Download or read book Rare Event Risk and Heterogeneous Beliefs written by Stephan Dieckmann and published by . This book was released on 2011 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides an equilibrium model subject to heterogeneous beliefs about the likelihood of rare events. I explore asset pricing implications in an incomplete capital market and the effects of market completion. Without explicit rare event insurance, investors insure themselves indirectly through the stock and money markets, the risk premium is countercyclical, and flight to quality effects arise. Upon market completion, the risk premium increases as investors increase their exposure to rare event risk. While market completion leads to a more efficient allocation based on investors' anticipatory utilities, its effect on ex-post efficiency is ambiguous.
Download or read book Heterogeneous Beliefs about Rare Event Risk in the Lucas Orchard written by Ilaria Piatti and published by . This book was released on 2017 with total page 59 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the asset pricing implications of investor disagreement about the likelihood of a systematic disaster. I specify a general equilibrium model with multiple trees and heterogeneous beliefs about rare event risk, to understand how risk-sharing mechanisms affect equity and variance risk premia, at an aggregate level and in the cross-section of stock returns. I identify a state-dependent link between equity and variance premia, that changes with the distribution of agent consumption. Empirically, as in the model, the variance premium's predictive power for future excess returns is greater during times of financial distress, mainly for small stocks.
Download or read book Rare Event Risk and Emerging Market Debt with Heterogeneous Beliefs written by Stephan Dieckmann and published by . This book was released on 2010 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt: In a setting where the lender and the borrower have heterogeneous beliefs about the likelihood of a disastrous shock to the borrower's economy, we revisit the debt contract proposed by Barro (2006). We find that a higher belief by the lender compared to the borrower can lead to countercyclical interest rates and credit spreads in non-default times, and to an increase in the borrower's indebtedness in default times, as often observed in emerging market economies. When calibrating the model to prices in the credit default swap market, we show that heterogeneous beliefs can account for more than 40% of the variation in CDS spreads associated with shocks to the borrower's economy in non-default times.
Download or read book Handbook on Systemic Risk written by Jean-Pierre Fouque and published by Cambridge University Press. This book was released on 2013-05-23 with total page 993 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Handbook on Systemic Risk, written by experts in the field, provides researchers with an introduction to the multifaceted aspects of systemic risks facing the global financial markets. The Handbook explores the multidisciplinary approaches to analyzing this risk, the data requirements for further research, and the recommendations being made to avert financial crisis. The Handbook is designed to encourage new researchers to investigate a topic with immense societal implications as well as to provide, for those already actively involved within their own academic discipline, an introduction to the research being undertaken in other disciplines. Each chapter in the Handbook will provide researchers with a superior introduction to the field and with references to more advanced research articles. It is the hope of the editors that this Handbook will stimulate greater interdisciplinary academic research on the critically important topic of systemic risk in the global financial markets.
Download or read book Handbook on Systemic Risk written by Jean-Pierre Fouque and published by Cambridge University Press. This book was released on 2013-05-23 with total page 993 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Handbook on Systemic Risk, written by experts in the field, provides researchers with an introduction to the multifaceted aspects of systemic risks facing the global financial markets. The Handbook explores the multidisciplinary approaches to analyzing this risk, the data requirements for further research, and the recommendations being made to avert financial crisis. The Handbook is designed to encourage new researchers to investigate a topic with immense societal implications as well as to provide, for those already actively involved within their own academic discipline, an introduction to the research being undertaken in other disciplines. Each chapter in the Handbook will provide researchers with a superior introduction to the field and with references to more advanced research articles. It is the hope of the editors that this Handbook will stimulate greater interdisciplinary academic research on the critically important topic of systemic risk in the global financial markets.
Download or read book Cochrane Handbook for Systematic Reviews of Interventions written by Julian P. T. Higgins and published by Wiley. This book was released on 2008-11-24 with total page 672 pages. Available in PDF, EPUB and Kindle. Book excerpt: Healthcare providers, consumers, researchers and policy makers are inundated with unmanageable amounts of information, including evidence from healthcare research. It has become impossible for all to have the time and resources to find, appraise and interpret this evidence and incorporate it into healthcare decisions. Cochrane Reviews respond to this challenge by identifying, appraising and synthesizing research-based evidence and presenting it in a standardized format, published in The Cochrane Library (www.thecochranelibrary.com). The Cochrane Handbook for Systematic Reviews of Interventions contains methodological guidance for the preparation and maintenance of Cochrane intervention reviews. Written in a clear and accessible format, it is the essential manual for all those preparing, maintaining and reading Cochrane reviews. Many of the principles and methods described here are appropriate for systematic reviews applied to other types of research and to systematic reviews of interventions undertaken by others. It is hoped therefore that this book will be invaluable to all those who want to understand the role of systematic reviews, critically appraise published reviews or perform reviews themselves.
Download or read book NBER Reporter written by National Bureau of Economic Research and published by . This book was released on 2002 with total page 300 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Handbook of Sports and Lottery Markets written by Donald B. Hausch and published by Elsevier. This book was released on 2011-08-11 with total page 561 pages. Available in PDF, EPUB and Kindle. Book excerpt: Its basic empirical research and investigation of pure theories of investment in the sports and lottery markets make this volume a winner. These markets are simpler to study than traditional financial markets, and their expected values and outcomes are uncomplicated. By means of new overviews of scholarship on the industry side of racetrack and other betting markets to betting exchanges and market efficiencies, contributors consider a variety of sports in countries around the world. The result is not only superior information about market forecasting, but macro- and micro-analyses that are relevant to other markets. Easily studied sports markets reveal features relevant for more complex traditional financial markets Significant coverage of sports from racing to jai alai New studies of betting exchanges and Internet wagering markets
Download or read book Financial Markets and the Real Economy written by John H. Cochrane and published by Now Publishers Inc. This book was released on 2005 with total page 117 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Markets and the Real Economy reviews the current academic literature on the macroeconomics of finance.
Download or read book Cultural Finance A World Map Of Risk Time And Money written by Thorsten Hens and published by World Scientific. This book was released on 2020-10-29 with total page 573 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a comprehensive overview of the emerging field of cultural finance. It summarizes research results of cultural differences in financial decision making and financial markets. Many of the results have been published in leading academic journals over the last ten years but some are presented here for the first time. The book is based on an international survey on risk and time preferences — the INTRA study, conducted in 53 countries worldwide. Applications to financial markets include the equity premium puzzle, the value premium, dividend payout policies and asset allocations.
Download or read book Asset Pricing and Portfolio Choice Theory written by Kerry E. Back and published by Oxford University Press. This book was released on 2017-01-04 with total page 608 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the 2nd edition of Asset Pricing and Portfolio Choice Theory, Kerry E. Back offers a concise yet comprehensive introduction to and overview of asset pricing. Intended as a textbook for asset pricing theory courses at the Ph.D. or Masters in Quantitative Finance level with extensive exercises and a solutions manual available for professors, the book is also an essential reference for financial researchers and professionals, as it includes detailed proofs and calculations as section appendices. The first two parts of the book explain portfolio choice and asset pricing theory in single-period, discrete-time, and continuous-time models. For valuation, the focus throughout is on stochastic discount factors and their properties. A section on derivative securities covers the usual derivatives (options, forwards and futures, and term structure models) and also applications of perpetual options to corporate debt, real options, and optimal irreversible investment. A chapter on "explaining puzzles" and the last part of the book provide introductions to a number of additional current topics in asset pricing research, including rare disasters, long-run risks, external and internal habits, asymmetric and incomplete information, heterogeneous beliefs, and non-expected-utility preferences. Each chapter includes a "Notes and References" section providing additional pathways to the literature. Each chapter also includes extensive exercises.
Download or read book Rethinking Expectations written by Roman Frydman and published by Princeton University Press. This book was released on 2013-01-23 with total page 441 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book originated from a 2010 conference marking the fortieth anniversary of the publication of the landmark "Phelps volume," Microeconomic Foundations of Employment and Inflation Theory, a book that is often credited with pioneering the currently dominant approach to macroeconomic analysis. However, in their provocative introductory essay, Roman Frydman and Edmund Phelps argue that the vast majority of macroeconomic and finance models developed over the last four decades derailed, rather than built on, the Phelps volume's "microfoundations" approach. Whereas the contributors to the 1970 volume recognized the fundamental importance of according market participants' expectations an autonomous role, contemporary models rely on the rational expectations hypothesis (REH), which rules out such a role by design. The financial crisis that began in 2007, preceded by a spectacular boom and bust in asset prices that REH models implied could never happen, has spurred a quest for fresh approaches to macroeconomic analysis. While the alternatives to REH presented in Rethinking Expectations differ from the approach taken in the original Phelps volume, they are notable for returning to its major theme: understanding aggregate outcomes requires according expectations an autonomous role. In the introductory essay, Frydman and Phelps interpret the various efforts to reconstruct the field--some of which promise to chart its direction for decades to come. The contributors include Philippe Aghion, Sheila Dow, George W. Evans, Roger E. A. Farmer, Roman Frydman, Michael D. Goldberg, Roger Guesnerie, Seppo Honkapohja, Katarina Juselius, Enisse Kharroubi, Blake LeBaron, Edmund S. Phelps, John B. Taylor, Michael Woodford, and Gylfi Zoega.
Download or read book The Quantum Like Revolution written by Arkady Plotnitsky and published by Springer Nature. This book was released on 2023-06-27 with total page 387 pages. Available in PDF, EPUB and Kindle. Book excerpt: Over the last ten years, elements of the formalism of quantum mechanics have been successfully applied beyond physics in areas such as psychology (especially cognition), economics and finance (especially in the formalization of so-called ‘decision making’), political science, and molecular biology. An important stream of work along these lines, commonly under the heading of quantum-like modeling, has been published in well regarded scientific journals, and major publishers have devoted entire books to the topic. This Festschrift honors a key figure in this field of research: Andrei Khrennikov, who made momentous contributions to it and to quantum foundations themselves. While honoring these contributions, and in order to do so, this Festschrift orients its reader toward the future rather than focusing on the past: it addresses future challenges and establishes the way forward in both domains, quantum-like modeling and quantum foundations. A while ago, in response to the developments of using the quantum formalism outside of quantum mechanics, the eminent quantum physicist Anton Zeilinger said, ‘Why should it be precisely the quantum mechanics formalism? Maybe its generalization would be more adequate...’ This volume responds to this statement by both showing the reasons for the continuing importance of quantum formalism and yet also considering pathways to such generalizations. Khrennikov’s work has been indispensable in establishing the great promise of quantum and quantum-like thinking in shaping the future of scientific research across the disciplines.
Download or read book Risk and Uncertainty Assessment for Natural Hazards written by Jonathan Rougier and published by Cambridge University Press. This book was released on 2013-02-21 with total page 587 pages. Available in PDF, EPUB and Kindle. Book excerpt: A state-of-the-art overview of natural hazard risk assessment, for researchers and professionals in natural-hazard science, risk management and environmental science.
Download or read book Theory of Financial Risk and Derivative Pricing written by Jean-Philippe Bouchaud and published by Cambridge University Press. This book was released on 2003-12-11 with total page 410 pages. Available in PDF, EPUB and Kindle. Book excerpt: Risk control and derivative pricing have become of major concern to financial institutions, and there is a real need for adequate statistical tools to measure and anticipate the amplitude of the potential moves of the financial markets. Summarising theoretical developments in the field, this 2003 second edition has been substantially expanded. Additional chapters now cover stochastic processes, Monte-Carlo methods, Black-Scholes theory, the theory of the yield curve, and Minority Game. There are discussions on aspects of data analysis, financial products, non-linear correlations, and herding, feedback and agent based models. This book has become a classic reference for graduate students and researchers working in econophysics and mathematical finance, and for quantitative analysts working on risk management, derivative pricing and quantitative trading strategies.
Download or read book A Behavioral Approach to Asset Pricing written by Hersh Shefrin and published by Elsevier. This book was released on 2008-05-19 with total page 636 pages. Available in PDF, EPUB and Kindle. Book excerpt: Behavioral finance is the study of how psychology affects financial decision making and financial markets. It is increasingly becoming the common way of understanding investor behavior and stock market activity. Incorporating the latest research and theory, Shefrin offers both a strong theory and efficient empirical tools that address derivatives, fixed income securities, mean-variance efficient portfolios, and the market portfolio. The book provides a series of examples to illustrate the theory. The second edition continues the tradition of the first edition by being the one and only book to focus completely on how behavioral finance principles affect asset pricing, now with its theory deepened and enriched by a plethora of research since the first edition
