the latest generation of asset pricing models with long-run risk exhibits economically significant nonlinearities, and thus the ubiquitous Campbell--Shiller log-linearization can generate large numerical errors. These errors in turn translate to considerable errors in the...

Persistent link: https://www.econbiz.de/10011293769

On the bimodality of the distribution of the S&P 500’s distortion : empirical evidence and theoretical explanations

Schmitt, Noemi; Westerhoff, Frank H. - 2017

After showing that the distribution of the S&P 500's distortion, i.e. the log difference between its real stock market index and its real fundamental value, is bimodal, we demonstrate that agentbased financial market models may explain this puzzling observation. Within these models, speculators...

Persistent link: https://www.econbiz.de/10011595441

Can heterogeneous agent models explain the alleged mispricing of the S&P 500?

Lux, Thomas - 2020

Tests of excessive volatility along the lines of Shiller (1981) and Leroy and Porter (1981) count among the most convincing pieces of evidence against the validity of the time-honored efficient market hypothesis. Recently, using Shiller s distinction between ex-ante rational (fundamental) price...

Persistent link: https://www.econbiz.de/10012214509

Speculative asset price dynamics and wealth taxes

Mignot, Sarah; Tramontana, Fabio; Westerhoff, Frank H. - 2021

Based on the seminal asset-pricing model by Brock and Hommes (1998), we analytically show that higher wealth taxes increase the risky asset’s fundamental value, enlarge its local stability domain, may prevent the birth of nonfundamental steady states and, if they exist, reduce the risky...

Persistent link: https://www.econbiz.de/10012511346

Asymmetry in stock comovements : an entropy approach

Jiang, Lei; Wu, Ke; Zhou, Guofu - In: Journal of financial and quantitative analysis : JFQA 53 (2018) 4, pp. 1479-1507

Persistent link: https://www.econbiz.de/10011930502

Dynamics of randomness and efficiency in the Indian stock markets

Kumar, S. Sujeesh; Nandamohan, V. - In: International journal of financial markets and derivatives 6 (2018) 4, pp. 287-320

Persistent link: https://www.econbiz.de/10011996872

A non-parametric and entropy based analysis of the relationship between the VIX and S&P 500

Allen, David E.; McAleer, Michael; Powell, Robert; … - In: Journal of risk and financial management : JRFM 6 (2013) 1, pp. 6-30

impact of the Global Financial Crisis. We apply a series of non-parametric based tests utilizing entropy based metrics. These … suggest that the PDFs and CDFs of these two return distributions change shape in various subsample periods. The entropy and MI … relative maximum in the most recent period from 2011 to 2012. The entropy based non-parametric tests of the equivalence of the …

Persistent link: https://www.econbiz.de/10011555743

Term structures of asset prices and returns

Backus, David; Boyarchenko, Nina; Chernov, Mikhail - 2016

We explore the term structures of claims to a variety of cash flows: U.S. government bonds (claims to dollars), foreign government bonds (claims to foreign currency), inflation-adjusted bonds (claims to the price index), and equity (claims to future equity indexes or dividends). Average term...

Persistent link: https://www.econbiz.de/10011457568

Physical approach to elucidate stability and instability issues, and Elliott waves in financial systems: S & P-500 index as case study

Gündüz, Güngör - In: Quantitative finance and economics 5 (2021) 1, pp. 163-197

Persistent link: https://www.econbiz.de/10012586955

Asymmetry in Stock Comovements : An Entropy Approach

Jiang, Lei - 2020

We provide an entropy approach for measuring asymmetric comovement between the return on a single asset and the market …. Moreover, our approach also provides an entropy-based measure of downside asymmetric comovement. In the cross-section of stock …

Persistent link: https://www.econbiz.de/10012856552