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Book Asset Pricing with Distorted Beliefs

Download or read book Asset Pricing with Distorted Beliefs written by Stephen Giovanni Cecchetti and published by . This book was released on 1998 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study a Lucas asset pricing model that is standard in all respects representative agent's subjective beliefs about endowment growth are distorted. Using constant-relative-risk-aversion (CRRA) utility a CRRA coefficient below ten that exhibit, on average, excessive pessimism over expansions and excessive optimism over contractions, our model is able to match the first and second moments of the equity premium and risk-free rate, as well as the persistence and predictability of excess returns found in the data.

Book Asset Pricing with Distorted Beliefs

Download or read book Asset Pricing with Distorted Beliefs written by Stephen G. Cecchetti and published by . This book was released on 2008 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study a Lucas asset pricing model that is standard in all respects representative agent's subjective beliefs about endowment growth are distorted. Using constant-relative-risk-aversion (CRRA) utility a CRRA coefficient below ten that exhibit, on average, excessive pessimism over expansions and excessive optimism overquot; contractions, our model is able to match the first and second moments of the equity premium andquot; risk-free rate, as well as the persistence and predictability of excess returns found in the data.quot.

Book Asset Prising with Distorted Beliefs

Download or read book Asset Prising with Distorted Beliefs written by Stephen G. Cecchetti and published by . This book was released on 1998 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Book Essays on Asset Pricing

Download or read book Essays on Asset Pricing written by Tian Liang and published by . This book was released on 2008 with total page 318 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Book Macroeconomic Fluctuations and Policies

Download or read book Macroeconomic Fluctuations and Policies written by Edouard Challe and published by MIT Press. This book was released on 2023-09-19 with total page 361 pages. Available in PDF, EPUB and Kindle. Book excerpt: The basic tools for analyzing macroeconomic fluctuations and policies, applied to concrete issues and presented within an integrated New Keynesian framework. This textbook presents the basic tools for analyzing macroeconomic fluctuations and policies and applies them to contemporary issues. It employs a unified New Keynesian framework for understanding business cycles, major crises, and macroeconomic policies, introducing students to the approach most often used in academic macroeconomic analysis and by central banks and international institutions. The book addresses such topics as how recessions and crises spread; what instruments central banks and governments have to stimulate activity when private demand is weak; and what “unconventional” macroeconomic policies might work when conventional monetary policy loses its effectiveness (as has happened in many countries in the aftermath of the Great Recession.). The text introduces the foundations of modern business cycle theory through the notions of aggregate demand and aggregate supply, and then applies the theory to the study of regular business-cycle fluctuations in output, inflation, and employment. It considers conventional monetary and fiscal policies aimed at stabilizing the business cycle, and examines unconventional macroeconomic policies, including forward guidance and quantitative easing, in situations of “liquidity trap”—deep crises in which conventional policies are either ineffective or have very different effects than in normal time. This book is the first to use the New Keynesian framework at the advanced undergraduate level, connecting undergraduate learning not only with the more advanced tools taught at the graduate level but also with the large body of policy-oriented research in academic journals. End-of-chapter problems help students master the materials presented.

Book A Behavioral Approach to Asset Pricing

Download or read book A Behavioral Approach to Asset Pricing written by Hersh Shefrin and published by Elsevier. This book was released on 2005-02-03 with total page 513 pages. Available in PDF, EPUB and Kindle. Book excerpt: A Behavioral Approach to Asset Pricing Theory examines the reigning assumptions of asset pricing theory and reconstructs them to incorporate findings from behavioral finance. It constructs a solid, intact structure that challenges classic assumptions and at the same time provides a strong theory and efficient empirical tools. Building on the models developed by both traditional asset pricing theorists and behavioral asset pricing theorists, this book takes the discussion to the next step. The author provides a general behaviorally based intertemporal treatment of asset pricing theory that extends to the discussion of derivatives, fixed income securities, mean-variance efficient portfolios, and the market portfolio. The book develops a series of examples to illustrate the theoretical results. The CD-ROM contains most of the examples, worked out as Excel spreadsheets, so that a diligent reader can follow them through. Instructors might also want to use the examples to assign class exercises, asking students to modify the numbers and see what happens. * The first book to focus completely on how behavioral finance principles affect asset pricing * Hersh Shefrin is a recognized expert in behavioral finance * Behavioral finance is a growth area in finance scholarship and moving more and more into practice

Book A Crisis of Beliefs

Download or read book A Crisis of Beliefs written by Nicola Gennaioli and published by Princeton University Press. This book was released on 2018-09-11 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt: How investor expectations move markets and the economy The collapse of Lehman Brothers in September 2008 caught markets and regulators by surprise. Although the government rushed to rescue other financial institutions from a similar fate after Lehman, it could not prevent the deepest recession in postwar history. A Crisis of Beliefs makes us rethink the financial crisis and the nature of economic risk. In this authoritative and comprehensive book, two of today’s most insightful economists reveal how our beliefs shape financial markets, lead to expansions of credit and leverage, and expose the economy to major risks. Nicola Gennaioli and Andrei Shleifer carefully walk readers through the unraveling of Lehman Brothers and the ensuing meltdown of the US financial system, and then present new evidence to illustrate the destabilizing role played by the beliefs of home buyers, investors, and regulators. Using the latest research in psychology and behavioral economics, they present a new theory of belief formation that explains why the financial crisis came as such a shock to so many people—and how financial and economic instability persist. A must-read for anyone seeking insights into financial markets, A Crisis of Beliefs shows how even the smartest market participants and regulators did not fully appreciate the extent of economic risk, and offers a new framework for understanding today’s unpredictable financial waters.

Book Heterogeneous Beliefs Risk and Learning in a Simple Asset Pricing Model

Download or read book Heterogeneous Beliefs Risk and Learning in a Simple Asset Pricing Model written by Carl Chiarella and published by . This book was released on 1999 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Book The Paradox of Asset Pricing

Download or read book The Paradox of Asset Pricing written by Peter Bossaerts and published by Princeton University Press. This book was released on 2005-01-17 with total page 186 pages. Available in PDF, EPUB and Kindle. Book excerpt: Asset pricing theory abounds with elegant mathematical models. The logic is so compelling that the models are widely used in policy, from banking, investments, and corporate finance to government. To what extent, however, can these models predict what actually happens in financial markets? In The Paradox of Asset Pricing, a leading financial researcher argues forcefully that the empirical record is weak at best. Peter Bossaerts undertakes the most thorough, technically sound investigation in many years into the scientific character of the pricing of financial assets. He probes this conundrum by modeling a decidedly volatile phenomenon that, he says, the world of finance has forgotten in its enthusiasm for the efficient markets hypothesis--speculation. Bossaerts writes that the existing empirical evidence may be tainted by the assumptions needed to make sense of historical field data or by reanalysis of the same data. To address the first problem, he demonstrates that one central assumption--that markets are efficient processors of information, that risk is a knowable quantity, and so on--can be relaxed substantially while retaining core elements of the existing methodology. The new approach brings novel insights to old data. As for the second problem, he proposes that asset pricing theory be studied through experiments in which subjects trade purposely designed assets for real money. This book will be welcomed by finance scholars and all those math--and statistics-minded readers interested in knowing whether there is science beyond the mathematics of finance. This book provided the foundation for subsequent journal articles that won two prestigious awards: the 2003 Journal of Financial Markets Best Paper Award and the 2004 Goldman Sachs Asset Management Best Research Paper for the Review of Finance.

Book Asset pricing with distorted beiefs

Download or read book Asset pricing with distorted beiefs written by Stephen G. Cecchetti and published by . This book was released on 1998 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Book Behavioral Preferences and Beliefs in Asset Pricing

Download or read book Behavioral Preferences and Beliefs in Asset Pricing written by G. Gertsman and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Book Handbook of Behavioral Economics Foundations and Applications 1

Download or read book Handbook of Behavioral Economics Foundations and Applications 1 written by and published by Elsevier. This book was released on 2018-09-27 with total page 749 pages. Available in PDF, EPUB and Kindle. Book excerpt: Handbook of Behavioral Economics: Foundations and Applications presents the concepts and tools of behavioral economics. Its authors are all economists who share a belief that the objective of behavioral economics is to enrich, rather than to destroy or replace, standard economics. They provide authoritative perspectives on the value to economic inquiry of insights gained from psychology. Specific chapters in this first volume cover reference-dependent preferences, asset markets, household finance, corporate finance, public economics, industrial organization, and structural behavioural economics. This Handbook provides authoritative summaries by experts in respective subfields regarding where behavioral economics has been; what it has so far accomplished; and its promise for the future. This taking-stock is just what Behavioral Economics needs at this stage of its so-far successful career. Helps academic and non-academic economists understand recent, rapid changes in theoretical and empirical advances within behavioral economics Designed for economists already convinced of the benefits of behavioral economics and mainstream economists who feel threatened by new developments in behavioral economics Written for those who wish to become quickly acquainted with behavioral economics

Book Asset Pricing With Heterogenous Beliefs in a Two Trees Setting

Download or read book Asset Pricing With Heterogenous Beliefs in a Two Trees Setting written by Simon Lysbjerg Hansen and published by . This book was released on 2007 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies the stock price formation in a pure-exchange economy populated by investors who disagree on the expected dividend growth rates. The homogenous beliefs equilibrium model of Cochrane, Longstaff, and Santa-Clara (2005) is extended to allow for belief heterogeneity, and the equilibrium is characterized. Stock prices and the volatility structure is expressed as conditional expectations, which can be solved numerically with Monte-Carlo simulations. The equilibrium is solved for in three stylized examples. First, confidence in the numerical scheme is obtained by replicating the results of Cochrane et al. (2005). Then, parameter uncertainty (but homogenous beliefs) is introduced and is found to decrease (increase) expected rates of return of the asset that constitutes less (more) of the market portfolio. Return volatilities increase and return correlation decreases as a consequence of parameter uncertainty. Finally, belief heterogeneity is found to complicate the economy even further, the effect being most profound for the return volatility and correlation structures.