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| Author | : Francisco Vazquez-Grande |
| Publisher | : |
| Total Pages | : 83 |
| Release | : 2012 |
| Genre | : |
| ISBN | : 9781267835536 |
Download Learning the Long-run Asset Pricing Model Book in PDF, ePub and Kindle
I document business-cycle properties and a significant increase in the average level of risk-prices in the presence of learning in economies with homogeneous agents, and in the presence of agents with heterogeneous beliefs based on learning. I solve a model with long-run risk where both, the level and persistence of expected consumption growth are unobserved. I introduce a new methodology to quantify the effects of learning about parameter uncertainty and latent variables. The average historical maximum Sharpe ratios increases significantly in the learning economy when compared to the full-information case, and the difference between the subjective risk-prices of learning and non-learning agents is shown to be counter-cyclical. The agent facing parameter uncertainty choose state variables that are sufficient statistics of the learning problems and, conditional on her information set, forms posterior distributions of the states and future consumption growth. To reduce the complexity of optimization, I present a novel numerical approach that approximates the agent's continuation-value by nesting the solutions of problems with different information sets.
| Author | : Binbin Deng |
| Publisher | : |
| Total Pages | : 31 |
| Release | : 2017 |
| Genre | : |
| ISBN | : |
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 | : John H. Cochrane |
| Publisher | : Princeton University Press |
| Total Pages | : 560 |
| Release | : 2009-04-11 |
| Genre | : Business & Economics |
| ISBN | : 1400829135 |
Download Asset Pricing Book in PDF, ePub and Kindle
Winner of the prestigious Paul A. Samuelson Award for scholarly writing on lifelong financial security, John Cochrane's Asset Pricing now appears in a revised edition that unifies and brings the science of asset pricing up to date for advanced students and professionals. Cochrane traces the pricing of all assets back to a single idea--price equals expected discounted payoff--that captures the macro-economic risks underlying each security's value. By using a single, stochastic discount factor rather than a separate set of tricks for each asset class, Cochrane builds a unified account of modern asset pricing. He presents applications to stocks, bonds, and options. Each model--consumption based, CAPM, multifactor, term structure, and option pricing--is derived as a different specification of the discounted factor. The discount factor framework also leads to a state-space geometry for mean-variance frontiers and asset pricing models. It puts payoffs in different states of nature on the axes rather than mean and variance of return, leading to a new and conveniently linear geometrical representation of asset pricing ideas. Cochrane approaches empirical work with the Generalized Method of Moments, which studies sample average prices and discounted payoffs to determine whether price does equal expected discounted payoff. He translates between the discount factor, GMM, and state-space language and the beta, mean-variance, and regression language common in empirical work and earlier theory. The book also includes a review of recent empirical work on return predictability, value and other puzzles in the cross section, and equity premium puzzles and their resolution. Written to be a summary for academics and professionals as well as a textbook, this book condenses and advances recent scholarship in financial economics.
| Author | : Wayne Ferson |
| Publisher | : MIT Press |
| Total Pages | : 497 |
| Release | : 2019-03-12 |
| Genre | : Business & Economics |
| ISBN | : 0262039370 |
Download Empirical Asset Pricing Book in PDF, ePub and Kindle
An introduction to the theory and methods of empirical asset pricing, integrating classical foundations with recent developments. This book offers a comprehensive advanced introduction to asset pricing, the study of models for the prices and returns of various securities. The focus is empirical, emphasizing how the models relate to the data. The book offers a uniquely integrated treatment, combining classical foundations with more recent developments in the literature and relating some of the material to applications in investment management. It covers the theory of empirical asset pricing, the main empirical methods, and a range of applied topics. The book introduces the theory of empirical asset pricing through three main paradigms: mean variance analysis, stochastic discount factors, and beta pricing models. It describes empirical methods, beginning with the generalized method of moments (GMM) and viewing other methods as special cases of GMM; offers a comprehensive review of fund performance evaluation; and presents selected applied topics, including a substantial chapter on predictability in asset markets that covers predicting the level of returns, volatility and higher moments, and predicting cross-sectional differences in returns. Other chapters cover production-based asset pricing, long-run risk models, the Campbell-Shiller approximation, the debate on covariance versus characteristics, and the relation of volatility to the cross-section of stock returns. An extensive reference section captures the current state of the field. The book is intended for use by graduate students in finance and economics; it can also serve as a reference for professionals.
| Author | : |
| Publisher | : |
| Total Pages | : |
| Release | : 2008 |
| Genre | : |
| ISBN | : |
Download Incomplete Information in a Long Run Risks Model of Asset Pricing Book in PDF, ePub and Kindle
| Author | : Emmanuel Jurczenko |
| Publisher | : John Wiley & Sons |
| Total Pages | : 258 |
| Release | : 2006-10-02 |
| Genre | : Business & Economics |
| ISBN | : 0470057998 |
Download Multi-moment Asset Allocation and Pricing Models Book in PDF, ePub and Kindle
While mainstream financial theories and applications assume that asset returns are normally distributed and individual preferences are quadratic, the overwhelming empirical evidence shows otherwise. Indeed, most of the asset returns exhibit “fat-tails” distributions and investors exhibit asymmetric preferences. These empirical findings lead to the development of a new area of research dedicated to the introduction of higher order moments in portfolio theory and asset pricing models. Multi-moment asset pricing is a revolutionary new way of modeling time series in finance which allows various degrees of long-term memory to be generated. It allows risk and prices of risk to vary through time enabling the accurate valuation of long-lived assets. This book presents the state-of-the art in multi-moment asset allocation and pricing models and provides many new developments in a single volume, collecting in a unified framework theoretical results and applications previously scattered throughout the financial literature. The topics covered in this comprehensive volume include: four-moment individual risk preferences, mathematics of the multi-moment efficient frontier, coherent asymmetric risks measures, hedge funds asset allocation under higher moments, time-varying specifications of (co)moments and multi-moment asset pricing models with homogeneous and heterogeneous agents. Written by leading academics, Multi-moment Asset Allocation and Pricing Models offers a unique opportunity to explore the latest findings in this new field of research.
| Author | : Pierre Collin-Dufresne |
| Publisher | : |
| Total Pages | : 0 |
| Release | : 2013 |
| Genre | : Economics |
| ISBN | : |
Download Parameter Learning in General Equilibrium Book in PDF, ePub and Kindle
Parameter learning strongly amplifies the impact of macro shocks on marginal utility when the representative agent has a preference for early resolution of uncertainty. This occurs as rational belief updating generates subjective long-run consumption risks. We consider general equilibrium models with unknown parameters governing either long-run economic growth, the variance of shocks, rare events, or model selection. Overall, parameter learning generates long-lasting, quantitatively significant additional macro risks that help explain standard asset pricing puzzles.
| Author | : Costis Skiadas |
| Publisher | : Princeton University Press |
| Total Pages | : 363 |
| Release | : 2009-02-09 |
| Genre | : Business & Economics |
| ISBN | : 1400830141 |
Download Asset Pricing Theory Book in PDF, ePub and Kindle
Asset Pricing Theory is an advanced textbook for doctoral students and researchers that offers a modern introduction to the theoretical and methodological foundations of competitive asset pricing. Costis Skiadas develops in depth the fundamentals of arbitrage pricing, mean-variance analysis, equilibrium pricing, and optimal consumption/portfolio choice in discrete settings, but with emphasis on geometric and martingale methods that facilitate an effortless transition to the more advanced continuous-time theory. Among the book's many innovations are its use of recursive utility as the benchmark representation of dynamic preferences, and an associated theory of equilibrium pricing and optimal portfolio choice that goes beyond the existing literature. Asset Pricing Theory is complete with extensive exercises at the end of every chapter and comprehensive mathematical appendixes, making this book a self-contained resource for graduate students and academic researchers, as well as mathematically sophisticated practitioners seeking a deeper understanding of concepts and methods on which practical models are built. Covers in depth the modern theoretical foundations of competitive asset pricing and consumption/portfolio choice Uses recursive utility as the benchmark preference representation in dynamic settings Sets the foundations for advanced modeling using geometric arguments and martingale methodology Features self-contained mathematical appendixes Includes extensive end-of-chapter exercises
| Author | : John Y. Campbell |
| Publisher | : Princeton University Press |
| Total Pages | : 476 |
| Release | : 2017-10-31 |
| Genre | : Business & Economics |
| ISBN | : 0691160805 |
Download Financial Decisions and Markets Book in PDF, ePub and Kindle
From the field's leading authority, the most authoritative and comprehensive advanced-level textbook on asset pricing In Financial Decisions and Markets, John Campbell, one of the field’s most respected authorities, provides a broad graduate-level overview of asset pricing. He introduces students to leading theories of portfolio choice, their implications for asset prices, and empirical patterns of risk and return in financial markets. Campbell emphasizes the interplay of theory and evidence, as theorists respond to empirical puzzles by developing models with new testable implications. The book shows how models make predictions not only about asset prices but also about investors’ financial positions, and how they often draw on insights from behavioral economics. After a careful introduction to single-period models, Campbell develops multiperiod models with time-varying discount rates, reviews the leading approaches to consumption-based asset pricing, and integrates the study of equities and fixed-income securities. He discusses models with heterogeneous agents who use financial markets to share their risks, but also may speculate against one another on the basis of different beliefs or private information. Campbell takes a broad view of the field, linking asset pricing to related areas, including financial econometrics, household finance, and macroeconomics. The textbook works in discrete time throughout, and does not require stochastic calculus. Problems are provided at the end of each chapter to challenge students to develop their understanding of the main issues in financial economics. The most comprehensive and balanced textbook on asset pricing available, Financial Decisions and Markets is an essential resource for all graduate students and practitioners in finance and related fields. Integrated treatment of asset pricing theory and empirical evidence Emphasis on investors’ decisions Broad view linking the field to financial econometrics, household finance, and macroeconomics Topics treated in discrete time, with no requirement for stochastic calculus Solutions manual for problems available to professors
| Author | : Wayne Ferson |
| Publisher | : MIT Press |
| Total Pages | : 497 |
| Release | : 2019-03-26 |
| Genre | : Business & Economics |
| ISBN | : 0262351307 |
Download Empirical Asset Pricing Book in PDF, ePub and Kindle
An introduction to the theory and methods of empirical asset pricing, integrating classical foundations with recent developments. This book offers a comprehensive advanced introduction to asset pricing, the study of models for the prices and returns of various securities. The focus is empirical, emphasizing how the models relate to the data. The book offers a uniquely integrated treatment, combining classical foundations with more recent developments in the literature and relating some of the material to applications in investment management. It covers the theory of empirical asset pricing, the main empirical methods, and a range of applied topics. The book introduces the theory of empirical asset pricing through three main paradigms: mean variance analysis, stochastic discount factors, and beta pricing models. It describes empirical methods, beginning with the generalized method of moments (GMM) and viewing other methods as special cases of GMM; offers a comprehensive review of fund performance evaluation; and presents selected applied topics, including a substantial chapter on predictability in asset markets that covers predicting the level of returns, volatility and higher moments, and predicting cross-sectional differences in returns. Other chapters cover production-based asset pricing, long-run risk models, the Campbell-Shiller approximation, the debate on covariance versus characteristics, and the relation of volatility to the cross-section of stock returns. An extensive reference section captures the current state of the field. The book is intended for use by graduate students in finance and economics; it can also serve as a reference for professionals.
