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Anomalies
Li, Erica X. N. - 2010
We take a simple q-theory model and ask how well it can explain external financing anomalies, both qualitatively and …
Persistent link: https://www.econbiz.de/10013149934
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The Capital Asset Pricing Model as Modern Austrian Macroeconomics : Theory and Policy
Krainer, Robert - 2022
According to Austrian macroeconomic theory, capital accumulation today generates supply tomorrow. Will that supply …
Persistent link: https://www.econbiz.de/10014236621
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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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Implications of Return Predictability for Consumption Dynamics and Asset Pricing
Favero, Carlo A. - 2018
Two broad classes of consumption dynamics - long-run risks and rare disasters - have proven successful in explaining the equity premium puzzle when used in conjunction with recursive preference. We show that bounds a-la Gallant, Hansen and Tauchen (1990) that restrict the volatility of the...
Persistent link: https://www.econbiz.de/10012938615
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Does Q-Theory with Investment Frictions Explain Anomalies in the Cross-Section of Returns?
Li, Dongmei - 2011
Q-theory predicts that investment frictions steepen the relation between expected returns and firm investment. Using … constrained firms. There is no evidence that q-theory with investment frictions explains the investment growth, net stock issues …, abnormal corporate investment, or net operating assets anomalies. Limits-to-arbitrage proxies dominate q-theory with investment …
Persistent link: https://www.econbiz.de/10013133882
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Fundamental Anomalies
Li, Erica X. N.; Ma, Guoliang; Wang, Shujing; Yu, Cindy - 2021
This paper examines to what extent stock market anomalies are driven by firm fundamentals in an investment-based asset pricing framework. Using Bayesian Markov Chain Monte Carlo (MCMC), we estimate a two-capital q-model to match firm-level stock returns, instead of matching portfolio-level...
Persistent link: https://www.econbiz.de/10013245422
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Discount shock, price-rent dynamics, and the business cycle
Miao, Jianjun; Wang, Pengfei; Zha, Tao - 2020
The price-rent ratio in commercial real estate is highly volatile, and its variation comoves with the business cycle. To account for these two facts, we develop a dynamic general equilibrium model that explicitly introduces a rental market and incorporates the liquidity constraint on an...
Persistent link: https://www.econbiz.de/10012219582
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Wage rigidity : a solution to several asset pricing puzzles
Favilukis, Jack; Lin, Xiaoji - 2012
In standard production models wage volatility is far too high and equity volatility is far too low. A simple modification - sticky wages due to infrequent resetting together with a CES production function - leads to both (i) smoother wages and (ii) higher equity volatility. Furthermore, the...
Persistent link: https://www.econbiz.de/10009625907
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Testing Habits in an Asset Pricing Model
d'Addona, Stefano - 2012
We develop an asset pricing model with external habit formation. The model predicts that the effect of consumption shocks on the equity premium depends on the business cycle. We test this empirical implication using a VAR model of the U.S. postwar economy whose parameters are estimated...
Persistent link: https://www.econbiz.de/10013109086
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Business-Cycle Macroeconomics in an Asset Pricing Financial Economy
Tse, Wai Man - 2020
-monetarist-Keynesian Quantity Theory of Money. Whereas the classics and Keynesian differ on equilibrium versus disequilibrium, it justifies the …
Persistent link: https://www.econbiz.de/10012839941