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Asset price volatility and efficient discrimination in credit market equilibrium

Nickerson, David B. - In: The international journal of business and finance … 10 (2016) 4, pp. 91-101

Persistent link: https://www.econbiz.de/10011621287

The Theory of Higher Order Lognormal Cascade Distribution and the Origin of Fat Tails in the Fluctuations of Stock Market

Lihn, Stephen H.T. - 2009

This working paper presents the general theory of the higher order "skew lognormal cascade distribution" as a … market index, and the market entropy of the stock market. Such study in the context of stochastic portfolio theory reveals … distribution, which is the lognormal cascade equation in our theory. This shows that the fluctuations of the market index are a …

Persistent link: https://www.econbiz.de/10013159227

Equilibrium portfolio strategies in the presence of sentiment risk and excess volatility

Dumas, Bernard; Kurshev, Alexander; Uppal, Raman - 2007

Our objective is to identify the trading strategy that would allow an investor to take advantage of excessive stock price volatility and sentiment fluctuations. We construct a general-equilibrium model of sentiment. In it, there are two classes of agents and stock prices are excessively volatile...

Persistent link: https://www.econbiz.de/10003961073

Equilibrium Asset Prices and the Wealth Distribution with Inattentive Consumers

Finocchiaro, Daria - 2011

This paper studies the effects of heterogeneity in planning propensity on wealth inequality and asset prices. I consider an economy populated by "attentive" and "inattentive" agents. Attentive agents plan their consumption period by period, while inattentive agents plan every other period....

Persistent link: https://www.econbiz.de/10013132502

Does Large Volatility Help? — Stochastic Population Forecasting Technology in Explaining Real Estate Price Process

Han, Xuehui - 2012

This paper investigates the association between real estate demand and the volatility of population changes. In a financial liberalized housing market, the housing mortgage loan implies insurance function to homeowners through the default option. Larger expected volatilities in the population...

Persistent link: https://www.econbiz.de/10013108501

Volatility as a Choice

Dudek, Maciej Konrad - 2013

Human beliefs, while always remaining in equilibrium, serve as a an equilibrium selector and determine the degree of aggregate volatility. Fully rational and risk averse economic agents expect macro-level dynamics to be characterized by a specific degree of volatility. Given this expectation the...

Persistent link: https://www.econbiz.de/10013082991

Is Liquidity Largely Unpriced While Market Volatility is Systematically Priced?

Levy, Andre - 2016

We show in a fairly general setting of a buyer and seller with the same preferences trading two related assets so as to share volatility risk that illiquidity and virtually all impediments to trade cannot be priced. This is because the buying and selling counterparties must both be optimizing....

Persistent link: https://www.econbiz.de/10013001416

Life Cycle Goal Achievement or Portfolio Volatility Reduction?

Dempster, M. A. H. - 2019

This paper is concerned with the use of currently available technology to provide individuals, financial advisors and pension fund financial planners with detailed prospective financial plans tailored to an individual's financial goals and obligations. By taking account of all prospective cash...

Persistent link: https://www.econbiz.de/10012904379

Asset pricing in OLG economies with borrowing constraints and idiosyncratic income risk

Harenberg, Daniel - 2018

This paper analyzes how the combination of borrowing constraints and idiosyncratic risk affects the equity premium in an overlapping generations economy. I find that introducing a zero-borrowing constraint in an economy without idiosyncratic risk increases the equity premium by 70 percent, which...

Persistent link: https://www.econbiz.de/10011900994

Is Market Volatility Systematically Priced While Illiquidity Is Only Priced on the Down-Side?

Swan, Peter L. - 2016

I show in a setting of a buyer and seller with the same preferences trading two related assets so as to share volatility risk that illiquidity and virtually all impediments to trade cannot be priced in the absence of excess short-selling costs. This is because the buyer values the asset at the...

Persistent link: https://www.econbiz.de/10012998134

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