Download or read book Essays in Macroeconomics and Asset Pricing written by Jason Lu and published by . This book was released on 2021 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays in Macroeconomics and Asset Pricing written by Jose Francisco Ursua and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays in Macroeconomics and Asset Pricing written by Ashish Sahay and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays on Macroeconomics and Asset Pricing written by Jiangze Bian and published by . This book was released on 2007 with total page 113 pages. Available in PDF, EPUB and Kindle. Book excerpt: The last part of this thesis empirically tests the predictive power of the equity risk premium on future macroeconomic activity. My results indicate that shocks to the risk premium have implications for economic conditions similar to those from monetary policy disturbances.
Download or read book Essays in Asset Pricing and Macroeconomics written by Ruslan Bikbov and published by . This book was released on 2006 with total page 358 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays in Asset Pricing and Macroeconomics written by Yizhaq Kleshchelski and published by . This book was released on 2008 with total page 174 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays of Macroeconomic Risk and Asset Pricing written by Biley Adelphe Ekponon and published by . This book was released on 2018 with total page 122 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays on Asset Pricing and Macro finance written by Jingwen Shi 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 on Asset Prices and Macroeconomic News Announcements written by John Cong Zhou and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: My dissertation is composed of three chapters that are unified by their exploration of asset prices and macroeconomic news announcements. With respect to asset prices, my main focus is on the price discovery process: how do asset prices reveal information relevant for asset fundamentals? Through my research, I provide new answers to this question. My work gets at core issues in asset pricing: whether financial markets are informationally efficient; why some assets earn unconditionally high premia; and how the sensitivity of prices to information varies over time and across assets. Specifically, chapter one shows evidence that sophisticated traders with an informational advantage inefficiently impound their edge into the aggregate U.S. stock market and U.S. Treasury bonds. In chapter two, I explore a model in which investors are averse to ambiguity (Knightian uncertainty) to explain why the equity premium is concentrated around specific events. Finally, chapter three investigates how the Federal Reserve's zero lower bound affects the response of asset prices, in particular interest rates, to information. Each of the three chapters explores the price discovery process using the unique setting of U.S. macroeconomic news announcements, which are made by government agencies and private-sector organizations and cover macroeconomic data on inflation, output, and unemployment. Analyzing financial markets in this setting deepens our understanding of how asset prices reflect information about macroeconomic fundamentals. At the same time, the results have macroeconomic implications; for example, the assumptions of monetary policy models in theory and the effectiveness of unconventional monetary policy in practice.
Download or read book Essays on General Equilibrium Asset Pricing Models and Macroeconomics written by James Michael Nason and published by . This book was released on 1987 with total page 79 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays in Behavioral Finance Asset Pricing and Macroeconomics written by Nitzan Melamed and published by . This book was released on 2001 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays in Finance and Macroeconomics written by Alok Khare and published by ProQuest. This book was released on 2007 with total page 338 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation is a collection of essays relating to asset pricing. The first two essays study the effect of home mortgages on asset prices. The first essay is motivated by Equity Premium Puzzle of Mehra and Prescott. It studies a life cycle economy with home mortgages in it. They key finding is that model is able to generate equity premium consistent with US data for reasonable parameterizations and the equity premium goes up as the agents leverage more to buy the houses.
Download or read book Essays on Finance Learning and Macroeconomics written by Joseph Buchman Doyle (Jr.) and published by . This book was released on 2012 with total page 198 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis consists of four essays on finance, learning, and macroeconomics. The first essay studies whether learning can explain why the standard consumption-based asset pricing model produces large pricing errors for U.S. equity returns. I prove that under learning standard moment conditions need not hold in finite samples, leading to pricing errors. Simulations show that learning can generate quantitatively realistic pricing errors and a substantial equity risk premium. I find that a model with learning is not rejected in the data, producing pricing errors that are statistically indistinguishable from zero. The second essay (co-authored with Anna Mikusheva) studies the properties of the common impulse response function matching estimator (IRFME) in settings with many parameters. We prove that the common IRFME is consistent and asymptotically normal only when the horizon of IRFs being matched grows slowly enough. We use simulations to evaluate the performance of the common IRFME in a practical example, and we compare it with an infrequently used bias corrected approach, based on indirect inferences. Our findings suggest that the common IRFME performs poorly in situations where the sample size is not much larger than the horizon of IRFs being matched, and in those situations, the bias corrected approach with bootstrapped standard errors performs better. The third essay (co-authored with Ricardo Caballero) documents that, in contrast with their widely perceived excess return, popular carry trade strategies yield low systemicrisk- adjusted returns. In contrast, hedging the carry with exchange rate options produces large returns that are not a compensation for systemic risk. We show that this result stems from the fact that the corresponding portfolio of exchange rate options provides a cheap form of systemic insurance. The fourth essay shows that the documented overbidding in pay-as-you-go auctions relative to a static model can be explained by the presence of a small subset of aggressive bidders. I argue that aggressive bidding can be rational if users are able to form reputations that deter future competition, and I present empirical evidence that this is the case. In auctions without any aggressive bidders, there is no evidence of overbidding in PAYGA.
Download or read book Essays on Asset Pricing Debt Valuation and Macroeconomics written by Ram Sai Yamarthy and published by . This book was released on 2017 with total page 260 pages. Available in PDF, EPUB and Kindle. Book excerpt: My dissertation consists of three chapters which examine topics at the intersection of financial markets and macroeconomics. Two of the sections relate to the valuation of U.S. Treasury and corporate debt while the third understands the role of banking frictions on equity markets.More specifically, the first chapter asks the question, what is the role of monetary policy fluctuations for the macroeconomy and bond markets? To answer this question we design a novel asset-pricing framework which incorporates a time-varying Taylor rule for monetary policy, macroeconomic factors, and risk pricing restrictions from investor preferences. By estimating the model using U.S. term structure data, we find that monetary policy fluctuations significantly impact inflation uncertainty and bond risk exposures, but do not have a sizable effect on the first moments of macroeconomic variables. Monetary policy fluctuations contribute about 20% to the variation in bond risk premia. Models with frictions in financial contracts have been shown to create persistence effects in macroeconomic fluctuations. These persistent risks can then generate large risk premia in asset markets. Accordingly, in the second chapter, we test the ability that a particular friction, Costly State Verification (CSV), has to generate empirically plausible risk exposures in equity markets, when household investors have recursive preferences and shocks occur in the growth rate of productivity. After embedding these mechanisms into a macroeconomic model with financial intermediation, we find that the CSV friction is negligible in realistically augmenting the equity risk premium. While the friction slows the speed of capital investment, its contribution to asset markets is insignificant. The third chapter examines how firms manage debt maturity in the presence of investment opportunities. I document empirically that debt maturity tradeoffs play an important role in determining economic fluctuations and asset prices. I show at aggregate and firm levels that corporations lengthen their average maturity of debt when output and investment rates are larger. To explain these findings, I construct an economic model where firms simultaneously choose investment, short, and long-term debt. In equilibrium, long-term debt is more costly than short-term debt and is only used when investment opportunities present themselves in peaks of the business cycle.
Download or read book Essays in asset pricing and information economics written by Vassilios Dimitrakas and published by . This book was released on 2008 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Selected Essays in Empirical Asset Pricing written by Christian Funke and published by Springer Science & Business Media. This book was released on 2008-09-15 with total page 123 pages. Available in PDF, EPUB and Kindle. Book excerpt: Christian Funke aims at developing a better understanding of a central asset pricing issue: the stock price discovery process in capital markets. Using U.S. capital market data, he investigates the importance of mergers and acquisitions (M&A) for stock prices and examines economic links between customer and supplier firms. The empirical investigations document return predictability and show that capital markets are not perfectly efficient.
Download or read book Asset Pricing written by John H. Cochrane and published by Princeton University Press. This book was released on 2009-04-11 with total page 560 pages. Available in PDF, EPUB and Kindle. Book excerpt: Winner of the prestigious Paul A. Samuelson Award for scholarly writing on lifelong financial security, John Cochrane's Asset Pricing now appears in a revised edition that unifies and brings the science of asset pricing up to date for advanced students and professionals. Cochrane traces the pricing of all assets back to a single idea--price equals expected discounted payoff--that captures the macro-economic risks underlying each security's value. By using a single, stochastic discount factor rather than a separate set of tricks for each asset class, Cochrane builds a unified account of modern asset pricing. He presents applications to stocks, bonds, and options. Each model--consumption based, CAPM, multifactor, term structure, and option pricing--is derived as a different specification of the discounted factor. The discount factor framework also leads to a state-space geometry for mean-variance frontiers and asset pricing models. It puts payoffs in different states of nature on the axes rather than mean and variance of return, leading to a new and conveniently linear geometrical representation of asset pricing ideas. Cochrane approaches empirical work with the Generalized Method of Moments, which studies sample average prices and discounted payoffs to determine whether price does equal expected discounted payoff. He translates between the discount factor, GMM, and state-space language and the beta, mean-variance, and regression language common in empirical work and earlier theory. The book also includes a review of recent empirical work on return predictability, value and other puzzles in the cross section, and equity premium puzzles and their resolution. Written to be a summary for academics and professionals as well as a textbook, this book condenses and advances recent scholarship in financial economics.
