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Betting against beta
Frazzini, Andrea; Pedersen, Lasse Heje - In: Journal of Financial Economics 111 (2014) 1, pp. 1-25
factor is low. (4) Increased funding liquidity risk compresses betas toward one. (5) More constrained investors hold riskier …
Persistent link: https://www.econbiz.de/10010718732
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The determinants of stock and bond return comovements
Baele, Lieven; Bekaert, Geert; Inghelbrecht, Koen - 2007
dynamics of stock-bond return correlations poorly. Alternative factors, such as liquidity proxies, help explain the residual …
Persistent link: https://www.econbiz.de/10011506640
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The determinants of stock and bond return comovements
Baele, Lieven; Bekaert, Geert; Inghelbrecht, Koen - 2007
dynamics of stock-bond return correlations poorly. Alternative factors, such as liquidity proxies, help explain the residual …
Persistent link: https://www.econbiz.de/10011617371
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Business-Cycle Macroeconomics in an Asset Pricing Financial Economy
Tse, Wai Man - 2020
The paper introduces a portfolio-based Keynesian dynamic stochastic general disequilibrium model. It is an endogenous phase-switching macroeconomic model of risky investment where the rational expectation is applied in the financial market with three financial instruments of stocks, credits, and...
Persistent link: https://www.econbiz.de/10012839941
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How does the economic uncertainty affect asset prices under normal and financial distress times?
Balcilar, Mehmet; Ozdemir, Zeynel Abidin; Ozdemir, Huseyin - 2022
By using a nonlinear VAR model, we investigate whether the response of the US stock and housing markets to uncertainty shocks depends on financial conditions. Our model allows us to change the response of the US financial markets to volatility shocks in periods of normal and financial distress....
Persistent link: https://www.econbiz.de/10013198932
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Asset Pricing with Countercyclical Household Consumption Risk
Constantinides, George M. - 2015
We present evidence that shocks to household consumption growth are negatively skewed, persistent, countercyclical, and drive asset prices. We construct a parsimonious model where heterogeneous households have recursive preferences. A single state variable drives the conditional cross-sectional...
Persistent link: https://www.econbiz.de/10013034190
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How Does the Economic Uncertainty Affect Asset Prices Under Normal and Financial Distress Times?
Balcilar, Mehmet; Ozdemir, Zeynel Abidin; Ozdemir, Huseyin - 2022
By using a nonlinear VAR model, we investigate whether the response of the US stock and housing markets to uncertainty shocks depends on financial conditions. Our model allows us to change the response of the US financial markets to volatility shocks in periods of normal and financial distress....
Persistent link: https://www.econbiz.de/10013406435
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Macroeconomic Disasters and the Equity Premium Puzzle : Are Emerging Countries Riskier?
Horvath, Jaroslav - 2019
Not necessarily. I provide evidence that advanced countries' equity premium and consumption growth differ significantly from those of emerging countries. I then estimate distinct disaster risk parameters for these two country groups. My Bayesian analysis demonstrates that in some aspects...
Persistent link: https://www.econbiz.de/10012902819
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Bubble-driven business cycles
Larin, Benjamin - 2016 - Very preliminary draft
the model to the post-war US economy and the numerical solution show that the model is able to depict plausible bubble …
Persistent link: https://www.econbiz.de/10011422345
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How does contagion affect general equilibrium asset prices?
Branger, Nicole; Kraft, Holger; Meinerding, Christoph - 2013 - This version: March 13, 2013
This paper analyzes the equilibrium pricing implications of contagion risk in a Lucastree economy with recursive … endowment shocks and regime switches. Moreover, contagion risk reduces the risk-free rate by around 0.5%. We also derive … analyze cross-sectional effects of contagion risk qualitatively. We find that heterogeneity among the assets with respect to …
Persistent link: https://www.econbiz.de/10010226025