Results 131 to 140 of about 10,511 (262)

Closed‐Form Optimal Investment Under Generalized GARCH Models

open access: yesEuropean Financial Management, EarlyView.
ABSTRACT This paper introduces a new class of stochastic volatility models for asset prices, the generalized Heston Nandi GARCH (GHN‐GARCH), with the primary objective of optimal dynamic asset allocation under expected utility theory for constant relative risk aversion investors. We study some of its theoretical properties, and demonstrate that the GHN‐
Marcos Escobar‐Anel   +2 more
wiley   +1 more source

Financial Statement Information and Equity Value: The Role of Real Options Characteristics

open access: yesFinancial Management, EarlyView.
ABSTRACT This paper examines whether firm‐specific real options characteristics are equity value‐relevant beyond valuation estimates anchored in financial statements. Using extensive historical data for the United Kingdom, we assess and compare the forecast accuracy and explanatory power for stock prices of equity valuation models based on residual ...
Mingyu (Chandler) Chen   +2 more
wiley   +1 more source

Network Games With Triadic Interactions

open access: yesInternational Economic Review, EarlyView.
ABSTRACT We propose a model for network‐mediated interactions incorporating higher‐order relationships such as triadic interactions. The marginal utility of an individual's action depends explicitly on endogenous actions of multiple units. Conditions ensuring a unique Nash equilibrium are derived using a variational inequality approach. We estimate the
Wei Shi, Chunchao Wang, Pei Yu
wiley   +1 more source

Financial Fragility and the Fiscal Multiplier

open access: yesJournal of Money, Credit and Banking, EarlyView.
Abstract We show that undercapitalized banks with large holdings of government bonds subject to sovereign default risk lead to a new crowding‐out channel: deficit‐financed fiscal stimuli lead to higher bond yields, triggering capital losses for the banks. Banks then cut back loans, which reduces fiscal multipliers.
CHRISTIAAN VAN DER KWAAK   +1 more
wiley   +1 more source

Monetary Policy When Preferences Are Quasi‐Hyperbolic

open access: yesJournal of Money, Credit and Banking, EarlyView.
Abstract We study discretionary monetary policy in an economy where economic agents have quasi‐hyperbolic discounting. We demonstrate that a benevolent central bank is able to keep inflation under control for a wide range of discount factors. If the central bank, however, does not adopt the household's time preferences and tries to discourage early ...
RICHARD DENNIS, OLEG KIRSANOV
wiley   +1 more source

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