Download or read book Mean Reversion in Equilibrium Asset Prices written by Marco Bonomo and published by . This book was released on 1990 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Mean Reversion in Equilibrium Asset Prices written by Stephen Giovanni Cecchetti and published by . This book was released on 1988 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent empirical studies have found that stock returns contain substantial negative serial correlation at long horizons. We examine this finding with a series of Monte Carlo simulations in order to demonstrate that it is consistent with an equilibrium model of asset pricing. When investors display only a moderate degree of risk aversion, commonly used measures of mean reversion in stock prices calculated from actual returns data nearly always lie within a 60 percent confidence interval of the median of the Monte Carlo distributions. From this evidence, we conclude that the degree of serial correlation in the data could plausibly have been generated by our model.
Download or read book Mean Reversion in Equilibrium Asset Prices written by and published by . This book was released on 1988 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Mean Reversion in Equilibrium Asset Prices written by Hendrik Bessembinder and published by . This book was released on 1994 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Mean Reversion in Equilibrium Asset Prices written by and published by . This book was released on 1993 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Mean Reversion in Equilibrium Asset Prices written by Stephen G. Cecchetti and published by . This book was released on 2010 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent empirical studies have found that stock returns contain substantial negative serial correlation at long horizons. We examine this finding with a series of Monte Carlo simulations in order to demonstrate that it is consistent with an equilibrium model of asset pricing. When investors display only a moderate degree of risk aversion, commonly used measures of mean reversion in stock prices calculated from actual returns data nearly always lie within a 60 percent confidence interval of the median of the Monte Carlo distributions. From this evidence, we conclude that the degree of serial correlation in the data could plausibly have been generated by our model.
Download or read book Can a Well fitted Equilibrium Asset Pricing Model Produce Mean Reversion written by Marco Bonomo and published by Montréal : Université de Montréal, Dép. de sciences économiques. This book was released on 1991 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Can a well fitted equilibrium asset pricing model produce mean reversion written by Marco Antonio Bonomo and published by . This book was released on 1992 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book An Equilibrium Theory of Excess Volatility and Mean Reversion in Stock Market Prices written by Alan J. Marcus and published by . This book was released on 1989 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: Apparent mean reversion and excess volatility in stock market prices can be reconciled with the Efficient Market Hypothesis by specifying investor preferences that give rise to the demand for portfolio insurance. Therefore, several supposed macro anomalies can be shown to be consistent with a rational market in a simple and parsimonious model of the economy. Unlike other models that have derived equilibrium mean reversion in prices, the model in this paper does not require that the production side of the economy exhibit mean reversion. It also predicts that mean reversion and excess volatility will differ substantially across subperiods.
Download or read book Mean Reversion and Consumption Smoothing written by Fischer Black and published by . This book was released on 1989 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using a simple conventional model with additive separable utility and constant elasticity, we can explain mean reversion and consumption smoothing. The model uses the price of risk and wealth as state variables, but has only one stochastic variable. The price of risk rises temporarily as wealth falls. We also distinguish between risk aversion and the consumption elasticity of marginal utility. We can use the model to match estimates of the average values of consumption volatility, wealth volatility, mean reversion, the growth rate of consumption, the real interest rate, and the market risk premium.
Download or read book Cahier 9127 Can a Well fitted Equilibrium Asset Pricing Model Produce Mean Reversion Marco Bonomo Ren Garcia written by Univ. de Montréal. Fac. des Arts et des Sciences. Dépt. de Sciences Economiques and published by . This book was released on 1991 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Average Crossing Time written by John B. Donaldson and published by . This book was released on 2019 with total page 71 pages. Available in PDF, EPUB and Kindle. Book excerpt: We evaluate the properties of mean reversion and mean aversion in asset prices and returns as commonly characterized in the finance literature. The study is undertaken within a class of well-known dynamic stochastic general equilibrium models and shows that the mean reversion/aversion distinction is largely artificial. We then propose an alternative measure, the 'Average Crossing Time' that both unifies these concepts and provides an alternative characterization. Ceteris paribus, mean reverting processes have a relatively shorter average crossing time as compared to mean averting processes.
Download or read book An Equilibrium Theory of Excess Volatility and Mean Reversion in Stock Prices written by Alan J. Marcus and published by . This book was released on 1989 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Effects of Mean Reversion on Dynamic Corporate Finance and Asset Pricing written by Kai-Cheung Chu and published by . This book was released on 2017-01-26 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Asset Pricing written by B.Philipp Kellerhals and published by Springer Science & Business Media. This book was released on 2012-11-02 with total page 247 pages. Available in PDF, EPUB and Kindle. Book excerpt: Covers applications to risky assets traded on the markets for funds, fixed-income products and electricity derivatives. Integrates the latest research and includes a new chapter on financial modeling.
Download or read book Pricing of Derivatives on Mean Reverting Assets written by Björn Lutz and published by Springer Science & Business Media. This book was released on 2009-09-19 with total page 146 pages. Available in PDF, EPUB and Kindle. Book excerpt: The topic of this book is the development of pricing formulae for European style derivatives on assets with mean-reverting behavior, especially commodity derivatives.
Download or read book Essays in Asset Pricing written by Ashish Tiwari and published by . This book was released on 1994 with total page 200 pages. Available in PDF, EPUB and Kindle. Book excerpt:
