Download or read book Essays on Consumption and Asset Pricing Puzzles written by 王高文 and published by . This book was released on 2003 with total page 119 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays on Consumption and Asset Pricing Puzzles written by and published by . This book was released on with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis contributes to the literature on the consumption-portfolio choice under uncertainty and is motivated by several empirical failures of the standard consumption-based capital asset pricing model (CCAPM). This canonical model has proven disappointing empirically and has even been questioned whether it is theoretically valuable and practically useful even if it is in some sense the only model we have. The frustration is due to that the model performs no better in practice and generates some well-known consumption puzzles and asset pricing puzzles. The purpose of the thesis is to reexamine these puzzles and then to resolve them. After the debate of Hansen and Singleton (1983) and Hall (1988), the estimates of the elasticity of intertemporal substitution (EIS) of consumption in a representative agent model have not resulted in any consensus. Based on this observation, the first chapter of this thesis is focused on resolving the elasticity puzzle or the unresponsiveness to interest rates. We propose a new theoretical and empirical perspective on the relationship between consumption growth and asset returns. In the spirit of Hansen and Singleton (1983), we demonstrate that observed growth rate of consumption responds not only to a specific asset return but also to other asset returns. Empirically, US postwar quarterly data are used to fit the regression model derived in the chapter, and the sample period is 1953Q2-2001Q2. Empirical results show that the EIS is greater than 0.1, the maximum value considered possible by Hall (1988). Accordingly, we argue that there is no elasticity puzzle in the standard representative agent model. The second chapter provides an explanation for the puzzle of excess sensitivity of consumption to expected income proposed by Flavin (1981). We exploit consumer's superior information (i.e., windfalls in investments and in income) to integrate the consumption Euler equations into a generalized Euler equation. The implications emerging f.
Download or read book Essays on Asset Pricing Puzzles written by Federico Gavazzoni and published by . This book was released on 2012 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays on Consumer Behavior and Asset Prices written by Jeon-Hyeok Cho and published by . This book was released on 1991 with total page 282 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays on Money and Asset Pricing written by and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 Essays in Consumption based Asset Pricing Models written by Hugo Alejandro Garduño Arredondo and published by . This book was released on 2008 with total page 324 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays on Asset Pricing Consumption and Wealth written by Qi Li and published by . This book was released on 2004 with total page 132 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays on Asset Pricing with Stochastic Discount Factors written by St?phane Chr?tien and published by LAP Lambert Academic Publishing. This book was released on 2012-02 with total page 136 pages. Available in PDF, EPUB and Kindle. Book excerpt: Many financial models are evaluated using the stochastic discount factor (SDF) approach because of its simplicity, flexibility and universality. The two essays of this work exploit these characteristics to re-examine two long-standing asset pricing topics: consumption-based and performance measurement models. The first essay develops a methodology to understand and compare the sources of pricing errors in models based on SDF moments. The method allows a new investigation of preference-based explanations of the risk-free rate, term premium and risk premium puzzles. The second essay presents a method to measure performance evaluation by developing bounds on admissible performance measures that are free from inference errors. The bounds are furthermore used in ranking mutual funds and as a diagnostic instrument for evaluating candidate performance measures. Each essay carefully establishes the empirical relevancy of the proposed methodologies. These extensions of the SDF framework provide important new insights and have numerous finance applications for academic researchers and practitioners.
Download or read book Essays on Empirical Asset Pricing and Under investment Puzzle written by Dongna Zhang and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays in Asset Pricing and Forecasting written by Ritong Qu and published by . This book was released on 2021 with total page 230 pages. Available in PDF, EPUB and Kindle. Book excerpt: My thesis has two themes: The first theme is about studying investors' expectations and the relation to asset prices; while the second theme is about evaluating forecasting performance. Both themes focus on what we can learn from a panel of data. The first chapter of my dissertation studies rational investors' expectation of consumption growth at the presence of structure breaks and asset pricing implications. While the first chapter studies how rational individuals should do, the second and third chapters focus on forecasters' behavior in real world, by developing tools to evaluate forecasters' performance about multiple variables, across many forecasters and at single time periods. In Chapter 1, we use data on multiple consumption goods to identify infrequent, but persistent breaks to consumption growth dynamics. Over a sixty-year sample, we find four breaks, all of which are associated with major macroeconomic and financial market events such as oil price shocks, the Great Moderation, the end of the tech stock market bubble, and the Covid pandemic. The impact of the breaks on consumption growth is highly uncertain and heterogeneous across consumption goods. We explore the asset pricing implications of our novel empirical evidence in the context of a Lucas tree model in which investors use information on multiple consumption goods to learn about model parameters. We find that break risk in consumption growth, combined with investor learning, helps resolve a number of asset pricing puzzles such as high risk premium and volatility of market returns, as well as cross-sectional anomalies such as momentum. Chapter 2 is joint work with Allan Timmermann and Yinchu Zhu. Forecasting skills are often identified by comparing predictive accuracy across large numbers of forecasts. This generates a multiple hypothesis testing problem that can trigger many false positives. We develop a new bootstrap test approach for identifying superior predictive accuracy that applies to multi-dimensional panel settings with arbitrarily many forecasts, outcome variables, horizons, and time periods. Our approach controls the family-wise error rate while retaining the ability to identify truly skilled forecasters. An empirical analysis of the IMF's World Economic Outlook forecasts across 185 countries, five variables and several forecast horizons shows how our approach can be used to identify variables and countries for which the IMF's forecasts improve significantly at shorter horizons as well as cases where they fail to improve. Chapter 3 is also joint work with Allan Timmermann and Yinchu Zhu. We develop new methods for pairwise comparisons of predictive accuracy with cross-sectional data. Using a common factor setup, we establish conditions on cross-sectional dependencies in forecast errors which allow us to test the null of equal predictive accuracy on a single cross-section of forecasts. We consider both unconditional tests of equal predictive accuracy as well as tests that condition on the realization of common factors and show how to decompose forecast errors into exposures to common factors and idiosyncratic components. An empirical application compares the predictive accuracy of financial analysts' short-term earnings forecasts across six brokerage firms.
Download or read book Essays on Volatility Risk Asset Returns and Consumption based Asset Pricing written by Young Il Kim and published by . This book was released on 2008 with total page 176 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: My dissertation addresses two main issues regarding asset returns: econometric modeling of asset returns in chapters 2 and 3 and puzzling features of the standard consumption-based asset pricing model (C-CAPM) in chapters 4 and 5. Chapter 2 develops a new theoretical derivation for the GARCH-skew-t model as a mixture distribution of normal and inverted-chi-square in order to represent the three important stylized facts of financial data: volatility clustering, skewness and thick-tails. The GARCH-skew-t is same as the GARCH-t model if the skewness parameter is shut-off. The GARCH-skew-t is applied to U.S. excess stock market returns, and the equity premium is computed based on the estimated model. It is shown that skewness and kurtosis can have significant effect on the equity premium and that with sufficiently negatively skewed distribution of the excess returns, a finite equity premium can be assured, contrary to the case of the Student t in which an infinite equity premium arises. Chapter 3 provides a new empirical guidance for modeling a skewed and thick-tailed error distribution along with GARCH effects based on the theoretical derivation for the GARCH-skew-t model and empirical findings on the Realized Volatility (RV) measure, constructed from the summation of higher frequency squared (demeaned) returns. Based on an 80-year sample of U.S. daily stock market returns, it is found that the distribution of monthly RV conditional on past returns is approximately the inverted-chi-square while monthly market returns, conditional on RV and past returns are normally distributed with RV in both mean and variance. These empirical findings serve as the building blocks underlying the GARCH-skew-t model. Thus, the findings provide a new empirical justification for the GARCH-skew-t modeling of equity returns. Moreover, the implied GARCH-skew-t model accurately represents the three important stylized facts for equity returns. Chapter 4 provides a possible solution to asset return puzzles such as high equity premium and low riskfree rate based on parameter uncertainty. It is shown that parameter uncertainty underlying the data generating process can lead to a negatively skewed and thick-tailed distribution that can explain most of the high equity premium and low riskfree rate even with the degree of risk aversion below 10 in the CRRA utility function. Chapter 5 investigates a possible link between stock market volatility and macroeconomic risk. This chapter studies why U.S. stock market volatility has not changed much during the "great moderation" era of the 1980s in contrast to the prediction made by the standard C-CAPM. A new model is developed such that aggregate consumption is decomposed into stock and non-stock source of income so that stock dividends are a small part of consumption. This new model predicts that the great moderation of macroeconomic risk must have originated from declining volatility of shocks to the relatively large non-stock factor of production while shocks to the relatively small stock assets have been persistently volatile during the moderation era. Furthermore, the model shows that the systematic risk of holding equity is positively associated with the stock share of total wealth.
Download or read book Essays in Empirical Asset Pricing and Consumption portfolio Choice written by Farina Weiss and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
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:
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 Three Essays on Microfoundations of Economics written by Gaosheng Ju and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation, which consists of three essays, studies three applications. Each of them emphasizes the microfoundations of economic models. The first essay proposes a nonparametric estimation of structural labor supply and exact welfare change under nonconvex piecewise-linear budget sets. Different from previous literature, my method focuses on a nonparametric specification of an indirect utility function. I find that working with the indirect utility function is very useful in simultaneously addressing the labor supply problems with individual heterogeneity, nonconvex budget sets, labor nonparticipation, and measurement errors in working hours that previous literature was unable to. Further, the estimated indirect utility function proves to be convenient and efficient in calculating exact welfare change and deadweight loss under general piecewise-linear budget sets. In the second essay, I solve the equity premium, risk-free rate, and capital structure puzzles by laying a more solid microfoundation for consumption-based asset pricing models. I argue that the above two asset pricing puzzles arise from the aggregation of hump-shaped life-cycle consumption into per capita consumption, which accounts for the unanimous rejections of Euler equations in the literature. As for the third puzzle, I show that a firm's capital structure can be determined by heterogenous investors maximizing life-time utility even though the capital structure is irrelevant on the firm side. The endogenously determined leverage generates an even larger equity premium than a fixed one. The third essay studies the solution concepts of coalition equilibrium. Traditional solution concepts such as Strong Nash Equilibrium, Coalition-proof Nash Equilibrium, Largest Consistent Set, and Coalition Equilibrium violate the fundamental principles of individual rationality. I define a new solution concept, Weak Coalition Equilibrium, which requires each coalitional deviation to be within-coalition self-enforceable and cross-coalition self-enforceable. The cross-coalition self-enforceability endows coalitions with farsightedness. Weak Coalition Equilibrium is a generalization of Coalition-proof Nash Equilibrium and a refinement of the concept Nash Equilibrium. It exists under a weak condition. Most importantly, it is in line with the principle of individual rationality.
Download or read book Two Essays on Asset Pricing and Asset Choice written by James Eric Gunderson and published by . This book was released on 2004 with total page 336 pages. Available in PDF, EPUB and Kindle. Book excerpt:
