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Equilibrium driven by discounted dividend volatility
Cvitanić, Jakša; Malamud, Semyon - 2009
We derive representations for the stock price drift and volatility in the equilibrium of agents with arbitrary …, intrinsic characteristic of the aggregate dividend process that we call the "rate of discounting volatility" and show that, in … equilibrium, the size of market price of risk is determined by the market price of discounted dividend volatility (DDV …
Persistent link: https://www.econbiz.de/10003971106
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Ambiguous Information, Portfolio Inertia, and Excess Volatility
Illeditsch, Philipp K. - 2011
ambiguity leads to portfolio inertia and excess volatility. Specifically, when news is surprising, then investors may not react … volatility …
Persistent link: https://www.econbiz.de/10013133587
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Portfolio Inertia and Stock Market Fluctuations
Bilias, Yannis - 2009
Existing studies of household stock trading using administrative data offer conflicting results: Discount brokerage accounts exhibit excessive trading, while retirement accounts show inactivity. This paper uses population-wide data from PSID and SCF to examine the overall extent of household...
Persistent link: https://www.econbiz.de/10013155758
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Does smooth ambiguity matter for asset pricing?
Gallant, A. Ronald; Jahan-Parvar, Mohammad R.; Liu, Hening - 2018
-varying volatility are preferred to the long-run risk model. We analyze asset pricing implications of the estimated models …
Persistent link: https://www.econbiz.de/10011780610
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Dynamic option-based strategies under downside loss averse preferences
Jalal, Amine (contributor) - 2007
loss aversion. The problem is solved in closed form when the stock market exhibits stochastic volatility and jumps. The …
Persistent link: https://www.econbiz.de/10003550865
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The Information Risk Drivers - 15 Years of Analysis to Support a Risk Premia Modelling
Mantovani, Guido Max - 2012
Information risk is an endogenous element of the market dynamics that can be independent from contingent levels of market efficiency. Being structural, it may require to be remunerated by a specific risk premia or by returns from specific portfolio strategies. Drivers of information risk are...
Persistent link: https://www.econbiz.de/10013116526
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Aggregate Idiosyncratic Volatility, Dynamic Aspects of Loss Aversion, and Narrow Framing
Hur, Jungshik - 2015
volatility is negatively associated with unrealized gains of stock returns. Moreover, we show that this negative relationship is … et al (2010) eliminates the significance of retail trading proportions as a driver of idiosyncratic volatility. These … unrealized gains of stock returns on idiosyncratic volatility …
Persistent link: https://www.econbiz.de/10013015494
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Stochastic dominance : convexity and some efficiency tests
Lizyayev, Andrey M. - 2009
This paper points out the importance of Stochastic Dominance (SD) efficient sets being convex. We reviewclassic convexity and efficient set characterization results on SD efficiency of a given portfolio relative to adiversified set of assets and generalize them in the following aspects. First,...
Persistent link: https://www.econbiz.de/10011379506
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Risk aversion under preference uncertainty
Kräussl, Roman; Lucas, André; Siegmann, Adriaan Hendrik - 2010
We show that if an agent is uncertain about the precise form of his utility function, his actual relative risk aversion may depend on wealth even if he knows his utility function lies in the class of constant relative risk aversion (CRRA) utility functions. We illustrate the consequences of this...
Persistent link: https://www.econbiz.de/10011382430
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Liquidation with self-exciting price impact
Cayé, Thomas; Muhle-Karbe, Johannes - 2014
We study optimal execution with "self-exciting" price impact, where persistent trades not only incur price impact but also increase the execution costs for successive orders. This model is motivated by an equilibrium between fundamental sellers, market makers, and end users. For risk-neutral...
Persistent link: https://www.econbiz.de/10011293738