Consumption Volatility Ambiguity And Risk Premiums Time Variation PDF Download
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Author | : Janis Müller |
Publisher | : |
Total Pages | : |
Release | : 2018 |
Genre | : |
ISBN | : |
Download Consumption Volatility Ambiguity and Risk Premium's Time-Variation Book in PDF, ePub and Kindle
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 in the market risk premium.
Author | : Andrew Y. Chen |
Publisher | : |
Total Pages | : 59 |
Release | : 2018 |
Genre | : |
ISBN | : |
Download Prudential Uncertainty Causes Time-Varying Risk Premiums Book in PDF, ePub and Kindle
Time-varying risk premiums are a natural consequence of prudent savings behavior. Prudence prescribes a countercyclical marginal propensity to consume which leads to countercyclical consumption volatility and risk premiums. This "prudential uncertainty" channel is amplified by external habit, which makes the investor feel poorer and act more prudently. A calibrated production economy with a slow-moving, external habit shows that this channel can quantitatively explain return and dividend predictability regressions. The model matches numerous other moments, including the mean and volatility of the equity premium, the mean and volatility of the risk-free rate, and the second moments of output, consumption, and investment.
Author | : Robert A. Jarrow |
Publisher | : |
Total Pages | : 472 |
Release | : 1998 |
Genre | : Derivative securities |
ISBN | : |
Download Volatility Book in PDF, ePub and Kindle
Written by a number of authors, this text is aimed at market practitioners and applies the latest stochastic volatility research findings to the analysis of stock prices. It includes commentary and analysis based on real-life situations.
Author | : Dirk Bergemann |
Publisher | : World Scientific |
Total Pages | : 471 |
Release | : 2012 |
Genre | : Business & Economics |
ISBN | : 981437458X |
Download Robust Mechanism Design Book in PDF, ePub and Kindle
Foreword by Eric Maskin (Nobel Laureate in Economics, 2007)This volume brings together the collected contributions on the theme of robust mechanism design and robust implementation that Dirk Bergemann and Stephen Morris have been working on for the past decade. The collection is preceded by a comprehensive introductory essay, specifically written for this volume with the aim of providing the readers with an overview of the research agenda pursued in the collected papers.The introduction selectively presents the main results of the papers, and attempts to illustrate many of them in terms of a common and canonical example, namely a single unit auction with interdependent values. It is our hope that the use of this example facilitates the presentation of the results and that it brings the main insights within the context of an important economic mechanism, namely the generalized second price auction.
Author | : Oliver Mack |
Publisher | : Springer |
Total Pages | : 268 |
Release | : 2015-07-15 |
Genre | : Business & Economics |
ISBN | : 3319168894 |
Download Managing in a VUCA World Book in PDF, ePub and Kindle
This book examines volatility, uncertainty, complexity and ambiguity (VUCA) and addresses the need for broader knowledge and application of new concepts and frameworks to deal with unpredictable and rapid changing situations. The premises of VUCA can shape all aspects of an organization. To cover all areas, the book is divided into six sections. Section 1 acts as an introduction to VUCA and complexity. It reviews ways to manage complexity, while providing examples for tools and approaches that can be applied. The main focus of Section 2 is on leadership, strategy and planning. The chapters in this section create new approaches to handle VUCA environments pertaining to these areas including using the Tetralemma logics, tools from systemic structural constellation (SySt) approach of psychotherapy and organizational development, to provide new ideas for the management of large strategic programs in organizations. Section 3 considers how marketing and sales are affected by VUCA, from social media’s influence to customer value management. Operations and cost management are highlighted in Section 4. This section covers VUCA challenges within global supply chains and decision-oriented controlling. In Section 5 organizational structure and process management are showcased, while Section 6 is dedicated to addressing the effects of VUCA in IT, technology and data management. The VUCA forces present businesses with the need to move from linear modes of thought to problem solving with synthetic and simultaneous thinking. This book should help to provide some starting points and ideas to deal with the next era. It should not be understood as the end of the road, but as the beginning of a journey exploring and developing new concepts for a new way of management.
Author | : Maria Pilar Martinez-Ruiz |
Publisher | : Frontiers Media SA |
Total Pages | : 147 |
Release | : 2021-02-17 |
Genre | : Science |
ISBN | : 2889664856 |
Download Towards Consumer 4.0 Insights and Opportunities under the Marketing 4.0 Scenario Book in PDF, ePub and Kindle
Author | : Antonio Mele |
Publisher | : MIT Press |
Total Pages | : 1147 |
Release | : 2022-11-22 |
Genre | : Business & Economics |
ISBN | : 0262046849 |
Download Financial Economics Book in PDF, ePub and Kindle
A comprehensive reference for financial economics, balancing theoretical explanations, empirical evidence, and the practical relevance of knowledge in the field. This volume offers a comprehensive, integrated treatment of financial economics, tracking the major milestones in the field and providing methodological tools. Doing so, it balances theoretical explanations, empirical evidence, and practical relevance. It illustrates nearly a century of theoretical advances with a vast array of models, showing how real phenomena (and, at times, market practice) have helped economists reformulate existing theories. Throughout, the book offers examples and solved problems that help readers understand the main lessons conveyed by the models analyzed. The book provides a unique and authoritative reference for the field of financial economics. Part I offers the foundations of the field, introducing asset evaluation, information problems in asset markets and corporate finance, and methods of statistical inference. Part II explains the main empirical facts and the challenges these pose for financial economists, which include excess price volatility, market liquidity, market dysfunctionalities, and the countercyclical behavior of market volatility. Part III covers the main instruments that protect institutions against the volatilities and uncertainties of capital markets described in part II. Doing so, it relies on models that have become the market standard, and incorporates practices that emerged from the 2007–2008 financial crisis.
Author | : James Ming Chen |
Publisher | : Springer |
Total Pages | : 293 |
Release | : 2017-10-04 |
Genre | : Business & Economics |
ISBN | : 3319634658 |
Download Econophysics and Capital Asset Pricing Book in PDF, ePub and Kindle
This book rehabilitates beta as a definition of systemic risk by using particle physics to evaluate discrete components of financial risk. Much of the frustration with beta stems from the failure to disaggregate its discrete components; conventional beta is often treated as if it were "atomic" in the original Greek sense: uncut and indivisible. By analogy to the Standard Model of particle physics theory's three generations of matter and the three-way interaction of quarks, Chen divides beta as the fundamental unit of systemic financial risk into three matching pairs of "baryonic" components. The resulting econophysics of beta explains no fewer than three of the most significant anomalies and puzzles in mathematical finance. Moreover, the model's three-way analysis of systemic risk connects the mechanics of mathematical finance with phenomena usually attributed to behavioral influences on capital markets. Adding consideration of volatility and correlation, and of the distinct cash flow and discount rate components of systematic risk, harmonizes mathematical finance with labor markets, human capital, and macroeconomics.
Author | : Thorsten Hens |
Publisher | : World Scientific |
Total Pages | : 573 |
Release | : 2020-10-29 |
Genre | : Business & Economics |
ISBN | : 9811221960 |
Download Cultural Finance: A World Map Of Risk, Time And Money Book in PDF, ePub and Kindle
This book provides a comprehensive overview of the emerging field of cultural finance. It summarizes research results of cultural differences in financial decision making and financial markets. Many of the results have been published in leading academic journals over the last ten years but some are presented here for the first time. The book is based on an international survey on risk and time preferences — the INTRA study, conducted in 53 countries worldwide. Applications to financial markets include the equity premium puzzle, the value premium, dividend payout policies and asset allocations.
Author | : Ying L. Becker |
Publisher | : CFA Institute Research Foundation |
Total Pages | : 75 |
Release | : 2018-05-10 |
Genre | : Business & Economics |
ISBN | : 1944960457 |
Download The Current State of Quantitative Equity Investing Book in PDF, ePub and Kindle
Quantitative equity management techniques are helping investors achieve more risk efficient and appropriate investment outcomes. Factor investing, vetted by decades of prior and current research, is growing quickly, particularly in in the form of smart-beta and ETF strategies. Dynamic factor-timing approaches, incorporating macroeconomic and investment conditions, are in the early stages but will likely thrive. A new generation of big data approaches are rendering quantitative equity analysis even more powerful and encompassing.