Download or read book Essays on Asset Pricing with Preference Heterogeneity written by Giuliano Antonio Curatola and published by . This book was released on 2013 with total page 197 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on Heterogeneity Insurance and Asset Pricing written by Tsvetanka Karagyozova and published by . This book was released on 2007 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Heterogeneity Asset Pricing and Trade written by Shashidhar N. Murthy and published by . This book was released on 1990 with total page 240 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Household Heterogeneity and Asset Pricing written by Jack Favilukis and published by . This book was released on 2007 with total page 418 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays in Asset Pricing and Market Imperfections written by Weiyang Qiu (Ph. D.) and published by . This book was released on 2010 with total page 176 pages. Available in PDF, EPUB and Kindle. Book excerpt: (cont.) The third part of the thesis studies asset pricing under heterogeneous information. In an asset market where agents have heterogeneous information, asset prices not only depend their expectations of the true fundamentals but also depend on their expectations of the expectations of others. Iterations of such expectations lead to the so-called "infinite regress" problem, which makes the analysis of asset pricing under heterogeneous information challenging. In this part, we solve the infinite-regress problem in a simple economic setting under a fairly general information structure. This allows us to examine how different forms of information heterogeneity impacts the behavior of asset prices, their return dynamics, trading volume as well as agents' welfare.

Download or read book Essays on Asset Pricing with Heterogeneous Investors written by Scott Spencer Condie and published by . This book was released on 2007 with total page 210 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Asset Pricing Under Heterogeneous Beliefs written by Shangwen Wang and published by . This book was released on 2002 with total page 614 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Young Old Conservative and Bold written by Nicolae Garleanu and published by . This book was released on 2015 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the implications of preference heterogeneity for asset pricing. We use recursive preferences in order to separate heterogeneity in risk aversion from heterogeneity in the intertemporal elasticity of substitution, and an overlapping-generations framework to obtain a non-degenerate stationary equilibrium. We solve the model explicitly up to the solutions of ordinary differential equations, and highlight the effects of overlapping generations and each dimension of preference heterogeneity on the market price of risk, interest rates, and the volatility of stock returns. We find that separating IES and risk aversion heterogeneity can have a substantive impact on the model's (qualitative and quantitative) ability to address some key asset pricing issues.

Download or read book Essays on Asset Pricing with Generalized Preferences written by Wei-Mun Wang and published by . This book was released on 2004 with total page 88 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Equilibrium Asset Pricing with Heterogeneous Agents written by Qi Zeng and published by . This book was released on 2003 with total page 117 pages. Available in PDF, EPUB and Kindle. Book excerpt: My dissertation concerns the equilibrium asset pricing and its implications when agents are heterogenous. There are three chapters in the dissertation.

Download or read book Essays on Asset Pricing with Heterogeneous Beliefs and Bounded Rational Investor written by Lei Lu and published by . This book was released on 2007 with total page 142 pages. Available in PDF, EPUB and Kindle. Book excerpt: "The thesis includes two essays on asset pricing. In the first essay, "Asset Pricing in a Monetary Economy with Heterogeneous Beliefs", we shed new light on the role of monetary policy in asset pricing by focusing on the case where investors have heterogeneous expectations about future monetary policy. Under heterogeneity in beliefs, investors place bets against each other on the evolution of money supply, and as a result, the sharing of wealth in the economy evolves stochastically over time, making money non-neutral. Employing a continuous-time, general equilibrium model, we establish these fluctuations to be rich in implications, in that they majorly affect the equilibrium prices of all assets, as well as inflation. In particular, we find that the stock market volatility may be significantly increased by the heterogeneity in beliefs, a conclusion supported by our empirical analysis. The second essay is titled with " Asset Pricing and Welfare Analysis with Bounded Rational Investors". Motivated by the fact that investors have limited ability and insufficient knowledge to process information, I model investors' bounded-rational behavior in processing information and study its implications on asset pricing. Bounded rational investors perceive "correlated" information (which consists of news that is correlated with fundamentals, but provides no information on them) as "fundamental" information. This generates "bounded rational risk". Asset prices and volatilities of asset returns are derived. Specially, the equity premium and the stock volatility are raised under some conditions. I also analyze the welfare impact of bounded rationality." --

Download or read book Essays in Asset Pricing and Applied Micro economics written by Mark William Clements and published by . This book was released on 2015 with total page 532 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the first chapter, Christian Goulding and I present a model of asset prices with recursive preferences and the simple consumption growth dynamics of Mehra and Prescott (1985) but relax the assumption that preference parameters are constant over time. We show that rare, temporary, and plausible fluctuations in the elasticity of inter-temporal substitution (EIS) and risk aversion (RA) can quantitatively explain numerous regularities in U.S. asset prices including: the equity premium and risk-free rate puzzles, excess return and consumption growth predictability, a counter-cyclical risk premium and an upward-sloping real yield curve. A novel implication is that time-varying EIS is more important than time-varying RA for explaining many of these regularities, suggesting a new source of risk in investors' ability to plan their consumption over long horizons. In addition, our model can accommodate a behavioral interpretation of psychological factors (e.g. fear) that drive fluctuations in asset prices beyond traditional risk factors.

Download or read book Diverse Risk Preferences and Heterogeneous Expectations in an Asset Pricing Model written by Thomas Gomez and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a heuristic switching model of an asset market where the agents' choice of heuristic is consistent with their individual risk aversion. They choose between a fundamentalist and a trend-following rule to form expectations about the price of a risky asset. Given their risk aversion, agents make a deterministic trade-off between mean and variance both in choosing a forecasting heuristic and determining the number of risky assets to buy. Heterogeneous risk preferences can lead to diverse choices of heuristic. Using empirical estimates for the distribution of risk aversion, simulations show that the resulting time-varying heterogeneity of expectations can give rise to chaotic dynamics: irregular booms and busts in the asset price without exogenous shocks. Small, stochastic price shocks lead to larger asset price bubbles, and can make stable solutions explosive. We prove that a representative agent cannot capture our model.

Download or read book Heterogeneity and Asset Prices written by Nicolae Garleanu and published by . This book was released on 2020 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We develop a tractable asset-pricing framework characterized by imperfect risk sharing among cohorts, who experience different levels of integrated life-time endowments. While all asset-pricing implications stem from the heterogeneity of consumption among investors, cross-sectional measures of inequality are non-volatile, only weakly related to asset prices, and far more persistent than the price-to-dividend ratio. We show how to identify a marginal agent's consumption growth in this framework by utilizing cross-sectional information. Our proposed notion of marginal-agent consumption growth exhibits different and more volatile low-frequency variation than the aggregate consumption growth per capita, which is normally used in representative agent models. These low frequency movements in our measure of marginal agent consumption growth can explain a large portion of the low frequency movements in real interest rates and, when combined with recursive preferences, can account quantitatively for the stylized asset-pricing facts (high market price of risk, equity premium, volatility, and return predictability).

Download or read book Essays on consumer preferences and asset pricing written by John Qi Zhu and published by . This book was released on 2007 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Heterogeneity and Asset Prices written by Nicolae B. Gârleanu and published by . This book was released on 2020 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: We develop a tractable asset-pricing framework characterized by imperfect risk sharing among cohorts, who experience different levels of integrated life-time endowments. While all asset-pricing implications stem from the heterogeneity of consumption among investors, cross-sectional measures of inequality are non-volatile, only weakly related to asset prices, and far more persistent than the price-to-dividend ratio. We show how to identify a marginal agent's consumption growth in this framework by utilizing cross-sectional information. Our proposed notion of marginal-agent consumption growth exhibits different and more volatile low-frequency variation than the aggregate consumption growth per capita, which is normally used in representative agent models. These low frequency movements in our measure of marginal agent consumption growth can explain a large portion of the low frequency movements in real interest rates and, when combined with recursive preferences, can account quantitatively for the stylized asset-pricing facts (high market price of risk, equity premium, volatility, and return predictability).

Download or read book Essays in Consumer Preferences and Asset Pricing written by John Qi Zhu and published by . This book was released on 2007 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: