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Liquidity and Asset Market Dynamics [PDF]
SSRN Electronic Journal, 2010 We study economies with an essential role for liquid assets in transactions. The model can generate multiple stationary equilibria, across which asset prices, market participation, capitalization, output and welfare are positively related. It can also generate a variety of nonstationary equilibria, even when fundamentals are deterministic and time ...
Guillaume Rocheteau, Randall Wright
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GIMS-Software for asset market experiments. [PDF]
J Behav Exp Finance, 2015 In this article we lay out requirements for an experimental market software for financial and economic research. We then discuss existing solutions. Finally, we introduce GIMS, an open source market software which is characterized by extensibility and ease of use, while offering nearly all of the required functionality.
Palan S.
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Asset purchases, limited asset markets participation and inequality
SSRN Electronic Journal, 2023 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Stylianos Tsiaras
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Interpretable asset markets? [PDF]
European Economic Review, 2005 Abstract In this paper we show that measures of economic uncertainty (conditional volatility of consumption) predict and are predicted by valuation ratios at long horizons. Further we document that asset valuations drop as economic uncertainty rises—that is, financial markets dislike economic uncertainty.
Bansal, Ravi +2 more
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IEEE Access, 2023 Multi-asset portfolio selection is an asset allocation strategy involving a variety of assets. Adaptive investment strategies which consider the dynamic market characteristics of individual assets and asset classes are vital for maximizing returns and ...
Jinkyu Kim +3 more
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Risks, 2023 This study assesses the dynamic relationship between macroeconomic factors and bank asset quality based on changes in the condition of stock market returns.
Richard Apau +2 more
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Debt-Constrained Asset Markets [PDF]
The Review of Economic Studies, 1992 Summary: We develop a theory of general equilibrium with endogenous debt limits in the form of individual rationality constraints similar to those in the dynamic consistency literature. If an agent defaults on a contract, he can be excluded from future contingent claims markets trading and can have his assets seized.
Timothy J. Kehoe, David K. Levine
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IJEBD (International Journal of Entrepreneurship and Business Development), 2021 Purpose: This research aims to determine the effect of intellectual capital on market value with financial performance as an intervening variable. Design/methodology/approach: This study uses quantitative methods, the population used in this study is
Sriyono Sriyono +2 more
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Insider trading with dynamic asset under market makers' partial observations
AIMS Mathematics, 2023 This paper studies an extended continuous-time insider trading model of Calentey and Stacchetti (2010, Econometrica), which allows market makers to observe some partial information about a dynamic risky asset. For each of the two cases with trading until
Jixiu Qiu, Yonghui Zhou
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Asset Markets and Investment Decisions* [PDF]
International Economic Review, 2002 In an incomplete asset market, firms assign values to investment plans by projecting their payoffs on the span of the payoffs of marketed assets. This is a criterion that does not require firms to possess information, such as the marginal valuation of revenue across date‐events by shareholders, which is not directly observable; rather, it is based on ...
A. De Waegenaere +2 more
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