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Asset Pricing in Production Economies with Learning About Rare Disasters
Niu, Yingjie - 2020
In rare disaster models, it is a major challenge to generate large equity premium and low risk-free rate by imposing realistic consumption jump size. This paper addresses this issue based on a dynamic general equilibrium production economy with learning about rare disasters. Essentially, the...
Persistent link: https://www.econbiz.de/10012831815
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The collateralizability premium
Ai, Hengjie; Li, Jun E.; Li, Kai; Schlag, Christian - 2019
A common prediction of macroeconomic models of credit market frictions is that the tightness of financial constraints is countercyclical. As a result, theory implies a negative collateralizability premium; that is, capital that can be used as collateral to relax financial constraints provides...
Persistent link: https://www.econbiz.de/10012113782
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On the Stock Market Variance-Return or Price Relations : A Tale Of Two Variances
Guo, Hui - 2019
Stock market variance-return or price relations are sometimes negative and sometimes positive. We explain these puzzling findings using a model with two ("bad" and "good") variances. In the model, conditional equity premium depends positively on bad variance and negatively on good variance....
Persistent link: https://www.econbiz.de/10012899693
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Regime Shifts in a Long-run Risks Model of U.S. Stock and Treasury Bond Markets
Li, Kai; Xu, Chenjie - 2022
consumption and inflation dynamics. In particular, the means, volatilities, and the correlation structure between consumption … growth and inflation are regime-dependent. This general equilibrium framework can not only generate sign-switching stock …
Persistent link: https://www.econbiz.de/10013405156
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Explaining Momentum Strategies Using Intrinsic Price Fluctuations
Baltas, Nick - 2012
This paper focuses on cross-sectional equity momentum patterns by modeling a stock's price path as the interaction between a long-term growth component and a number of fluctuating price components that oscillate around the long-term trend at various distinct frequencies. Using this...
Persistent link: https://www.econbiz.de/10013114193
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The Common Factor in Idiosyncratic Volatility : Quantitative Asset Pricing Implications
Herskovic, Bernard - 2015
We show that firms' idiosyncratic volatility obeys a strong factor structure and that shocks to the common factor in … idiosyncratic volatility (CIV) are priced. Stocks in the lowest CIV-beta quintile earn average returns 5.4% per year higher than … heterogeneous-agent model. In the model, CIV is a priced state variable because an increase in idiosyncratic firm volatility raises …
Persistent link: https://www.econbiz.de/10013036287
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Common Idiosyncratic Volatility and Carry Trade Returns
Tessari, Cristina - 2020
common idiosyncratic volatility (CIV) factor, defined as the equally weighted average of the idiosyncratic volatilities in … foreign exchange (FX) volatility risk. Furthermore, CIV risk is correlated with cross-country income risk faced by households …
Persistent link: https://www.econbiz.de/10014352064
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Facts and fantasies about gold
Klement, Joachim - In: Journal of risk & control 1 (2014) 1, pp. 1-12
Persistent link: https://www.econbiz.de/10010509214
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Price dividend models, expectations formation, and monetary policy
Valckx, Nico (contributor) - 2003
Persistent link: https://www.econbiz.de/10001756374
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Inflation risk premia, yield volatility and macro factors
Berardi, Andrea; Plazzi, Alberto - 2018
and implied volatility of T-bonds and survey forecasts of GDP growth and inflation. We find relatively stable inflation …We incorporate a latent stochastic volatility factor and macroeconomic expectations in an affine model for the term … risk premia averaging at 40bps at the long-end, and which are strongly related to the volatility factor and conditional …
Persistent link: https://www.econbiz.de/10011877284