Showing 1 - 10 of 739,532
In this paper, I build a Dynamic Stochastic General Equilibrium (DSGE) model and estimate it using Bayesian Markov Chain Monte Carlo (MCMC) methods. I use the results in order to examine how asset prices and macroeconomic quantities respond to the di erent shocks in the economy. Fluctuations in...
Persistent link: https://www.econbiz.de/10013121340
In a consumption based asset pricing model one can calculate the volatility of (log-)consumption-growth from the … expected market return and from the risk-free rate. We propose to use the difference between these estimates to measure … ambiguity about consumption volatility. Using a long dataset we show that this measure explains up to 69% of post-war variation …
Persistent link: https://www.econbiz.de/10012926433
greater risk-free rate volatility. But raising the prior uncertainty on dividend growth rates has ambiguous effects on the … a parsimonious set of prior parameters, the model generates a sizeable equity premium and a low risk-free rate even with … a power utility function, low risk aversion, and absence of persistence in growth rates. Raising the prior uncertainty …
Persistent link: https://www.econbiz.de/10013150931
different from zero. Finally, the price of aggregate volatility risk has not been statistically different from zero. Analysis …This paper shows that the relationships between sensitivity to changes in aggregate volatility and expected return on … fifteen-year period. Aggregate volatility betas in the portfolio pre-formation month have not predicted post-formation returns …
Persistent link: https://www.econbiz.de/10012941290
different from zero. Finally, the price of aggregate volatility risk has not been statistically different from zero. These …. Additionally, I present evidence that the price of aggregate volatility risk may be asymmetric …This paper shows that the relationships between sensitivity to changes in aggregate volatility and expected return on …
Persistent link: https://www.econbiz.de/10012979789
variation can resolve several asset-pricing puzzles, including the large countercyclical variation of expected risk premia, the … volatility of the price--dividend ratio, the predictability of cash flows and returns, and the large predictability of returns in … explanatory power of long-run risk asset-pricing models …
Persistent link: https://www.econbiz.de/10012853501
We study a continuous-time pure exchange economy where idiosyncratic cash flow risks are priced via investors' heterogeneous beliefs. Investors perceive idiosyncratic cash flow risks differently through heterogeneous subjective mean growth rates on a firm's cash flow. This impacts equilibrium...
Persistent link: https://www.econbiz.de/10013019887
Building on intuition from the dynamic asset pricing literature, we uncover unobserved risk aversion and fundamental … Germany and the US. We find that the variance premium contains a substantial amount of information about risk aversion whereas … the credit spread has a lot to say about uncertainty. We link our risk aversion and uncertainty estimates to practitioner …
Persistent link: https://www.econbiz.de/10013020862
, such as the market excess return, size, book-to-market, momentum, liquidity, market volatility, and the variance risk … VIX slope risk is approximately 2.5% annually, statistically significant and cannot be explained by other common factors …
Persistent link: https://www.econbiz.de/10013044719
This paper studies the historical time-varying dynamics of risk for individual stocks in the U.S. market. Total risk of … an individual stock is decomposed into two components, systematic risk and idiosyncratic risk, and both components are … studied separately. We start from the historical trend in the magnitude of risk and then turn to the relation between …
Persistent link: https://www.econbiz.de/10012628441