Results 41 to 50 of about 2,240,235 (392)
Exploring Dynamic Asset Pricing within Bachelier Market Model [PDF]
arXiv, 2023 This paper delves into the dynamics of asset pricing within Bachelier market model, elucidating the representation of risky asset price dynamics and the definition of riskless assets.
arxiv
Evaluating asset pricing models with limited commitment using household consumption data [PDF]
, 2006 We evaluate the asset pricing implications of a class of models in which risk sharing is imperfect because of the limited enforcement of intertemporal contracts.
Krueger, Dirk +2 more
core +3 more sources
Regulating Asset Price Risk [PDF]
SSRN Electronic Journal, 2011 There has been a long debate about whether speculators are stabilizing or not. We consider a model where speculators have a stabilizing role in normal times, but may also provoke large risk panics. The very feature that makes arbitrageurs liquidity providers in normal times, namely their tolerance of risk, enables a large increase in asset price risk ...
Eric van Wincoop +5 more
openaire +6 more sources
Price and Payoff Autocorrelations in a Multi-Period Consumption-Based Asset Pricing Model [PDF]
arXiv, 2022 This paper highlights the hidden dependence of the basic pricing equation of a multi-period consumption-based asset pricing model on price and payoff autocorrelations. We obtain the approximations of the basic pricing equation that describe the mean price "to-day," mean payoff "next-day," price and payoff volatilities, and price and payoff ...
arxiv
Asset Pricing with Liquidity Risk
, 2003 This Paper studies equilibrium asset pricing with liquidity risk (the risk arising from unpredictable changes in liquidity over time). It is shown that the required return on a security depends on its expected illiquidity, the covariances of its own ...
V. Acharya, L. Pedersen
semanticscholar +1 more source
Inflation and Asset Prices [PDF]
SSRN Electronic Journal, 2011 Changes in the general level of prices and inflation have profound effects on asset prices. There are several reasons for these effects and the influence differs depending on the source of the inflation and whether it is expected or not. To understand these effects it is important to clarify what is meant by inflation, the pure theory of the sources ...
openaire +3 more sources
Continuous Equilibrium in Affine and Information-Based Capital Asset Pricing Models [PDF]
, 2012 We consider a class of generalized capital asset pricing models in continuous time with a finite number of agents and tradable securities. The securities may not be sufficient to span all sources of uncertainty.
. +33 more
core +2 more sources
COLLATERAL REQUIREMENTS AND ASSET PRICES [PDF]
International Economic Review, 2011 Many assets derive their value not only from future cash flows but also from their ability to serve as collateral. In this article, we investigate this collateral premium and its impact on asset returns in an infinite‐horizon general equilibrium model with heterogeneous agents.
Johannes Brumm +4 more
openaire +8 more sources
Asset Prices and Asset Quantities [PDF]
Journal of the European Economic Association, 2007 We propose an organizing framework that determines asset prices by equating household sector asset demand derived from an economic model to the observed supply of assets provided by other sectors. We then use a specific model of household asset demand to decompose historical changes in asset positions into changes in new asset supply and household ...
Martin Schneider, Monika Piazzesi
openaire +2 more sources
Risk, uncertainty, and asset prices [PDF]
Journal of Financial Economics, 2005 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.
Geert Bekaert +2 more
openaire +4 more sources