Equilibrium asset-pricing models with time-varying expected economic growth have been criticized for their apparent inability to generate an upward-sloping yield curve and downward-sloping term structures of equity risk and risk premium. We theoretically investigate the model-implied equilibrium...

Italian abstract: L'obiettivo è spiegare in maniera succinta l'asset pricing nell'ipotesi di mercati completi. Dopo aver dato notazioni e definizioni, viene esposto il Terema fondamentale dell'Asset Pricing, il Risk-Neutral Pricing e le condizioni di non-arbitraggio. Date queste nozioni, il...

We propose a two-country model with heterogeneous beliefs to understand the forward premium puzzle. Facing a shock to the domestic money supply, the disagreement between domestic and foreign investors shifts the relative wealth of investors, which moves the exchange rate and interest rate...

This paper obtains monthly implied volatilities of the New York securities market from 1890 to 1934 from interest rate differentials. The implied volatilities did predict the 1929 crash but no other financial crisis. The historical implied volatilities are similar to their modern (2008-2019)...

We assess the ability of an information aggregation mechanism that operates in the over-the-counter market for financial derivatives to reduce valuation uncertainty among market participants. The analysis is based on a unique dataset of price estimates for S&P 500 index options that major...

This essay envisions a prism-like discovery of an asset's price spectrum. The discovery procedure matches, at a point in time, investors' shared value assessments as the constituent prices of the asset price spectrum. In this perspective, traditional price discovery allowing only a single asset...

This article discusses the microstructure of the U.S. Treasury securities market. Treasury securities are nominally riskless debt instruments issued by the U.S. government. Microstructural analysis is a field of economics/finance that examines the roles played by heterogenous agents,...

Price bubbles remain a puzzle for economic theory, particularly given their appearance in experimental markets with high efficiency and minimized uncertainty and noise. We propose that bubbles are caused by the institutionalization of social norms, when individuals observe and adopt the behavior...

The objective of this paper is to investigate whether infrequent adjustment to information affects the empirical performance of the Consumption Capital Asset Pricing Model. For this purpose, I analyze an economy with a representative investor who observes the changes of one state variable, the...

A Linear Pricing Rule is established for the No Strong Arbitrage Principle (NSAP) in a finite state, single period asset pricing model. The (NSAP) condition is a statement about the inconsistency of a particular system of linear inequalities. The novelty here lies in the use of the...