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Risk-Sharing, Investment, and Asset Prices According to Cournot and Arrow-Debreu
Neuhann, Daniel - 2020
. We propose a theory in which differences in preferences, productivity, and risk exposure generate gains from trade, but …
Persistent link: https://www.econbiz.de/10012850362
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The Impact of Uncertainty Shocks on the Cross-Section of Returns
Koh, Woo Hwa - 2017
(CAPM) cannot explain this pattern, which is called the value premium puzzle. This study shows that uncertainty shocks can … augmented with time-varying uncertainty accounts for both the value premium and the empirical failure of the CAPM. This study …
Persistent link: https://www.econbiz.de/10012965668
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The Resolution of Long-Run Risk
Pidkuyko, Myroslav - 2019
Long-run risk models, a cornerstone in the macro-finance literature for their ability to capture key asset price phenomena, are known to entail implausibly high levels of timing and risk premia. Our paper resolves this puzzle by considering consumption of durable goods in addition to that of...
Persistent link: https://www.econbiz.de/10012888849
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Financial Distress and Macroeconomic Risks
Athreya, Kartik; Mather, Ryan; Mustre-del-Rio, Jose; … - 2021
The goal of this paper is to show that household-level financial distress (FD) varies greatly, meaning there is unequal exposure to macroeconomic risk, and that FD can increase macroeconomic vulnerability. To do this, we first establish three facts: (i) regions in the U.S. vary significantly in...
Persistent link: https://www.econbiz.de/10013322291
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Asset Pricing and Risk Sharing Implications of Alternative Pension Plan Systems
Coimbra, Nuno; Gomes, Francisco; Michaelides, Alexander; … - 2023
We show that incorporating defined benefit pension funds in an asset pricing model with incomplete markets improves its ability to jointly match the historical equity premium and riskless rate, and has important implications for risk sharing. We emphasize the importance of the pension fund's...
Persistent link: https://www.econbiz.de/10014351210
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Consumption Risk, Stock Returns, and Economic Cycles
Atanasov, Victoria - 2023
We decompose the standard consumption beta into two components that measure consumption risk in high and low economic activity states. Recessionary consumption risk commands a positive and statistically significant compensation, while the market price of expansionary consumption risk is not...
Persistent link: https://www.econbiz.de/10014265286
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Consumption Risk, Preference Heterogeneity and Asset Prices
Curatola, Giuliano - 2014
This paper proposes a pure-exchange economy with three key ingredients: habit formation, stochastic moments of aggregate consumption, and a small degree of heterogeneity in risk aversion consistent with empirical data. We obtain closed formulas for many equilibrium quantities, including the...
Persistent link: https://www.econbiz.de/10013068369
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A Theory of Managerial Compensation and Taxation with Endogenous Risk
Korpeoglu, C. Gizem - 2017
We study the impact of endogenous shocks driven by collective actions of managers. We analyze how such endogenous … allocation is suboptimal because of the externalities in managers' wages and in equity market. We establish that a socially … optimal allocation can be achieved if the planner imposes wage taxes (or subsidies) on managers and equity taxes. Our results …
Persistent link: https://www.econbiz.de/10012970144
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Changes in risk and asset prices
Schlesinger, Harris; Gollier, Christian - 2001
We examine asset prices in a representative-agent model of general equilibrium. Assuming only that individuals are risk averse, we determine conditions on the changes in asset risk that are both necessary and sufficient for the asset price to fall. We show that these conditions neither imply,...
Persistent link: https://www.econbiz.de/10011398103
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Asset Pricing with Long Run Risk and Stochastic Differential Utility : An Analytic Approach
Chen, Yu - 2009
The analytic method of Chen, Cosimano, and Himonas (CCH 2009) is extended to prove that the continuous time version of the long run risk model of Bansal and Yaron (2004) has an analytic solution. The long run risk model is dependent on the recursive utility introduced by Duffie and Epstein...
Persistent link: https://www.econbiz.de/10013154929