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"This paper incorporates a time-varying intensity of disasters in the Rietz-Barro hypothesis that risk premia result from the possibility of rare, large disasters. During a disaster, an asset's fundamental value falls by a time-varying amount. This in turn generates time-varying risk premia and...
Persistent link: https://www.econbiz.de/10003627561
Persistent link: https://www.econbiz.de/10009544374
This paper incorporates a time-varying intensity of disasters in the Rietz-Barro hypothesis that risk premia result from the possibility of rare, large disasters. During a disaster, an asset's fundamental value falls by a time-varying amount. This in turn generates time-varying risk premia and...
Persistent link: https://www.econbiz.de/10012464923
Crises in financial markets affect humans worldwide. Detailed market data on trading decisions reflect some of the complex human behavior that has led to these crises. We suggest that massive new data sources resulting from human interaction with the Internet may offer a new perspective on the...
Persistent link: https://www.econbiz.de/10013064020
Persistent link: https://www.econbiz.de/10003730014
Persistent link: https://www.econbiz.de/10003445022
Persistent link: https://www.econbiz.de/10003240462
quot;Limits of Arbitragequot; theories hypothesize that the marginal investor in a particular asset market is a specialized arbitrageur rather than a diversified representative investor. We examine the mortgage-backed securities (MBS) market in this light. We show that the risk of homeowner...
Persistent link: https://www.econbiz.de/10012783341
We develop a framework to theoretically and empirically analyze the fluctuations of the aggregate stock market. Households allocate capital to institutions, which are fairly constrained, for example operating with a mandate to maintain a fixed equity share or with moderate scope for variation in...
Persistent link: https://www.econbiz.de/10012585451
"Limits of Arbitrage" theories hypothesize that the marginal investor in a particular asset market is a specialized arbitrageur rather than a diversified representative investor. We examine the mortgage-backed securities (MBS) market in this light. We show that the risk of homeowner prepayment,...
Persistent link: https://www.econbiz.de/10012466820