Download or read book Essays on Consumption and Expected Returns written by Motohiro Yogo and published by . This book was released on 2004 with total page 203 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays on Consumption and Saving written by Robert Allen Vergun and published by . This book was released on 1993 with total page 208 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays in Consumption and Portfolio Choice written by Jorge Federico Rodriguez and published by . This book was released on 2003 with total page 161 pages. Available in PDF, EPUB and Kindle. Book excerpt: (Cont.) I solve analytically the consumption and portfolio choice problem for an investor learning about the current value of time-varying expected returns. When prices are the only observables, the investor optimally estimates the current expected returns using the realized returns. Because of this, the market is observationally complete for an imperfectly informed investor. The observational completeness of the market allows me to find analytical, closed-form solutions to the investor's consumption and portfolio choice problem. I show how learning affects both the covariance and the consumption smoothing component of the hedging portfolio. Applying the model to monthly return data, I show a significant reduction in hedging demands due to imperfect information. In contrast to portfolio choice assuming expected returns are observed, in some cases the reduction implies the agent will optimally hold a negative hedging portfolio. I solve in closed-form for the model implied R2 for the return forecast regression, in other words the predictable fraction of return variance, and discuss the relationship between the reduction in hedging demands and the reduction in the model implied R2 for the return forecast regression. Little work has been done in regards to the role of labor income when investment opportunities are stochastic. Chapter 3 considers the consumption and portfolio choice problem of an investor when interest rates are time-varying and labor income growth might be sensitive to changes in interest rates. We obtain closed-form solutions to the consumption and portfolio choice for an investor with both inelastic and elastic labor supply ...
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 in Finance written by Jules H. van Binsbergen and published by . This book was released on 2008 with total page 330 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of three essays in finance. The first essay is entitled 'Deep Habits and the Cross Section of Expected Returns'. In this first essay, I study the cross-section of expected returns in a general equilibrium framework in which agents form habits over individual varieties of goods as opposed to over a composite consumption good. Goods are produced by monopolistically competitive firms whose income and price elasticities of demand depend on the habit formation of the consumers. Firms who produce goods with a low consumption surplus ratio earn low expected returns because their income and price elasticities of demand are low. Under the assumption that firms face adjustment costs to their input factors, such firms also temporarily charge higher prices for their products. As such, the model generates a negative relationship between the expected return on a firm's stock and (changes in) the selling price of its product. I analyze this relationship empirically by sorting firms into portfolios based on recent price changes, as measured by the industry level producer price index. This sorting generates a statistically significant annual return spread of 6 percent that cannot be explained by the unconditional CAPM nor by the four-factor model.
Download or read book Essays in Economics written by James Tobin and published by MIT Press. This book was released on 1987 with total page 550 pages. Available in PDF, EPUB and Kindle. Book excerpt: These 28 essays, covering Tobin's work in macroeconomics from the early 1940s to 1970 are grouped into three parts - macroeconomic theory, economic growth, and money and finance.
Download or read book Essays on Consumption Flexibility Stockpiling and Market Interaction written by Liang Guo and published by . This book was released on 2004 with total page 348 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays on Economic Decisions Under Uncertainty written by Jacques Drèze and published by CUP Archive. This book was released on 1990-05-25 with total page 460 pages. Available in PDF, EPUB and Kindle. Book excerpt: Professor Dreze is a highly respected mathematical economist and econometrician. This book brings together some of his major contributions to the economic theory of decision making under uncertainty, and also several essays. These include an important essay on 'Decision theory under moral hazard and state dependent preferences' that significantly extends modern theory, and which provides rigorous foundations for subsequent chapters. Topics covered within the theory include decision theory, market allocation and prices, consumer decisions, theory of the firm, labour contracts, and public decisions.
Download or read book Essays on Consumer Behavior and Macroeconomics written by Pawel Dyczewski and published by . This book was released on 2002 with total page 178 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays on Consumer Credit Markets written by Mark William Jenkins and published by Stanford University. This book was released on 2009 with total page 135 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation studies the organization of consumer credit markets using a rich and novel dataset from a large subprime auto lender. Its primary goal is to develop empirical methods for analyzing markets with asymmetric information and to use these methods to better understand the behavior of subprime borrowers and lenders. The first chapter quantifies the importance of adverse selection and moral hazard in the subprime auto loan market and shows how different loan contract terms serve to mitigate these distinct information problems. The second chapter examines the impact of centralized credit scoring on lending outcomes, including the distribution of performance across dealerships within the firm. The third chapter studies borrower repayment behavior and quantifies the impact of ex post moral hazard on interest rates and the costs of default. Collectively, the three chapters provide a better understanding of the functioning of markets for subprime credit in the U.S. They also provide unique empirical evidence on the importance of asymmetric information and the value of screening, monitoring, and contract design in consumer credit markets in general.
Download or read book Essays on Expectations Based Reference Dependent Consumption and Portfolio Choice written by Michaela Friederike Annabelle Pagel and published by . This book was released on 2014 with total page 169 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays in Honor of Joon Y Park written by Yoosoon Chang and published by Emerald Group Publishing. This book was released on 2023-04-24 with total page 406 pages. Available in PDF, EPUB and Kindle. Book excerpt: Volumes 45a and 45b of Advances in Econometrics honor Professor Joon Y. Park, who has made numerous and substantive contributions to the field of econometrics over a career spanning four decades since the 1980s and counting.
Download or read book The Collected Essays of Richard E Quandt written by Richard E. Quandt and published by Edward Elgar Publishing. This book was released on 1992-01-01 with total page 876 pages. Available in PDF, EPUB and Kindle. Book excerpt: Professor Richard Quandt has made a major contribution to the development of economics in the 20th century. The range and significance of his work has long required a collection of his essays which will allow his contribution to be assessed as a whole. Despite an early interest in microeconomic theory, Richard Quandt has devoted most of his career to econometrics and, in particular, modal split estimation. More recently his work has focused on the econometrics of disequilibrium models with reference to both free market and planned economies. As well as outlining his many articles in microtheory, general econometrics, disequilibrium modeling, financial economics and the economics of planned economies, this collection should have a particular value for all scholars interested in the emergence of the new economies in Eastern Europe, a subject to which Professor Quandt has applied himself in recent years. This book includes an introduction by Professor Quandt describing his early life in Budapest and the circumstances which led him to study economics in America.
Download or read book Essays on Saving Bequests Altruism and Life cycle Planning written by Laurence J. Kotlikoff and published by MIT Press. This book was released on 2001-06-22 with total page 596 pages. Available in PDF, EPUB and Kindle. Book excerpt: This collection of essays, coauthored with other distinguished economists, offers new perspectives on saving, intergenerational economic ties, retirement planning, and the distribution of wealth. The book links life-cycle microeconomic behavior to important macroeconomic outcomes, including the roughly 50 percent postwar decline in America's rate of saving and its increasing wealth inequality. The book traces these outcomes to the government's five-decade-long policy of transferring, in the form of annuities, ever larger sums from young savers to old spenders. The book presents new theoretical and empirical analyses of altruism that rule out the possibility that private intergenerational transfers have offset those by the government.While rational life-cycle behavior can explain broad economic outcomes, the book also shows that a significant minority of households fail to make coherent life-cycle saving and insurance decisions. These mistakes are compounded by reliance on conventional financial planning tools, which the book compares with Economic Security Planner (ESPlanner), a new life-cycle financial planning software program. The application of ESPlanner to U.S. data indicates that most Americans approaching retirement age are saving at much lower rates than they should be, given potential major cuts in Social Security benefits.
Download or read book Essays in Financial Economics written by Lars Augestad Lochstoer and published by . This book was released on 2005 with total page 302 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Post Keynesian Essays from Down Under Volume II Essays on Policy and Applied Economics written by G. Harcourt and published by Springer. This book was released on 2017-03-21 with total page 444 pages. Available in PDF, EPUB and Kindle. Book excerpt: Joseph Halevi, G. C. Harcourt, Peter Kriesler and J. W. Nevile bring together a collection of their most influential papers on post-Keynesian thought. Their work stresses the importance of the underlying institutional framework, of the economy as a historical process and, therefore, of path determinacy. In addition, their essays suggest the ultimate goal of economics is as a tool to inform policy and make the world a better place, with better being defined by an overriding concern with social justice. Volume II assess application and policies.
Download or read book Three Essays in Business Cycles and Finance written by Gabriel Perez-Quiros and published by . This book was released on 1996 with total page 342 pages. Available in PDF, EPUB and Kindle. Book excerpt:
