Results 21 to 30 of about 96,490 (163)
Revisiting the Implications of Heterogeneity in Financial Market Participation for the C-CAPM [PDF]
Recent studies have explored the possibility that accounting for limited participation in financial markets, and in the stock market in particular, might rationalize the empirical inconsistency of the Consumption-based Capital Asset Pricing Model (C-CAPM)
Monica Paiella
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Asset Pricing with a Reference Level of Consumption: New Evidence from the Cross-Section of Stock Returns [PDF]
This paper presents an empirical evaluation of recently proposed asset pricing models which extend the standard preference specification by a reference level of consumption.
Grammig, Joachim G., Schrimpf, Andreas
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Evaluating Asset Pricing Implications of DSGE Models [PDF]
This paper conducts an econometric evaluation of structural macroeconomic asset pricing models. A one-sector dynamic stochastic general equilibrium model (DSGE) with habit formation and capital adjustment costs is considered.
Frank Schorfheide, Kevin L. Reffett
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Time-Series Tests of a Non-Expected-Utility Model of Asset Pricing [PDF]
This paper provides two alternative estimation and testing procedures of a representative-agent model of asset pricing which relies on a particular parametrization of non-expected-utility preferences.
Alberto Giovannini, Philippe Jorion
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Asset Pricing with Home Capital [PDF]
I analyze a stylized consumption-based asset pricing model that features heterogeneous agents and household capital, and discover a novel recession risk factor related to the cross-sectional second moments of the corresponding investments into such home ...
Michal Pakos
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Equilibrium asset pricing evaluation of real estate risk and return across four quadrants [PDF]
, 2005 Thesis (S.M.)--Massachusetts Institute of Technology, Dept. of Urban Studies and Planning, 2005.This electronic version was submitted by the student author.
Li, Nan, 1972-, Price, Steven McKay
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, 2017 This paper studies long term investing by an investor that maximizes either expected utility from terminal wealth or from consumption. We introduce the concepts of a generalized stochastic discount factor (SDF) and of the minimum price to attain target ...
Leisen, Dietmar, Platen, Eckhard
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The Risk Premium for Equity: Implicatiosn for Resource Allocation, Welfare adn Policy [PDF]
Analysis of the equity premium puzzle has focused on private sector capital markets. The object of this paper is to consider the welfare and policy implications of each of the broad classes of explanations of the equity premium puzzle.
Grant, Simon, Quiggin, John
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Equity Premiums In a Small Open Economy [PDF]
This paper studies the behaviour of asset prices in relation to consumption and other business cycle variables. While RBC models have been able to successfully explain the dynamics of macroeconomic variables, they fail to replicate similar interesting ...
Douch, Mohamed
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Consumption-Based CAPM and Option Pricing under Jump-Diffusion Uncertainty [PDF]
, 2003 In Kusuda [45], we developed equilibrium analysis in security market economy with jump-Wiener information where no finite number of securities can complete markets. Assuming approximately complete markets (Björk et al.
Kusuda, Koji
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