What drives investor risk aversion? - Bank for International Settlements
... option prices, while the other is estimated from realised movements in stock prices. Risk aversion can be viewed as accounting for the difference between those two estimates. The components of our methodology are illustrated in Graph 1. The green line represents the probability density extracted fro ...
... option prices, while the other is estimated from realised movements in stock prices. Risk aversion can be viewed as accounting for the difference between those two estimates. The components of our methodology are illustrated in Graph 1. The green line represents the probability density extracted fro ...
Social Preferences, Beliefs, and the Dynamics of Free Riding in
... contributions decline because of cooperation preferences and/or because of the way people form (and change) their beliefs about how others will behave. Our data from the P-experiment show that people differ strongly in their contribution preferences. This is consistent with previous evidence (see fo ...
... contributions decline because of cooperation preferences and/or because of the way people form (and change) their beliefs about how others will behave. Our data from the P-experiment show that people differ strongly in their contribution preferences. This is consistent with previous evidence (see fo ...
Extraneous Risk: Pricing of Non-Systematic Risk
... In this study, we explore a simple asset pricing model in a complete financial market in order to price non-systematic risk in the aggregate. In usual, a conventional complete market asset pricing model does not allow the pricing of non-systematic risk in equilibrium due to the diversification. Ther ...
... In this study, we explore a simple asset pricing model in a complete financial market in order to price non-systematic risk in the aggregate. In usual, a conventional complete market asset pricing model does not allow the pricing of non-systematic risk in equilibrium due to the diversification. Ther ...
Ch. 2. Asset Pricing Theory (721383S)
... This chapter introduces the modern asset pricing theory based on the stochastic discount factor approach. The main idea is that asset prices should be equal to discounted expected payo¤. I start reviewing the main concepts related to expected utility and risk aversion. Indeed, the expected utility p ...
... This chapter introduces the modern asset pricing theory based on the stochastic discount factor approach. The main idea is that asset prices should be equal to discounted expected payo¤. I start reviewing the main concepts related to expected utility and risk aversion. Indeed, the expected utility p ...
Principles of Economics, Case and Fair,8e
... for small, contestable markets by moving capital quickly in response to observed profits. In between are a number of alternative models, all of which stress the interdependence of oligopolistic firms. ...
... for small, contestable markets by moving capital quickly in response to observed profits. In between are a number of alternative models, all of which stress the interdependence of oligopolistic firms. ...
Uncertainty Co-Movement in Major European Countries
... the stock market uncertainty may be transmitted at different trading frequencies to other countries by the heterogeneous behavior of investors. Since output, inflation and stock market uncertainty form important components of overall uncertainty, it is important to know how uncertainty is synchroniz ...
... the stock market uncertainty may be transmitted at different trading frequencies to other countries by the heterogeneous behavior of investors. Since output, inflation and stock market uncertainty form important components of overall uncertainty, it is important to know how uncertainty is synchroniz ...
How does Stimulus Control Develop with Automatic
... Pairing worked best with powerful forms of reinforcement Once a child moved to another activity the probability of emitting vocal responses related to previous pairing was low, unless the stimuli from that activity were presented and/or there was an MO at strength related to that activity. The pairi ...
... Pairing worked best with powerful forms of reinforcement Once a child moved to another activity the probability of emitting vocal responses related to previous pairing was low, unless the stimuli from that activity were presented and/or there was an MO at strength related to that activity. The pairi ...
Equilibrium asset prices with undiversifiable labor income risk
... whether the presence of independent noninsurable labor income risk will lead them to save more or less, and thus whether a model which mistakenly hypothesizes the existence of complete markets will over- or underpredict the 3These results are conveniently summarized within the very general framework ...
... whether the presence of independent noninsurable labor income risk will lead them to save more or less, and thus whether a model which mistakenly hypothesizes the existence of complete markets will over- or underpredict the 3These results are conveniently summarized within the very general framework ...
using pls methodology for understanding commodity market
... (macroeconomic and specific indicators), our research proposes to elaborate a rational model to better understand and predict the commodity market movements. Our selecting research methodologies enables to extract the most relevant factors, key drivers, of commodity market behavior and seem to be ab ...
... (macroeconomic and specific indicators), our research proposes to elaborate a rational model to better understand and predict the commodity market movements. Our selecting research methodologies enables to extract the most relevant factors, key drivers, of commodity market behavior and seem to be ab ...
Historical Performance of Commodity and Stock Markets
... foods, agribusiness firms involved in their production stand to make tremendous profit. There is also an unprecedented demand for the inputs used in agricultural production and agribusiness processing by non-agricultural industries. The increase in competition for these inputs may influence the prof ...
... foods, agribusiness firms involved in their production stand to make tremendous profit. There is also an unprecedented demand for the inputs used in agricultural production and agribusiness processing by non-agricultural industries. The increase in competition for these inputs may influence the prof ...
Corporate Social Responsibility, Noise, and Stock Market Volatility
... CSR is not only targeted at a wide range of internal or external stakeholders, including future generations, but also coevolves with the vagaries of the different salient issues for society and particular interest groups (Carroll, 2008; Frederick, 2006; Hoffman, 1999). Financial Markets Are Ineffici ...
... CSR is not only targeted at a wide range of internal or external stakeholders, including future generations, but also coevolves with the vagaries of the different salient issues for society and particular interest groups (Carroll, 2008; Frederick, 2006; Hoffman, 1999). Financial Markets Are Ineffici ...
Optimal asset allocation in a stochastic factor
... tools that exist today. Speci…cally, results on the validity of the Dynamic Programming Principle, regularity of the value function, existence and veri…cation of optimal feedback controls, representation of the value function and numerical approximations are still lacking. The only cases that have ...
... tools that exist today. Speci…cally, results on the validity of the Dynamic Programming Principle, regularity of the value function, existence and veri…cation of optimal feedback controls, representation of the value function and numerical approximations are still lacking. The only cases that have ...
Can Risk Aversion Explain The Demand for Dividends?
... same amount of cash by repurchasing shares) generates an added tax bill of $30 billion annually. Many efforts have been made to explain this dividend puzzle, and considerable progress has been made in understanding the decisions of companies to distribute cash. In general, models have focused on the ...
... same amount of cash by repurchasing shares) generates an added tax bill of $30 billion annually. Many efforts have been made to explain this dividend puzzle, and considerable progress has been made in understanding the decisions of companies to distribute cash. In general, models have focused on the ...
Institutions and the Path to the Modern Economy
... people follow a rule of behavior because other rules specify punishment if they do not. But this assertion merely pushes the question of institutional effectiveness one step backward, by assuming that those who are supposed to enforce the rules do so. Why would this be the case? Who watches the watc ...
... people follow a rule of behavior because other rules specify punishment if they do not. But this assertion merely pushes the question of institutional effectiveness one step backward, by assuming that those who are supposed to enforce the rules do so. Why would this be the case? Who watches the watc ...
Bubbles
... astronomical heights before plummeting by more than 75 per cent by the end of 2000. Since asset prices affect the real allocation of an economy, it is important to understand the circumstances under which these prices can deviate from their fundamental value. Bubbles have long intrigued economists a ...
... astronomical heights before plummeting by more than 75 per cent by the end of 2000. Since asset prices affect the real allocation of an economy, it is important to understand the circumstances under which these prices can deviate from their fundamental value. Bubbles have long intrigued economists a ...
Day-of-the-Week Effects in the Indian stock market
... The efficient market hypothesis (EMH) postulates that stock prices must efficiently reflect all available information about their intrinsic value. According to the EMH, stocks always trade at their fair value on stock exchanges, making it impossible for investors to either purchase undervalued stock ...
... The efficient market hypothesis (EMH) postulates that stock prices must efficiently reflect all available information about their intrinsic value. According to the EMH, stocks always trade at their fair value on stock exchanges, making it impossible for investors to either purchase undervalued stock ...
NBER WORKING PAPER SERIES ECONOMIC INTERPRETATIONS OF INTERGENERATIONAL CORRELATIONS Nathan D. Grawe
... be careful interpreting existing empirical estimates of mobility because most available data pertain to only one or two generations – typically born in the 1950's and 1960's. Are we learning from low mobility estimates that economic status is relatively immobile, or only that these one or two genera ...
... be careful interpreting existing empirical estimates of mobility because most available data pertain to only one or two generations – typically born in the 1950's and 1960's. Are we learning from low mobility estimates that economic status is relatively immobile, or only that these one or two genera ...
Equity Returns and Business Cycles in Small Open Economies Mohammad R. Jahan-Parvar
... Campbell and Cochrane (1999) explained equity premia by linking asset prices to deviations of consumption from an external habit. The mechanism is as follows. In comparison to CRRA utility, as consumption reverts towards habit in business cycle troughs, the curvature of the habit formation utility f ...
... Campbell and Cochrane (1999) explained equity premia by linking asset prices to deviations of consumption from an external habit. The mechanism is as follows. In comparison to CRRA utility, as consumption reverts towards habit in business cycle troughs, the curvature of the habit formation utility f ...
Full Text ( Final Version , 132kb )
... show that most of the macroeconomic variables are significant. The coefficient estimates of GDP per capita and growth were positively correlated, while inflation and taxes had a negative effect on leverage. These results are not shared by all. Authors Jensen and Uhl (2008) have contradicting results ...
... show that most of the macroeconomic variables are significant. The coefficient estimates of GDP per capita and growth were positively correlated, while inflation and taxes had a negative effect on leverage. These results are not shared by all. Authors Jensen and Uhl (2008) have contradicting results ...
A Contemporary Behavior Analysis of Anxiety and
... therapeutic interventions popular today, such as exposure and response prevention, stem from this history (Barlow, 2002; Bouton et al., 2001). The effectiveness of these treatments, and the close connection with the basic research that led to their development, have led to important advances in beha ...
... therapeutic interventions popular today, such as exposure and response prevention, stem from this history (Barlow, 2002; Bouton et al., 2001). The effectiveness of these treatments, and the close connection with the basic research that led to their development, have led to important advances in beha ...
DSM Resource Acquisition and Market Transformation: Two
... The preceding discussions of market transformation and resource acquisition suggest that there are important differences between the program approaches that will optimize the achievement of each of these policy objectives. These differences can be viewed as falling into three categories: (1) differe ...
... The preceding discussions of market transformation and resource acquisition suggest that there are important differences between the program approaches that will optimize the achievement of each of these policy objectives. These differences can be viewed as falling into three categories: (1) differe ...
NBER WORKING PAPER SERIES THE INTERTEMPORAL APPROACH TO THE CURRENT ACCOUNT Maurice Obstfeld
... As intermediate macroeconomics texts demonstrate, however, the current account also is national saving less domestic investment. If saving falls short of desired investment, for example, foreigners must take up the balance, acquiring as a result claims on domestic income or output. This alternative ...
... As intermediate macroeconomics texts demonstrate, however, the current account also is national saving less domestic investment. If saving falls short of desired investment, for example, foreigners must take up the balance, acquiring as a result claims on domestic income or output. This alternative ...
Ch 6: Learning
... Learning versus Instincts So, what does learning—either behavioral or cognitive learning—do for us? Nearly every human activity, from working to playing to interacting with family and friends, involves some form of learning. Without learning, we would have no human language. We wouldn’t know who our ...
... Learning versus Instincts So, what does learning—either behavioral or cognitive learning—do for us? Nearly every human activity, from working to playing to interacting with family and friends, involves some form of learning. Without learning, we would have no human language. We wouldn’t know who our ...
NBER WORKING PAPER SERIES JUNIOR IS RICH: BEQUESTS AS CONSUMPTION George Constantinides
... This paper explores the implications of bequests for the statistical pattern of equilibrium stock and bond returns. It does so in the context of a “behavioral style” model in which households make their consumption and savings decisions not only to smooth consumption over their saving and dis-saving ...
... This paper explores the implications of bequests for the statistical pattern of equilibrium stock and bond returns. It does so in the context of a “behavioral style” model in which households make their consumption and savings decisions not only to smooth consumption over their saving and dis-saving ...