Download or read book Essays in Financial Economics on Heterogeneity in the Marginal Propensity to Consume written by Jan Wedigo Radermacher and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Wealth Heterogeneity and the Marginal Propensity to Consume Out of Wealth written by Bertrand Garbinti and published by . This book was released on 2022 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays in Financial Economics written by Winston Wei Dou and published by . This book was released on 2017 with total page 383 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis consists of three essays that theoretically and empirically investigate the asset pricing and macroeconomic implications of uncertainty shocks, propose new measures for model robustness, explain the joint dynamics on equity excess returns and real exchange rates. In the first chapter, I show that the effect of uncertainty shocks on asset prices and macroeconomic dynamics depends on the degree of risk sharing in the economy and the origin of uncertainty. I develop a general equilibrium model with imperfect risk sharing and two sources of uncertainty shocks: (i) cash-flow uncertainty shocks, which affect the idiosyncratic volatility of firms' productivity, and (ii) growth uncertainty shocks, which affect the idiosyncratic variability of firms' investment opportunities. My model deviates from the neoclassical setting in one respect: firms' investment policies are set by the experts who are subject to a moral hazard problem and thus must maintain an non-diversified ownership stake in the firm. As a result, risk sharing between experts and other investors is imperfect. Limited risk sharing distorts equilibrium investment choices, firm valuation, and prices of risk in equilibrium relative to the frictionless benchmark. In the calibrated model, the risk premium on growth uncertainty shocks is negative under poor risk sharing conditions and positive otherwise. Moreover, the cross-sectional spread in valuations between value and growth stocks loads positively on the growth uncertainty shocks under poor risk sharing conditions and negatively otherwise. Empirical tests support these predictions of the model. The second chapter is based on the joint work Chen, Dou, and Kogan (2015), in which we propose a new quantitative measure of model fragility, based on the tendency of a model to over-fit the data in sample with poor out-of-sample performance. We formally show that structural economic models are fragile when the cross-equation restrictions they impose on the baseline statistical model appear excessively informative about combinations of model parameters that are otherwise difficult to estimate. We develop an analytically tractable asymptotic approximation to our fragility measure which we use to identify the problematic parameter combinations. Using these asymptotic results, we diagnose fragility in asset pricing models with rare disasters and long-run consumption risk. The third chapter is based on the joint work Dou and Verdelhan (2015), which presents a two-good, two-country real model that replicates the basic stylized facts on equity excess returns and real interest rates. In the model, markets are incomplete. In each country, workers cannot participate in financial markets whereas investors trade domestic and foreign stocks, as well as an international bond. The investors' asset positions are subject to a borrowing constraint, along with a short-selling constraint on equity. Foreign and domestic agents differ in their elasticity of inter temporal substitution and in their risk-aversion. A time-varying probability of a global disaster implies time-varying risk premia in asset markets, and therefore large and time-varying expected valuation effects on international asset positions. The model highlights the role of market incompleteness and heterogeneity across countries in accounting for the volatility of equity and debt international capital flows.
Download or read book Essays in the Economics of Heterogeneity written by Laurent E. Calvet and published by . This book was released on 1998 with total page 800 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays in Financial Economics written by Yupeng Wang (Scientist in business management) and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation contains three essays in financial economics, with a focus on the effects of new technologies on traditional financial markets including venture capital market and mortgage market.
Download or read book Essays in Financial Economics written by Matías Braun and published by . This book was released on 2003 with total page 191 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays in Financial Economics written by Zixuan Wang and published by . This book was released on 2019 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays in Financial Economics written by Robin Döttling and published by . This book was released on 2019 with total page 159 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays on Financial Economics written by Nicola Borri and published by . This book was released on 2010 with total page 296 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays in Financial Economics written by Nittai Katz Bergman and published by . This book was released on 2003 with total page 140 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays in Financial Economics written by Mark Legge Muzere and published by . This book was released on 2001 with total page 184 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays in Financial Economics written by Todd Mitton and published by . This book was released on 2000 with total page 110 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays in Financial Economics written by Reza Shabani and published by . This book was released on 2012 with total page 192 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation is comprised of two chapters, each of which contributes to the field of financial economics, particularly in the areas of behavioral and household finance. "Corporate News, Asset Prices, and the Media" examines investor reaction to stale information using a novel data set containing a time-stamped transcript of the financial news network CNBC. I measure changes in stock price and trading volume at the precise time that a company is mentioned on CNBC in the 24 hours following a corporate news event, and find strong evidence that some investors react to stale news. There is a significant increase in stock price at the precise time that a company is mentioned on CNBC following a positive news event. Surprisingly, there is also a significant increase in stock price at the precise time that a company is mentioned on CNBC following a negative news event. This puzzle is not explained using observable differences between positive and negative news events or their subsequent mentions. Evidence using cross-sectional variation in the number of positive and negative words suggests that media attention can inflate asset prices in the presence of short-sale constraints as investors with the most optimistic valuations are able to buy while those with the most pessimistic valuations are unable to sell short. "Outstanding Debt and the Household Portfolio," co-authored with my classmate Thomas A. Becker, alters a simple portfolio choice model to allow households to retire outstanding debt and realize a risk-free rate of return equal to the interest rate on that debt. Using the Survey of Consumer Finances we find that households with mortgage debt are 10 percent less likely to own stocks and 37 percent less likely to own bonds compared to similar households with no outstanding mortgage debt. To show that our results are not driven by irrational behavior amongst a subset of households, we construct two proxy variables for financial naivete. Finally we calculate the costs of non-optimal investment decisions in the presence of various forms of household debt including mortgages, home equity loans and credit card debt. We find that 26 percent of households should forego equity market participation on account of the high interest rates that they pay on their debt.
Download or read book Essays in Financial Economics written by Wei Yang and published by . This book was released on 2005 with total page 214 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Two Essays in Financial Economics written by Bo Liu and published by . This book was released on 2006 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays in Financial Economics written by Juha E. Korpela and published by . This book was released on 1999 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays in Financial Economics written by Rajnish Mehra and published by . This book was released on 1977 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt:
