Risk Aversion and the Structure of Asset Prices
Author | : Robert Rudolph Grauer |
Publisher | : |
Total Pages | : 448 |
Release | : 1975 |
Genre | : |
ISBN | : |
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Author | : Robert Rudolph Grauer |
Publisher | : |
Total Pages | : 448 |
Release | : 1975 |
Genre | : |
ISBN | : |
Author | : Epstein, Larry G |
Publisher | : |
Total Pages | : 23 |
Release | : 1987 |
Genre | : Equilibrium (Economics) |
ISBN | : |
Author | : Ganlin Chang |
Publisher | : |
Total Pages | : 60 |
Release | : 1999 |
Genre | : Assets (Accounting) |
ISBN | : |
Author | : Richard C. Stapleton |
Publisher | : |
Total Pages | : |
Release | : 1988 |
Genre | : |
ISBN | : |
Author | : Willi Semmler |
Publisher | : Springer Science & Business Media |
Total Pages | : 327 |
Release | : 2011-06-15 |
Genre | : Business & Economics |
ISBN | : 3642206808 |
The financial market melt-down of the years 2007-2009 has posed great challenges for studies on financial economics. This financial economics text focuses on the dynamic interaction of financial markets and economic activity. The financial market to be studied here encompasses the money and bond market, credit market, stock market and foreign exchange market; economic activity includes the actions and interactions of firms, banks, households, governments and countries. The book shows how economic activity affects asset prices and the financial market, and how asset prices and financial market volatility and crises impact economic activity. The book offers extensive coverage of new and advanced topics in financial economics such as the term structure of interest rates, credit derivatives and credit risk, domestic and international portfolio theory, multi-agent and evolutionary approaches, capital asset pricing beyond consumption-based models, and dynamic portfolio decisions. Moreover a completely new section of the book is dedicated to the recent financial market meltdown of the years 2007-2009. Emphasis is placed on empirical evidence relating to episodes of financial instability and financial crises in the U.S. and in Latin American, Asian and Euro-area countries. Overall, the book explains what researchers and practitioners in the financial sector need to know about the financial-real interaction, and what practitioners and policy makers need to know about the financial market.
Author | : Geert Bekaert |
Publisher | : |
Total Pages | : 76 |
Release | : 2006 |
Genre | : Assets (Accounting) |
ISBN | : |
We identify the relative importance of changes in the conditional variance of fundamentals (which we call "uncertainty") and changes in risk aversion ("risk" for short) in the determination of the term structure, equity prices and risk premiums. Theoretically, we introduce persistent time-varying uncertainty about the fundamentals in an external habit model. The model matches the dynamics of dividend and consumption growth, including their volatility dynamics and many salient asset market phenomena. While the variation in dividend yields and the equity risk premium is primarily driven by risk, uncertainty plays a large role in the term structure and is the driver of counter-cyclical volatility of asset returns.
Author | : Skander Joannes Van den Heuvel |
Publisher | : |
Total Pages | : 36 |
Release | : 2008 |
Genre | : |
ISBN | : |
Author | : Geert Bekaert |
Publisher | : |
Total Pages | : 56 |
Release | : 2008 |
Genre | : |
ISBN | : |
We identify the relative importance of changes in the conditional variance of fundamentals (which we call uncertainty) and changes in risk aversion in the determination of the term structure, equity prices and risk premiums. Theoretically, we introduce persistent time-varying uncertainty about the fundamentals in an external habit model. The model matches the dynamics of dividend and consumption growth, including their volatility dynamics and many salient asset market phenomena. While the variation in price-dividend ratios and the equity risk premium is primarily driven by risk aversion, uncertainty plays a large role in the term structure and is the driver of counter-cyclical volatility of asset returns.
Author | : John H. Cochrane |
Publisher | : Now Publishers Inc |
Total Pages | : 117 |
Release | : 2005 |
Genre | : Business & Economics |
ISBN | : 1933019158 |
Financial Markets and the Real Economy reviews the current academic literature on the macroeconomics of finance.
Author | : Harjoat Singh Bhamra |
Publisher | : |
Total Pages | : 71 |
Release | : 2015 |
Genre | : |
ISBN | : |
In this paper, we study asset prices in a dynamic, continuous-time, general-equilibrium endowment economy where agents have ldquo;catching up with the Jonesesrdquo; utility functions and differ with respect to their beliefs (because of differences in priors) and their preference parameters for time discount, risk aversion, and sensitivity to habit. A key contribution of our paper is to demonstrate how one can obtain a closed-form solution to the consumption-sharing rule for agents who have both heterogeneous priors and heterogeneous preferences without restricting the risk aversion of the two agents to special values. We solve in closed form also for the the state-price density, the riskless interest rate and market price of risk; the stock price, equity risk premium, and volatility of stock returns; the term structure of interest rates; and the conditions necessary to obtain a stationary equilibrium in which both agents survive in the long run. The methodology we develop is sufficiently general that, as long as markets are complete, it can be used to obtain the sharing rule and state prices for models set in discrete or continuous time and for arbitrary endowment and belief updating processes.