asset prices
Asset Prices and Exchange Rates
... by the correlation in real variables. 2 In our model, the real variables − the countries’ output pro- cesses − are unrelated and yet stock returns on the national markets become positively correlated. Contagion is a ...
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Financial market integration and asset prices
... equilibrium asset prices, I explore additionally the relationship between the minimum variance SDFs and ...intermediary asset pricing literature posits that the SDF of the financial intermediary, ...
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Empirical Martingale Simulation for Asset Prices
... Conclusion Asset prices are typically modeled as exponential ...The prices of its derivative contracts are often complex functionals that sometimes require the use of Monte Carlo simulation to ...
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Risky Arbitrage, Asset Prices, and Externalities
... as asset prices and, in the presence of externalities, each agent’s pref- erences in turn depend directly on the trades of other ...an asset market model with trading externalities and short sales ...
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Dispersed Information and Asset Prices
... s only, such that we can represent the price as the risk-adjusted expectation of dividends of an investor who finds it optimal to hold exactly ¯ D units of the asset when the state is z. 34 Equation (7) ...
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Asset Prices and Exchange Rates
... cesses − are unrelated and yet stock returns on the national markets become positively correlated. Contagion is a natural response to a supply shock in one of the countries. As we discussed earlier, a positive output ...
51
Past Market Variance and Asset Prices
... cross-sectional prices of …nancial assets ...in asset pricing, we evaluate equilibrium pricing at alternative frequencies ranging from 1 quarter to 40 quarters (10 years) with a focus on (roughly) ...
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Extreme Asymmetric Volatility, Leverage, Feedback and Asset Prices
... The figure plots daily realized negative S&P 500 index return shocks, −y, and VIX volatility shocks, z, together with the marginal threshold for each series under the visual thr[r] ...
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Business cycle, reallocation of labor and asset prices
... Vast empirical asset pricing literature documents that firms having more growth opportunities (as measured by different observable variables such as book-to-market equ[r] ...
36
Asset prices and demand shocks
... In a recent paper closest to our work, van Kervel and Menkveld (2018) study the behavior of high-frequency traders (HFTs) around large orders of institutional investors. The authors find that HFTs provide liquidity if ...
153
Affine Disagreement and Asset Pricing
... IV. Conclusion We present an affine heterogeneous beliefs framework, where agents may disagree about the growth rates, dynamics of volatility, jump intensities, or jump size distributions of fun- damentals. The ...
6
Multifractal Methods for Asset Pricing
... Abstract As the repetition of extreme financial events such as the 2008 global financial crisis has pointed out, the study of the volatility of asset prices is a key topic in finance. Classic models such ...
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Skewness risk and bond prices
... bond prices and increase yields with quantitatively di erent e ects across maturities: the e ect on prices increases monotonically with the maturity while that on yields decreases ...bond prices and ...
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Asset pledgeability and endogenously leveraged bubbles
... bubbly asset market and the credit ...Bubbly asset market: We model bubbles in asset prices by following the conventional approach of the rational bubble ...durable asset that is ...
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The asset cost of poor health
... the asset cost of poor health is attenuated by the receipt of Social Security benefits, DB pension annuities, and earned ...slow asset accumulation or require ...post-retirement asset balances in ...
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A Volatility-Driven Asset Allocation (VDAA)
... THE VDAA ALGORITHM A SAA is the result of both the investor’s expectations about the characteristics of assets (returns and risks) and their own utility function. Initial exposure to each asset class is supposed ...
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Essays on asset bubbles and secular stagnation
... illiquid asset bubbles raise the interest rate, which induces the savers to fully postpone their consumption into old-age, ...why asset bubbles might be expansionary, but rather how the income distribution ...
163
Multi-Agent Based Ethical Asset Management
... an asset policy and the second one is part of a mar- ket ...ethical asset managers use ethical principles to make their ...ethical asset manager. Finally, an asset manager needs to be able to ...
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Three essays in empirical asset pricing
... FinaIly, the third chapter develops a discrete time affine multifactor latent variable model of as set returns which allows for both stochastic volatility and stochastic skew[r] ...
267
Advanced asset management: tools and techniques
... Another step for determining the condition is to assess its technical condition. Engineered Management Systems (EMS), as implemented by the US Army Corps of Engineers, can be used to establish the physical condition and ...
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