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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

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

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

On the destabilizing nature of capital gains taxes

Dieci, Roberto; Gardini, Laura; Westerhoff, Frank H. - In: International review of financial analysis 83 (2022), pp. 1-13

Persistent link: https://www.econbiz.de/10013455191

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

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

Demography and Equity Premium

Kuhle, Wolfgang - 2021

This article comprises a tractable two-generations-overlapping, stochastic, neoclassical production economy, where government bonds are in positive net supply. In this framework we show that the entrance of larger (smaller) cohorts into the labor market will lead to an increase (decrease) in the...

Persistent link: https://www.econbiz.de/10013221774

Heterogeneous-Agent Asset Pricing

Paron, James D. - 2021

This paper studies the importance of idiosyncratic endowment shocks for aggregate asset prices in continuous time. My generalized framework accommodates jumps and heterogeneous recursive preferences. I show that countercyclical cross-sectional risk is irrelevant to risk premia if and only if all...

Persistent link: https://www.econbiz.de/10013237723

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

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