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Endogenous Habits and Equilibrium Asset Prices

Kraft, Holger; Meyer-Wehmann, André; Seifried, Frank Thomas - 2021

We study a two-agent equilibrium model with two goods where we interpret the agents as countries. We analyze the effect of an endogenous habit specification where each country benchmarks its consumption decision against the decision of the other country. We show that endogenous habits can...

Persistent link: https://www.econbiz.de/10013220218

Digesting Three-Factor Model by XGBoost and SHAP

Huang, Weige - 2021

This paper innovatively digests three-factor model by exploring the average impacts of factors on portfolio returns and how factors interact with each other. To do this, we use SHapley Additive exPlanations method (SHAP) to interpret the results obtained by XGBoost. We find that the factors have...

Persistent link: https://www.econbiz.de/10013239727

Long-run productivity risk : a new hope for production-based asset pricing?

Croce, Mariano M. - In: Journal of monetary economics 66 (2014), pp. 13-31

Persistent link: https://www.econbiz.de/10010482383

Uncertainty, risk, and capital growth

Segal, Gill; Shaliastovich, Ivan - 2023

We find that high macroeconomic uncertainty is associated with greater accumulation of physical capital, despite a … reduction in investment and valuations. To reconcile this puzzling evidence, we show that uncertainty predicts lower … a quantitative production-based model in which firms implement precautionary savings through reducing utilization rather …

Persistent link: https://www.econbiz.de/10014283744