Market Frictions and Consumption-based Asset Pricing
Author: Hua He
Publisher:
Published: 1992
Total Pages: 23
ISBN-13:
DOWNLOAD EBOOKRead and Download eBook Full
Author: Hua He
Publisher:
Published: 1992
Total Pages: 23
ISBN-13:
DOWNLOAD EBOOKAuthor: Hua He
Publisher:
Published: 1999
Total Pages:
ISBN-13:
DOWNLOAD EBOOKA fundamental equilibrium condition underlying most utility-based asset pricing models is the equilibration of intertemporal marginal rates of substitution (IMRS). Previous empirical research, however, has found that the co-movements of consumption and asset return data fail to satisfy the restrictions imposed by this equilibrium condition. In this paper, we examine whether market frictions can explain previous findings. Our results suggest that a combination of short-sale borrowing, solvency, and trading cost frictions can drive a large enough wedge between IMRS so that the apparent violations MAY (authors emphasis) not be inconsistent with market equilibrium.
Author: Jinfan Zhang
Publisher:
Published: 2013
Total Pages: 320
ISBN-13:
DOWNLOAD EBOOKAuthor: G. Gregoriou
Publisher: Springer
Published: 2010-12-13
Total Pages: 277
ISBN-13: 0230298109
DOWNLOAD EBOOKThis book proposes new methods to build optimal portfolios and to analyze market liquidity and volatility under market microstructure effects, as well as new financial risk measures using parametric and non-parametric techniques. In particular, it investigates the market microstructure of foreign exchange and futures markets.
Author: Olivier Blanchard
Publisher: MIT Press
Published: 1992
Total Pages: 312
ISBN-13: 9780262521741
DOWNLOAD EBOOKThis is the seventh in a series of annuals from the National Bureau of Economic Research that are designed to stimulate research on problems in applied economics, to bring frontier theoretical developments to a wider audience, and to accelerate the interaction between analytical and empirical research in macroeconomics. Contents What Shall We Do Today? Goals and Signposts in the Operation of Monetary Policy, Ben S. Bernanke and Frederic S. Mishkin - A Tale of Two Cities: Factor Accumulation and Technical Change in Hong Kong and Singapore, Alwyn Young - International Trade and the Wage Structure, Steven J. Davis - Imperfect Information and Macroeconomic Analysis, Joseph E. Stiglitz and Bruce Greenwald - Asset Pricing Lessons for Macroeconomics, Lars P. Hansen and John H. Cochrane - Postmortem on the Debt Crisis, Daniel Cohen
Author: Norman Seeger
Publisher:
Published: 2009
Total Pages: 157
ISBN-13:
DOWNLOAD EBOOKAuthor: Jean-Pierre Danthine
Publisher:
Published: 1994
Total Pages: 52
ISBN-13:
DOWNLOAD EBOOKAuthor: Kazuhiro Hiraki
Publisher:
Published: 2019
Total Pages:
ISBN-13:
DOWNLOAD EBOOKAuthor: Lorenzo F. Naranjo
Publisher:
Published: 2009
Total Pages: 288
ISBN-13:
DOWNLOAD EBOOKAuthor: John H. Cochrane
Publisher: Princeton University Press
Published: 2009-04-11
Total Pages: 560
ISBN-13: 1400829135
DOWNLOAD EBOOKWinner 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.