Disaster Risk And Its Implications For Asset Pricing PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Disaster Risk And Its Implications For Asset Pricing PDF full book. Access full book title Disaster Risk And Its Implications For Asset Pricing.
| Author | : Jerry Tsai |
| Publisher | : |
| Total Pages | : 60 |
| Release | : 2015 |
| Genre | : Assets (Accounting) |
| ISBN | : |
Download Disaster Risk and Its Implications for Asset Pricing Book in PDF, ePub and Kindle
After laying dormant for more than two decades, the rare disaster framework has emerged as a leading contender to explain facts about the aggregate market, interest rates, and financial derivatives. In this paper we survey recent models of disaster risk that provide explanations for the equity premium puzzle, the volatility puzzle, return predictability and other features of the aggregate stock market. We show how these models can also explain violations of the expectations hypothesis in bond pricing, and the implied volatility skew in option pricing. We review both modeling techniques and results and consider both endowment and production economies. We show that these models provide a parsimonious and unifying framework for understanding puzzles in asset pricing.
| Author | : Karen K. Lewis |
| Publisher | : |
| Total Pages | : 75 |
| Release | : 2017 |
| Genre | : Consumption (Economics) |
| ISBN | : |
Download Disaster Risk and Asset Returns Book in PDF, ePub and Kindle
Recent studies have shown that disaster risk can generate asset return moments similar to those observed in the U.S. data. However, these studies have ignored the cross-country asset pricing implications of the disaster risk model. This paper shows that standard U.S.-based disaster risk model assumptions found in the literature lead to counterfactual international asset pricing implications. Given consumption pricing moments, disaster risk cannot explain the range of equity premia and government bill rates nor the high degree of equity return correlation found in the data. Moreover, the independence of disasters presumed in some studies generates counterfactually low cross-country correlations in equity markets. Alternatively, if disasters are all shared, the model generates correlations that are excessively high. We show that common and idiosyncratic components of disaster risk are needed to explain the pattern in consumption and equity co-movements.
| Author | : Federal Reserve Federal Reserve Board |
| Publisher | : CreateSpace |
| Total Pages | : 34 |
| Release | : 2014-11-15 |
| Genre | : |
| ISBN | : 9781503231191 |
Download Learning, Rare Disasters, and Asset Prices Book in PDF, ePub and Kindle
In this study, we examine how learning about disaster risk affects asset pricing in an endowment economy. We extend the literature on rare disasters by allowing for two sources of uncertainty: (1) the lack of historical data results in unknown parameters for the disaster process, and (2) the disaster takes time to unfold and is not directly observable. The model generates time variation in the risk premium through Bayesian updating of agents' beliefs regarding the likelihood and severity of disaster realization. The model accounts for the level and volatility of U.S. equity returns and generates predictability in returns.
| Author | : Joachim Grammig |
| Publisher | : |
| Total Pages | : |
| Release | : 2014 |
| Genre | : |
| ISBN | : |
Download Consumption-based Asset Pricing with Rare Disaster Risk Book in PDF, ePub and Kindle
The rare disaster hypothesis suggests that the extraordinarily high postwar U.S. equity premium resulted because investors ex ante demanded compensation for unlikely but calamitous risks that they happened not to incur. Although convincing in theory, empirical tests of the rare disaster explanation are scarce. We estimate a disaster-including consumption-based asset pricing model (CBM) using a combination of the simulated method of moments and bootstrapping. We consider several methodological alternatives that differ in the moment matches and the way to account for disasters in the simulated consumption growth and return series. Whichever specification is used, the estimated preference parameters are of an economically plausible size, and the estimation precision is much higher than in previous studies that use the canonical CBM. Our results thus provide empirical support for the rare disaster hypothesis, and help reconcile the nexus between real economy and financial markets implied by the consumption-based asset pricing paradigm.
| Author | : Mondher Bellalah |
| Publisher | : World Scientific |
| Total Pages | : 645 |
| Release | : 2008-02-28 |
| Genre | : Business & Economics |
| ISBN | : 981447441X |
Download Risk Management And Value: Valuation And Asset Pricing Book in PDF, ePub and Kindle
This book provides a comprehensive discussion of the issues related to risk, volatility, value and risk management. It includes a selection of the best papers presented at the Fourth International Finance Conference 2007, qualified by Professor James Heckman, the 2000 Nobel Prize Laureate in Economics, as a “high level” one. The first half of the book examines ways to manage risk and compute value-at-risk for exchange risk associated to debt portfolios and portfolios of equity. It also covers the Basel II framework implementation and securitisation. The effects of volatility and risk on the valuation of financial assets are further studied in detail.The second half of the book is dedicated to the banking industry, banking competition on the credit market, banking risk and distress, market valuation, managerial risk taking, and value in the ICT activity. With its inclusion of new concepts and recent literature, academics and risk managers will want to read this book.
| Author | : Joachim Grammig |
| Publisher | : |
| Total Pages | : 52 |
| Release | : 2018 |
| Genre | : |
| ISBN | : |
Download Consumption-Based Asset Pricing with Rare Disaster Risk - A Simulated Method of Moments Approach Book in PDF, ePub and Kindle
We propose a simulated method of moments strategy to estimate a consumption-based asset pricing model (CBM) that accounts for the possibility of severe economic contractions, thereby providing a test of the rare disaster hypothesis and a re-evaluation of the empirical performance of the canonical CBM. Unlike in previous studies, the estimates of the investor preference parameters and the model-implied equity premium, mean risk-free rate, and market Sharpe ratio are economically plausible and precise. Accounting for rare disasters thus helps to restore the nexus between financial markets and the real economy that is implied by the CBM.
| Author | : Max Gillman |
| Publisher | : |
| Total Pages | : 65 |
| Release | : 2014 |
| Genre | : |
| ISBN | : 9788073443047 |
Download Learning about Disaster Risk Book in PDF, ePub and Kindle
| Author | : Jim Dolmas |
| Publisher | : |
| Total Pages | : |
| Release | : 2013 |
| Genre | : |
| ISBN | : |
Download Disastrous Disappointments Book in PDF, ePub and Kindle
| Author | : Jantje Sönksen |
| Publisher | : |
| Total Pages | : |
| Release | : 2020 |
| Genre | : |
| ISBN | : |
Download Empirical Asset Pricing with Multi-period Disaster Risk Book in PDF, ePub and Kindle
We propose a simulation-based strategy to estimate and empirically assess a class of asset pricing models that account for rare but severe consumption contractions that can extend over multiple periods. Our approach expands the scope of prevalent calibration studies and tackles the inherent sample selection problem associated with measuring the effect of rare disaster risk on asset prices. An analysis based on postwar U.S. and historical multi-country panel data yields estimates of investor preference parameters that are economically plausible and robust with respect to alternative specifications. The estimated model withstands tests of validity; the model-implied key financial indicators and timing premium all have reasonable magnitudes. These findings suggest that the rare disaster hypothesis can help restore the nexus between the real economy and financial markets when allowing for multi-period disaster events.Our methodological contribution is a new econometric framework for empirical asset pricing with rare disaster risk.
| Author | : Debarati Guha-Sapir |
| Publisher | : Oxford University Press |
| Total Pages | : 341 |
| Release | : 2013-05-23 |
| Genre | : Business & Economics |
| ISBN | : 0199841934 |
Download The Economic Impacts of Natural Disasters Book in PDF, ePub and Kindle
This work combines research and empirical evidence on the economic costs of disasters with theoretical approaches. It provides new insights on how to assess and manage the costs and impacts of disaster prevention, mitigation, recovery and adaption, and much more.
