Download or read book Asset Pricing for Idiosyncratically Incomplete Markets written by Semen Mark Malamud (Mathematiker.) and published by . This book was released on 2006 with total page 192 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Asset Pricing for Idiosyncratically Incomplete Markets written by Semyon Malamud and published by . This book was released on 2006 with total page 192 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Common Factor in Idiosyncratic Volatility written by Bernard Herskovic and published by . This book was released on 2014 with total page 59 pages. Available in PDF, EPUB and Kindle. Book excerpt: We show that firms' idiosyncratic volatility obeys a strong factor structure and that shocks to the common factor in idiosyncratic volatility (CIV) are priced. Stocks in the lowest CIV-beta quintile earn average returns 6.4% per year higher than those in the highest quintile. We provide evidence that the CIV factor is correlated with income risk faced by households. These three facts are consistent with a canonical incomplete markets heterogeneous-agent model. In the model, CIV is a priced state variable because an increase in idiosyncratic firm volatility raises the typical investor's marginal utility when markets are incomplete. The calibrated model matches the high degree of comovement in idiosyncratic volatilities, the CIV-beta return spread, and several other asset price moments.
Download or read book Evaluating the Effects of Incomplete Markets on Risk Sharing and Asset Pricing Classic Reprint written by John Heaton and published by Forgotten Books. This book was released on 2018-02-21 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt: Excerpt from Evaluating the Effects of Incomplete Markets on Risk Sharing and Asset Pricing Incomplete markets in the form of an inability to borrow against risky future income has been proposed as an explanation for the poor predictive power of the standard consumption-based asset pricing model.1 With complete markets, individuals fully insure against idiosyncratic income shocks, and individual consumption is proportional to aggregate consumption.2 With limited insurance markets, however, individual consumption variability may exceed that of the aggregate, and the implied asset prices may differ significantly from those predicted by a representative consumer model. In this paper we study an economy in which agents cannot write contracts contingent on future labor income realizations. They face aggregate uncertainty in the form of dividend and systematic labor income risk, and also idiosyncratic labor income risk. Idiosyncratic income shocks can be buffered by trading in financial securities, but the extent of trade is limited by borrowing constraints, short sales constraints and transactions costs. About the Publisher Forgotten Books publishes hundreds of thousands of rare and classic books. Find more at www.forgottenbooks.com This book is a reproduction of an important historical work. Forgotten Books uses state-of-the-art technology to digitally reconstruct the work, preserving the original format whilst repairing imperfections present in the aged copy. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in our edition. We do, however, repair the vast majority of imperfections successfully; any imperfections that remain are intentionally left to preserve the state of such historical works.
Download or read book Asset Pricing with Idiosyncratic Risk and Overlapping Generations written by Kjetil Storesletten and published by . This book was released on 2011 with total page 63 pages. Available in PDF, EPUB and Kindle. Book excerpt: A number of existing studies have concluded that risk sharing allocations supported by competitive, incomplete markets equilibria are quantitatively close to first-best. Equilibrium asset prices in these models have been difficult to distinguish from those associated with a complete markets model, the counterfactual features of which have been widely documented. This paper asks if life cycle considerations, in conjunction with persistent idiosyncratic shocks which become more volatile during aggregate downturns, can reconcile the quantitative properties of the competitive asset pricing framework with those of observed asset returns. We begin by arguing that data from the Panel Study on Income Dynamics support the plausibility of such a shock process. Our estimates suggest a high degree of persistence as well as a substantial increase in idiosyncratic conditional volatility coincident with periods of low growth in U.S. GNP. When these factors are incorporated in a stationary overlapping generations framework, the implications for the returns on risky assets are substantial. Plausible parameterizations of our economy are able to generate Sharpe ratios which match those observed in U.S. data. Our economy cannot, however, account for the level of variability of stock returns, owing in large part to the specification of its production technology.
Download or read book On the Pricing of Options in Incomplete Markets written by Bas J. M. Werker and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we reconsider the pricing of options in incomplete continuous time markets. We first discuss option pricing with idiosyncratic stochastic volatility. This leads, of course, to an averaged Black-Scholes price formula. Our proof of this result uses a new formalization of idiosyncrasy which encapsulates other definitions in the literature. Our method of proof is subsequently generalized to other forms of incompleteness and systematic (i.e. non-idiosyncratic) information. Generally this leads to an option pricing formula which can be expressed as the average of a complete markets formula.
Download or read book Asset Pricing with Idiosyncratic Risk and Overlapping Generations written by Kjetil Storesletten and published by . This book was released on 2001 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Evaluating the Effects of Incomplete Markets on Risk Sharing and Asset Pricing written by John Heaton and published by . This book was released on 1993 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine asset prices and consumption patterns in a model in which agents face both aggregate and idiosyncratic income shocks, and insurance markets are incomplete. Agents reduce consumption variability by trading in a stock and bond market to offset idiosyncratic shocks, but transactions costs in both markets limit the extent of trade. To calibrate the model, we estimate an empirical model of labor and dividend income, using data from the PSID and the NIPA. Although the agents in the model are not very risk averse, the model predicts a sizable equity premium and a low riskfree rate. By simultaneously considering aggregate and idiosyncratic shocks, we decompose this effect of transactions costs on the equity premium into two components. The direct effect is due to the fact that individuals equate net-of-cost margins, so an asset with lower associated transactions costs will have a lower market rate of return. A second, indirect effect occurs because transactions costs result in individual consumption that more closely tracks individual income than aggregate consumption.
Download or read book Evaluating the Effects of Incomplete Markets on Risk Sharing and Asset Pricing written by John Heaton and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine an economy with aggregate and idiosyncratic income risk in which agents cannot contract on future labor income. Agents trade financial securities to buffer idiosyncratic shocks, but the extent of trade is limited by borrowing constraints and transactions costs. The effect of frictions on the equity premium is decomposed into two components: a direct effect due to the equation of net-of-costs margins and an indirect effect due to increased consumption volatility. Simulations suggest that the direct effect dominates and that the model predicts a sizable equity premium only if costs are large or the quantity of tradable assets is limited.
Download or read book Asset Returns in an Endogenous Growth Model with Incomplete Markets written by Tom Krebs and published by . This book was released on 2002 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies the testable implications of consumption-based asset pricing models with incomplete markets when idiosyncratic income shocks are permanent and not lognormally distributed. It is shown that the theory places no testable restrictions (beyond absence of arbitrage) on either the macroeconomic data or the first N moments of the cross-sectional distribution of consumption (income) growth. More precisely, this paper shows that any quot;observedquot; joint process of aggregate consumption, arbitrage-free asset returns, and N moments of the cross-sectional distribution of consumption growth is an equilibrium outcome for some incomplete-markets economy (some pure discount factor and process of individual income). The proof is based on the construction of a personal-disaster process (process of extreme idiosyncratic events) which allows for arbitrary variations in idiosyncratic risk without affecting the first N moments of the cross-sectional distribution of consumption growth.
Download or read book Evaluating the Effects of Incomplete Markets on Risk Sharing Nad Asset Pricing written by John Heaton and published by . This book was released on 1992 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Hans und Wolfgang von Weber Nachlass Tagebuch 1822 1828 Verfasser unbekannt BSB Ana 590 Tagebuch 1822 1828 written by and published by . This book was released on 1822 with total page 1475 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Effects of Incomplete Insurance Markets and Trading Costs in a Consumption Based Asset Pricing Model written by John Heaton and published by Palala Press. This book was released on 2015-09-05 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: This work has been selected by scholars as being culturally important, and is part of the knowledge base of civilization as we know it. This work was reproduced from the original artifact, and remains as true to the original work as possible. Therefore, you will see the original copyright references, library stamps (as most of these works have been housed in our most important libraries around the world), and other notations in the work. This work is in the public domain in the United States of America, and possibly other nations. Within the United States, you may freely copy and distribute this work, as no entity (individual or corporate) has a copyright on the body of the work.As a reproduction of a historical artifact, this work may contain missing or blurred pages, poor pictures, errant marks, etc. Scholars believe, and we concur, that this work is important enough to be preserved, reproduced, and made generally available to the public. We appreciate your support of the preservation process, and thank you for being an important part of keeping this knowledge alive and relevant.
Download or read book Incomplete Markets Transitory Shocks and Welfare written by Felix Kubler and published by . This book was released on 2000 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Dynamic Asset Pricing Models with Incomplete Markets and Market Frictions written by and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Dynamic Asset Pricing Models with Incomplete Markets and Market Frictions written by Philippe Doumit Karam and published by . This book was released on 1997 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Asset Pricing Puzzles and Incomplete Markets written by Chris I. Telmer and published by Kingston, Ont. : Institute for Economic Research, Queen's University. This book was released on 1991 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:
