A Consumption Based Model Of Asset Prices The Case Of Partially Observable Aggregate Consumption PDF Download
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Author | : Hossein B. Kazemi |
Publisher | : |
Total Pages | : 16 |
Release | : 1986 |
Genre | : |
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Download A Consumption Based Model of Asset Prices: The Case of Partially Observable Aggregate Consumption Book in PDF, ePub and Kindle
Author | : Joanna Wayland Woos |
Publisher | : |
Total Pages | : 156 |
Release | : 1992 |
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Download Aggregate Consumption and Asset Pricing Book in PDF, ePub and Kindle
Author | : Dirk Krueger |
Publisher | : |
Total Pages | : 28 |
Release | : 2007 |
Genre | : Assets (Accounting) |
ISBN | : |
Download Evaluating Asset Pricing Models with Limited Commitment Using Household Consumption Data Book in PDF, ePub and Kindle
We evaluate the asset pricing implications of a class of models in which risk sharing is imperfect because of limited enforcement of intertemporal contracts. Lustig (2004) has shown that in such a model the asset pricing kernel can be written as a simple function of the aggregate consumption growth rate and the growth rate of consumption of the set of households that do not face binding enforcement constraints. These unconstrained households have lower consumption growth rates than all other households in the economy. We use household data on consumption growth from the U.S. Consumer Expenditure Survey to identify unconstrained households, to estimate the pricing kernel implied by these models and evaluate their performance in pricing aggregate risk. We find that for high values of the relative risk aversion coefficient, the limited enforcement pricing kernel generates a market price of risk that is substantially closer to the data than the one obtained using the standard complete markets asset pricing kernel.
Author | : Douglas T. Breeden |
Publisher | : |
Total Pages | : |
Release | : 2015 |
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Download Consumption-Based Asset Pricing, Part 1 Book in PDF, ePub and Kindle
This article, Part 1 of 2, reviews the classical origins, development, and tests of consumption-based asset pricing theory, focusing mainly on the first two decades from 1976 to 1998. Starting with the original consumption capital asset pricing model (CCAPM) derivations, we review both theory and subsequent tests and provide some new applications. The consumption aggregation theorem and CCAPM are derived, and optimal consumption and portfolio strategies are discussed. The term structure of interest rates is derived from the term structures for expected growth, volatility, and inflation. Time aggregation biases in consumption betas as well as the usefulness of the “consumption-mimicking portfolio” are also derived. In addition to various empirical tests, models and tests of limited participation in asset markets as well as models of incomplete markets are presented. When certain measurement issues are taken into account, the CCAPM performs better than the original CAPM and nearly as well as the Fama-French three-factor model.
Author | : |
Publisher | : |
Total Pages | : 20 |
Release | : 1986 |
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Download a multiperiod asset pricing model with unobservable market portfolio Book in PDF, ePub and Kindle
Author | : Marlynne Beth Fisher Ingram |
Publisher | : |
Total Pages | : 226 |
Release | : 1986 |
Genre | : |
ISBN | : |
Download Equilibrium Modelling of Asset Prices Book in PDF, ePub and Kindle
Author | : Douglas T. Breeden |
Publisher | : |
Total Pages | : |
Release | : 2015 |
Genre | : |
ISBN | : |
Download Consumption-Based Asset Pricing, Part 2 Book in PDF, ePub and Kindle
Following Part 1 of this article, which reviews late-1970s to 1990s classic derivations and tests of the consumption capital asset pricing model, here in Part 2 we review more recent developments, some of which are based on utility functions with non-time-separable preferences. Important second-generation consumption-based asset pricing advances are also reviewed, including models with habit formation and long-run risk. These models give large cyclical changes in relative risk aversion and risk premiums as well as lagged impacts of aggregate consumption changes on risk premiums. We review asset pricing with rare disasters and models focused on consumer spending on durables and real estate, as well as the fraction of spending financed by labor income. The second-generation models discussed have more free parameters and fit the empirical data better than did the first-generation consumption-based asset pricing models.
Author | : Binbin Deng |
Publisher | : |
Total Pages | : 31 |
Release | : 2017 |
Genre | : |
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Download Regime Learning and Asset Prices in a Long-Run Model Book in PDF, ePub and Kindle
This paper tries to draw on the relative merits of both the jump risk models and the long-run risk models with a linkage established by Bayesian learning, in an attempt to improve both asset pricing approaches in producing a better mechanism for understanding asset prices regularities.Rather than treating event risk as direct jumps in the level of aggregate income, we model it as changes in the underlying state of the world, the economic regimes, which affect aggregate consumption and dividend flows through their growth and volatility's dependence on the state.Realistically, information about the state transition is imperfect in this representative agent endowment economy and agents with recursive utility perform Bayesian learning to form and update beliefs about the conditional state arrival in order to make optimal long-run consumption investment decisions. This new learning component to the consumption-based paradigm will generate novel pricing implications through inducing extra covariance to be priced. Specifically, besides the aggregate uncertainty stemming from jump risk exposure, the presence of imperfect learning behavior also generates individual ambiguity. We shall see that such dual channels can help better explain some asset pricing regularities observed, e.g. the dual puzzles, predictability issues, time-varying conditional moments, etc., and shed some new light on the long-run cash flow news approach in asset pricing.
Author | : Gregory William Huffman |
Publisher | : Ann Arbor, Mich. : University Microfilms International |
Total Pages | : 150 |
Release | : 1983 |
Genre | : |
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Download An Overlapping Generations Model of Asset Pricing Book in PDF, ePub and Kindle
Author | : David A. Marshall |
Publisher | : |
Total Pages | : 46 |
Release | : 1994 |
Genre | : Capital |
ISBN | : |
Download The Effect of Costly Consumption Adjustment on Asset Price Volatility Book in PDF, ePub and Kindle