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Agarwal, Saurabh - 2018

The study tries to practically use the widely taught Capital Asset Pricing Model (CAPM) model for making investment … decisions on Bombay Stock Exchange (BSE) –500 Index. Using CAPM, the study tries to investigate whether securities on BSE 500 … be useful to institutional investors, portfolio managers and retail investors …

Persistent link: https://www.econbiz.de/10012910685

International capital markets with time-varying preferences

Curatola, Giuliano; Dergunov, Ilya - 2017

We propose a 2-country asset-pricing model where agents' preferences change endogenously as a function of the popularity of internationally traded goods. We determine the effect of the time-variation of preferences on equity markets, consumption and portfolio choices. When agents are more...

Persistent link: https://www.econbiz.de/10011698927

The cyclical dynamics of illiquid housing, debt, and foreclosures

Hedlund, Aaron - In: Quantitative economics : QE ; journal of the … 7 (2016) 1, pp. 289-328

This paper quantitatively accounts for the cyclical dynamics of key macroeconomic housing and mortgage market variables using a tractable, searchtheoretic model of housing with equilibrium mortgage default. To explain these dynamics, the model highlights the importance of liquidity spirals that...

Persistent link: https://www.econbiz.de/10011798986

Shifts in Sectoral Wealth Shares and Risk Premia : What Explains Them?

Bansal, Ravi - 2017

We empirically show across several broad asset classes that sectoral wealth shares do not positively correlate with their risk premia---a first-order prediction of canonical equilibrium models. We then analyze the roles mean-variance and hedging demand play in accounting for sectoral shifts...

Persistent link: https://www.econbiz.de/10012957172

Illiquidity and its Discontents : Trading Delays and Foreclosures in the Housing Market

Hedlund, Aaron - 2015

This paper investigates the macroeconomic effects of search risk in the housing market. To do so, I introduce a tractable directed search model of housing with multidimensional buyer and seller heterogeneity. I incorporate this framework in an incomplete markets macroeconomic model with...

Persistent link: https://www.econbiz.de/10013037619

The Macroeconomics of Financial Speculation

Simsek, Alp - 2021

I review the literature on financial speculation driven by belief disagreements from a macroeconomics perspective. To highlight unifying themes, I develop a stylized macroeconomic model that embeds several mechanisms. With short-selling constraints, speculation can generate overvaluation and...

Persistent link: https://www.econbiz.de/10013238441

Where's the Kink? Disappointment Events in Consumption Growth and Equilibrium Asset Prices

Delikouras, Stefanos - 2017

I propose a consumption-based asset pricing model with disappointment aversion to investigate the link between downside consumption risk and expected returns across asset markets. I find that the disappointment model can explain 95% of the cross-sectional variation in size/book-to-market...

Persistent link: https://www.econbiz.de/10012975016

Recursive Utility and the Equity Premium Puzzle : A Discrete-Time Approach

Aase, Knut K. - 2015

We study the Epstein-Zin model with recursive utility. Recognizing that recursive preferences implies that the underlying model is not Markovian, we use methods not depending upon the Markov property to solve the model. We work with the returns directly, which we approximate by Taylor series...

Persistent link: https://www.econbiz.de/10013024734

Recursive Utility and Jump-Diffusions

Aase, Knut K. - 2015

We derive the equilibrium interest rate and risk premiums using recursive utility for jump-diffusions. Compared to to the continuous version, including jumps allows for a separate risk aversion related to jump size risk in addition to risk aversion related to the continuous part. The jump part...

Persistent link: https://www.econbiz.de/10013029156

Asset Pricing With and Without Garbage : Resurrecting Aggregate Consumption

Delikouras, Stefanos - 2019

This paper challenges the view that alternative consumption measures (garbage, fourth quarter, unfiltered consumption) can address the shortcomings of consumption-based asset pricing. When the CRRA model is confronted with the cross-section of asset returns and the risk-free rate volatility, the...

Persistent link: https://www.econbiz.de/10012866967

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