Not so Great Expectations: A Model of Growth and Informational
... when they trade, and are subject to preference shocks that re‡ect their private liquidity needs. Asset prices in my economy aggregate the private information of agents, and liquidity shocks represent a source of noise that prevents them from being fully revealing to both households and …rms. To avoi ...
... when they trade, and are subject to preference shocks that re‡ect their private liquidity needs. Asset prices in my economy aggregate the private information of agents, and liquidity shocks represent a source of noise that prevents them from being fully revealing to both households and …rms. To avoi ...
Asset Pricing with Countercyclical Household Consumption Risk
... expected market return, and price-dividend ratio as functions of the single state variable, the household consumption risk. We estimate the model using the Generalized Method of Moments approach, using as moment conditions both the model-implied pricing restrictions as well as the restrictions on th ...
... expected market return, and price-dividend ratio as functions of the single state variable, the household consumption risk. We estimate the model using the Generalized Method of Moments approach, using as moment conditions both the model-implied pricing restrictions as well as the restrictions on th ...
General Instructions
... The Rankings worksheet shows the returns for each of the 10 series and the portfolio ranked from worst return to best for the worst 10% of all returns (columns C through M). The composition of each of the worst portfolio returns is shown in columns N through W, along with the date on which the retu ...
... The Rankings worksheet shows the returns for each of the 10 series and the portfolio ranked from worst return to best for the worst 10% of all returns (columns C through M). The composition of each of the worst portfolio returns is shown in columns N through W, along with the date on which the retu ...
Preview - American Economic Association
... to generate large estimates of long-run risks to match the asset price data even if these parameters are not justified by the macroeconomic data. In a recent survey, Ludvigson (2013) argues that the quantitative magnitude of long-run risks in macroeconomic data is smaller than standard calibrations ...
... to generate large estimates of long-run risks to match the asset price data even if these parameters are not justified by the macroeconomic data. In a recent survey, Ludvigson (2013) argues that the quantitative magnitude of long-run risks in macroeconomic data is smaller than standard calibrations ...
CreditMetrics™ — Technical Document
... CreditMetrics analytics, originally envisioned in 1997 by JP Morgan’s Risk Management Research division (a division, that eventually became the RiskMetrics group), has withstood the test of time and has emerged as a powerful industry standard for understanding and managing credit risk. Since 1999 ba ...
... CreditMetrics analytics, originally envisioned in 1997 by JP Morgan’s Risk Management Research division (a division, that eventually became the RiskMetrics group), has withstood the test of time and has emerged as a powerful industry standard for understanding and managing credit risk. Since 1999 ba ...
An Option Pricing Model with Regime
... rate of industrial production. Afterwards, many researchers study the impact of different macroeconomic indicators on asset returns. Mark and Aris (2002) study the daily equity returns by establishing a GARCH model and find that stock returns are negatively related to inflation and money growth. They ...
... rate of industrial production. Afterwards, many researchers study the impact of different macroeconomic indicators on asset returns. Mark and Aris (2002) study the daily equity returns by establishing a GARCH model and find that stock returns are negatively related to inflation and money growth. They ...
Modeling Financial Portfolios Using Belief Functions
... might be a “buy” price, the ‘high’ state might be a “sell” price, and ‘average’ might be a “hold” price. We can also define these states using historical returns over a specified period. For example, ‘low,’ may be defined as below the 12.5 percentile; high, above the 87.5 percentile; and 'average', ...
... might be a “buy” price, the ‘high’ state might be a “sell” price, and ‘average’ might be a “hold” price. We can also define these states using historical returns over a specified period. For example, ‘low,’ may be defined as below the 12.5 percentile; high, above the 87.5 percentile; and 'average', ...
Shari`a-compliant Securities (Sukuk).
... Wakala is an agency relationship between the Wakeel (agent) and Muwakil (principal) whereby the Wakeel will invest the Muwakil’s funds in certain Shari’a-compliant assets. The Wakeel is entitled to a fee for his services and, in addition, any profit made above an agreed profit rate may be paid to th ...
... Wakala is an agency relationship between the Wakeel (agent) and Muwakil (principal) whereby the Wakeel will invest the Muwakil’s funds in certain Shari’a-compliant assets. The Wakeel is entitled to a fee for his services and, in addition, any profit made above an agreed profit rate may be paid to th ...
Analysis of stock performance based on
... test of the approach and an analysis of the results are presented. Finally, the findings are evaluated and discussed, resulting in the fourth part, which determines the framework for the screening tool. In the first part the thesis, the approach was examined as well as the underlying investment phil ...
... test of the approach and an analysis of the results are presented. Finally, the findings are evaluated and discussed, resulting in the fourth part, which determines the framework for the screening tool. In the first part the thesis, the approach was examined as well as the underlying investment phil ...
Valuation of Asian Quanto-Basket Options - Aalto
... ignore transaction costs and if the return of the portfolio was bigger than , we could borrow from a bank at rate , invest it in portfolio and delta hedge it gaining a risk free profit of and, thus, make an arbitrage profit. Similarly, if the return of the portfolio were lower than that of a risk fr ...
... ignore transaction costs and if the return of the portfolio was bigger than , we could borrow from a bank at rate , invest it in portfolio and delta hedge it gaining a risk free profit of and, thus, make an arbitrage profit. Similarly, if the return of the portfolio were lower than that of a risk fr ...
Global financial crisis, extreme interdependences, and contagion
... because stock market returns might exhibit common extreme variations. A number of past studies have reported the existence of significant linkages both between emerging and developed markets, and among emerging markets (e.g., Gallo and Otranto, 2005 for Asian emerging markets; Fujii, 2005 for Latin A ...
... because stock market returns might exhibit common extreme variations. A number of past studies have reported the existence of significant linkages both between emerging and developed markets, and among emerging markets (e.g., Gallo and Otranto, 2005 for Asian emerging markets; Fujii, 2005 for Latin A ...
When uncertainty blows in the orchard comovement and equilibrium
... results are even stronger and the relationship is even more statistically significant. It may not come as a surprise, given the previous stylized facts, that variance and correlation have emerged as new asset classes and standard trading strategies have been used to create a new generation of financia ...
... results are even stronger and the relationship is even more statistically significant. It may not come as a surprise, given the previous stylized facts, that variance and correlation have emerged as new asset classes and standard trading strategies have been used to create a new generation of financia ...
NBER WORKING PAPER SERIES JUMP AND VOLATILITY RISK AND RISK PREMIA:
... In Stein and Stein (1991), V follows an Ornstein-Unlenbeck process whereas, in our model, V = X 2 with X following an Ornstein-Unlenbeck process. Since the square-root function is not globally invertible, the two are not the same. ...
... In Stein and Stein (1991), V follows an Ornstein-Unlenbeck process whereas, in our model, V = X 2 with X following an Ornstein-Unlenbeck process. Since the square-root function is not globally invertible, the two are not the same. ...
NBER WORKING PAPER SERIES Hanno Lustig
... Some of the most dramatic historical episodes in equity markets have coincided with changes in housing markets. For example, the equity premium was very high in the 1930s when the value of the housing stock was low relative to output, while the gradual decline in the equity premium in the post-war p ...
... Some of the most dramatic historical episodes in equity markets have coincided with changes in housing markets. For example, the equity premium was very high in the 1930s when the value of the housing stock was low relative to output, while the gradual decline in the equity premium in the post-war p ...
Introduction to Credit Risk Modeling, An
... need some additional assumption on the constituents of Formula (1. 1), for example, the assumption that EAD and LGD are constant values. This is not necessarily the case under all circumstances. There are various situations in which, for example, the EAD has to be modeled as a random variable due to ...
... need some additional assumption on the constituents of Formula (1. 1), for example, the assumption that EAD and LGD are constant values. This is not necessarily the case under all circumstances. There are various situations in which, for example, the EAD has to be modeled as a random variable due to ...
structured life insurance and investment products for retail investors
... Chapter 3 answers the question which structured life insurance product is indeed optimal for an retail investor. In particular, Chapter 3 considers structured life insurance contracts where the benefits of the insured depend on the performance of an investment strategy and which guarantee a certain ...
... Chapter 3 answers the question which structured life insurance product is indeed optimal for an retail investor. In particular, Chapter 3 considers structured life insurance contracts where the benefits of the insured depend on the performance of an investment strategy and which guarantee a certain ...
Household Portfolios in Italy
... can easily exceed 4 percentage points of the amount invested). Background risk is another factor helping to explain a low propensity to invest in risky assets. Recent literature claims, in fact, that an increase in independent risks induces people to follow a more conservative investment strategy. W ...
... can easily exceed 4 percentage points of the amount invested). Background risk is another factor helping to explain a low propensity to invest in risky assets. Recent literature claims, in fact, that an increase in independent risks induces people to follow a more conservative investment strategy. W ...
Why do foreign firms have less idiosyncratic risk than U.S.... Söhnke M. Bartram, Gregory Brown, and René M. Stulz*
... seem to explain volatility differences more than country characteristics. Of course, firms choose policies partly in response to characteristics of the country in which they are located. Firms in foreign countries seem to systematically make choices that are associated with lower idiosyncratic vola ...
... seem to explain volatility differences more than country characteristics. Of course, firms choose policies partly in response to characteristics of the country in which they are located. Firms in foreign countries seem to systematically make choices that are associated with lower idiosyncratic vola ...
Essays on international capital flows and macroeconomic stability
... our empirical findings in a two-country DSGE model with portfolio flows and risk constrained financial intermediaries. Risk and risk aversion are found to affect bond and share flows to South Africa differently. Risk consistently affects bond flows more than share flows. The relationship between ris ...
... our empirical findings in a two-country DSGE model with portfolio flows and risk constrained financial intermediaries. Risk and risk aversion are found to affect bond and share flows to South Africa differently. Risk consistently affects bond flows more than share flows. The relationship between ris ...
Competition, Reach for Yield, and Money Market Funds
... decreases with the cost of default, and the equilibrium default probability is strictly positive for (almost) all funds. Funds trade off expected costs of default for the expected gains of outperforming competitors by taking more risk. The fund with the highest default cost anticipates that in equil ...
... decreases with the cost of default, and the equilibrium default probability is strictly positive for (almost) all funds. Funds trade off expected costs of default for the expected gains of outperforming competitors by taking more risk. The fund with the highest default cost anticipates that in equil ...
Valuation and Hedging of LPI Liabilities - Heriot
... (This choice of economic factors reflects the later use in this paper of the Wilkie (1995) model. Other selections could be used where appropriate.) A simulation approach for finding the optimal asset allocation for the one-year LPI liability is discussed by Dai (1998). Here we develop an approach w ...
... (This choice of economic factors reflects the later use in this paper of the Wilkie (1995) model. Other selections could be used where appropriate.) A simulation approach for finding the optimal asset allocation for the one-year LPI liability is discussed by Dai (1998). Here we develop an approach w ...
