Asset Return Dynamics Under Habits And Bad Environment Good Environment Fundamentals PDF Download
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Author | : Geert Bekaert |
Publisher | : |
Total Pages | : |
Release | : 2015 |
Genre | : |
ISBN | : |
Download Asset Return Dynamics Under Habits and Bad Environment-good Environment Fundamentals Book in PDF, ePub and Kindle
Author | : Geert Bekaert |
Publisher | : |
Total Pages | : 82 |
Release | : 2019 |
Genre | : |
ISBN | : |
Download Asset Return Dynamics Under Habits and Bad-Environment-Good Environment Fundamentals Book in PDF, ePub and Kindle
We introduce a “bad environment-good environment” (BEGE) technology for consumption growth in a consumption-based asset pricing model with external habit formation. The model generates realistic non-Gaussian features of consumption growth and fits standard salient features of asset prices including the means and volatilities of equity returns and a low risk free rate. BEGE dynamics additionally allow the model to generate realistic properties of equity index options prices, and their comovements with the macroeconomic outlook. In particular, when option-implied volatility is high, as measured for instance by the VIX index, the distribution of consumption growth is more negatively skewed.
Author | : Geert Bekaert |
Publisher | : |
Total Pages | : 50 |
Release | : 2014 |
Genre | : |
ISBN | : |
Download Asset Return Dynamics Under Bad Environment-Good Environment Fundamentals Book in PDF, ePub and Kindle
We introduce a "bad environment-good environment" technology for consumption growth in a consumption-based asset pricing model. Using the preference structure from Campbell and Cochrane (1999), the model generates realistic time-varying volatility, skewness and kurtosis in fundamentals while still permitting closed-form solutions for asset prices. The model not only fits standard salient asset prices features including means and volatilities for equity returns and risk free rates, but also generates a realistic variance premium and option prices.
Author | : Geert Bekaert |
Publisher | : |
Total Pages | : 50 |
Release | : 2009 |
Genre | : Assets (Accounting) |
ISBN | : |
Download Asset return dynamics under bad environment-good environment fundamentals Book in PDF, ePub and Kindle
We introduce a "bad environment-good environment" technology for consumption growth in a consumption- based asset pricing model. Using the preference structure from Campbell and Cochrane (1999), the model generates realistic time-varying volatility, skewness and kurtosis in fundamentals while still permitting closed-form solutions for asset prices. The model not only fits standard salient asset prices features including means and volatilities for equity returns and risk free rates, but also generates a realistic variance premium and option prices.
Author | : Julian Veil |
Publisher | : GRIN Verlag |
Total Pages | : 0 |
Release | : 2021 |
Genre | : |
ISBN | : 9783346385291 |
Download External Habit Formation and Asset Prices Book in PDF, ePub and Kindle
Seminar paper from the year 2021 in the subject Business economics - Investment and Finance, grade: 1,0, University of Frankfurt (Main) (Finanzen), language: English, abstract: This paper aims to explain the countercyclical behavior of the equity risk premium and the stock return volatility by introducing an external habit formation feature in the standard representative-agent consumption-based asset pricing model, in form of the so called "catching up with the Joneses" preferences. These preferences imply that the relative risk aversion of the agents in the economy is constant over time and varies across the agents, which generates an endogenous wealth process, that in turn creates a countercyclical behavior in the risk premium and the conditional stock return volatility. As the agents with lower risk aversion distribute a greater fraction of their wealth to risky assets, their wealth decreases relatively more in reaction to cyclical downturns, shifting the aggregate wealth towards more risk averse individuals. These more risk averse agents, however, demand a higher compensation for risk, leading to an increase of the aggregate equity risk premium in response to a fall in stock prices. One of the most studied topics in modern economics are the market mechanisms that lead to the determination of asset prices in an economy. The empirical research indicates that there is a link between the historically observed asset prices and macroeconomic developments. One of the most important observations are the countercyclical behavior of the equity risk premium and the stock return volatility, implying that the excess return of common stocks over the risk-free rate during business cycle troughs is significantly higher than during expansions.
Author | : Ilan Cooper |
Publisher | : |
Total Pages | : |
Release | : 2013 |
Genre | : |
ISBN | : |
Download Investment Irreversibility, Real Activity and Asset Return Dynamics Book in PDF, ePub and Kindle
We conduct an empirical investigation of an investment-based asset pricing model. We introduce a novel theoretically derived economically fundamental variable, namely the rate of capital utilization and test its relationships with return volatility, systematic risk and expected returns. Our evidence, based on 459 manufacturing industries from the NBER productivity database, on the roles of assets in place and growth options in stock return dynamics is broadly consistent with the predictions of the new strand of models. We also propose a novel measure for the degree of investment irreversibility, namely the volatility of the capacity utilization rate.
Author | : Thomas F. Cooley |
Publisher | : Princeton University Press |
Total Pages | : 452 |
Release | : 1995-02-26 |
Genre | : Business & Economics |
ISBN | : 9780691043234 |
Download Frontiers of Business Cycle Research Book in PDF, ePub and Kindle
This introduction to modern business cycle theory uses a neoclassical growth framework to study the economic fluctuations associated with the business cycle. Presenting advances in dynamic economic theory and computational methods, it applies concepts to t
Author | : Richard L. Sandor |
Publisher | : World Scientific Publishing Company Incorporated |
Total Pages | : 380 |
Release | : 2014-10 |
Genre | : Business & Economics |
ISBN | : 9789814612432 |
Download Sustainable Investing and Environmental Markets Book in PDF, ePub and Kindle
A Brief Survey of Environmental Asset Classes; Market Failures and Policy Responses; Acid Rain Pollutants as an Asset Class; Greenhouse Gas Pollutants as an Asset Class; Emerging Geographies for Greenhouse Gas Emissions Markets; Forest Carbon as an Asset Class; Clean Energy Markets and Their Associated Asset Classes; Water Markets and Their Associated Asset Classes; Markets for Water Quality-Nutrient Trading; Sustainable Fisheries Management and Its Associated Asset Classes; Weather Risks and Associated Asset Classes; Sustainability and Associated Asset Classes; Conclusion: You Can Put a Price on Nature;
Author | : Vasant Naik |
Publisher | : CFA Institute Research Foundation |
Total Pages | : 192 |
Release | : 2016-12-30 |
Genre | : Business & Economics |
ISBN | : 1944960155 |
Download Factor Investing and Asset Allocation: A Business Cycle Perspective Book in PDF, ePub and Kindle
Author | : John H. Cochrane |
Publisher | : Now Publishers Inc |
Total Pages | : 117 |
Release | : 2005 |
Genre | : Business & Economics |
ISBN | : 1933019158 |
Download Financial Markets and the Real Economy Book in PDF, ePub and Kindle
Financial Markets and the Real Economy reviews the current academic literature on the macroeconomics of finance.