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Prices as Factors: Approximate Aggregation with Incomplete Markets

Telmer, Chris I; Zin, Stanley E. - 2000

kernel that depends on returns, as in the CAPM or the APT, can accurately price assets. In this sense, theory based on …

Persistent link: https://www.econbiz.de/10009441191

Essays in cross-sectional asset pricing

Cederburg, Scott Hogeland - 2011

returns. The finance literature has uncovered several potential failings of the Capital Asset Pricing Model (CAPM). I … investigate the ability of additional risk factors, which are not considered by the CAPM, to explain these problems. In particular … to refine and reassess the cross-sectional evidence against the CAPM.In the first chapter, I test the cross …

Persistent link: https://www.econbiz.de/10009466087

General equilibrium restrictions for dynamic factor models

Antonio Liedo, David de - 2010

This paper proposes the use of dynamic factor models as an alternative to the VAR-based tools for the empirical validation of dynamic stochastic general equilibrium (DSGE) theories. Along the lines of Giannone et al. (2006), we use the state-space parameterisation of the factor models proposed...

Persistent link: https://www.econbiz.de/10012530279

A model for vast panels of volatilities

Luciani, Matteo; Veredas, David - 2012

Realized volatilities, when observed over time, share the following stylised facts: comovements, clustering, long-memory, dynamic volatility, skewness and heavy-tails. We propose a dynamic factor model that captures these stylised facts and that can be applied to vast panels of volatilities as...

Persistent link: https://www.econbiz.de/10012530396

Oil Prices and Long-Run Risk

READY, ROBERT - 2011

I show that relative levels of aggregate consumption and personal oil consumption provide anexcellent proxy for oil prices, and that high oil prices predict low future aggregate consumptiongrowth. Motivated by these facts, I add an oil consumption good to the long-run risk model of Bansal and...

Persistent link: https://www.econbiz.de/10009438584

Consumption Volatility Risk

Boguth, Oliver; Kuehn, Lars-Alexander - 2009

consumption CAPM based on realized consumption growth, little is known about how the time-variation of consumption growth …

Persistent link: https://www.econbiz.de/10009440955

Are Accounting Standards Diversifiable? Evidence of the Aggregate Valuation Effects of Standards

Jorgensen, Bjorn N.; Li, Jing; Sadka, Gil - 2009

Prior research documents that individual stock returns respond to earnings differently under new accounting standards, regulations, or changes in enforcement. This paper examines whether this result extends to the aggregate stock market. We take a macro perspective and study the properties of...

Persistent link: https://www.econbiz.de/10009441198

Asset Pricing with Idiosyncratic Risk and Overlapping Generations

Storesletten, Kjetil; Telmer, Chris I; Yaron, Amir - 2007

What is the effect of non-tradeable idiosyncratic risk on asset-market risk premiums? Constantinides and Duffie (1996) and Mankiw (1986) have shown that risk premiums will increase if the idiosyncratic shocks become more volatile during economic contractions. We add two important ingredients to...

Persistent link: https://www.econbiz.de/10009441309

Implied Equity Duration: A New Measure of Equity Risk

Dechow, Patricia M.; Sloan, Richard G.; Soliman, Mark T. - 2004

Duration is an important and well-established risk characteristic for fixed income securities. We use recent developments in financial statement analysis research to construct a measure of duration for equity securities. We find that the standard empirical predictions and results for fixed...

Persistent link: https://www.econbiz.de/10009477256

Agricultural Arbitrage, Adjustment Costs, and the Intensive Margin

Tack, Jesse B.; LaFrance, Jeffrey T. - 2010

Farmland and capital are an important and rapidly expanding component of the agriculturaleconomy, and empirical evidence suggests that these assets are quasi-fixed in that adjustment costs are incurred when holdings are altered. Increased interest in the rate of return for investing in farmland...

Persistent link: https://www.econbiz.de/10009446523