共查询到20条相似文献,搜索用时 0 毫秒
1.
The paper addresses the influence on asset prices of agents’ disagreement regarding asset volatility. Using a stochastic volatility model and assuming that the market is complete, a state‐price density incorporating heterogeneous beliefs in volatility is derived and used to compute asset prices. How agent disagreement regarding volatility influences asset prices and volatility is discussed and empirical results are provided. 相似文献
2.
Haim Reisman 《Quantitative Finance》2013,13(2):317-322
The ‘law of one accounting variable’ is defined in this paper as an extension of ‘the law of one price’. It says roughly that if the future payoffs of two assets are the same (in every state of the world), then the accounting variable of the assets are approximately the same. The paper derives a condition under which this law holds and shows that when the law holds for some accounting variables, these variables can replace betas in the multibeta representation of asset returns, provided some admissibility conditions are satisfied. 相似文献
3.
Market integration and currency risk in Asian emerging markets 总被引:1,自引:0,他引:1
Most of the Asian emerging stock markets started to liberalize their markets in 1990s. In this paper, I examine whether those markets have become integrated with world stock market since the 1990s by estimating and testing a dynamic version of international CAPM (ICAPM) in the absence of purchasing power parity (PPP) using a parsimonious multivariate GARCH-in-Mean (MGARCH-M) approach. I also investigate to what extent the liberalization process has affected the cost of capital and price volatility for each market. The empirical results show that Philippines was segmented from the world stock market before its liberalization date, but no evidence of market segmentation is found for the other five markets (India, Korea, Malaysia, Taiwan, and Thailand) before their liberalization dates. However, all six markets have become integrated after opening up their markets to foreign investors. In addition, the estimated risk premia are lower after the liberalization, indicating that the liberalization process has reduced the cost of capital for their domestic firms. Moreover, there is no evidence of extra market volatility introduced by capital market liberalization, and on the contrary, the markets have become more stabilized through the liberalization process. 相似文献
4.
Sema Bayraktar 《Review of Quantitative Finance and Accounting》2009,32(2):169-195
This article derives international equity pricing relations by taking into account inflationary exchange risk under various
forms of market segmentation/integration. In a mean-variance framework, a two-country, two-period, two-goods model is analyzed
under three different market structures: segmented, mildly segmented and integrated. It is found that as long as investors
are consuming imported goods, in the presence of market frictions, inflationary exchange risk is an important determinant
of real equity prices. This is the case because inflationary exchange rate affects the real purchasing power of investors.
相似文献
Sema BayraktarEmail: |
5.
Timothy Cogley 《Journal of Monetary Economics》2008,55(3):454-476
By positing learning and a pessimistic initial prior, we build a model that disconnects a representative consumer's subjective attitudes toward risk from the high price of risk that a rational-expectations econometrician would deduce from financial market data. We follow Friedman and Schwartz [1963. A Monetary History of the United States, 1857-1960. Princeton University Press, Princeton, NJ] in hypothesizing that the Great Depression heightened fears of economic instability. We use a robustness calculation to elicit a pessimistic prior for a representative consumer and let him update beliefs via Bayes’ law. Learning eventually erases pessimism, but while it persists, pessimism contributes a volatile multiplicative component to the stochastic discount factor that a rational-expectation econometrician would detect. With sufficient initial pessimism, the model generates substantial values for the market price of risk and equity premium and predicts high Sharpe ratios and forecastable excess stock returns. 相似文献
6.
The purpose of this study is to identify and analyze inter-temporal trading patterns attributable to informed trading. Recent theoretical models posit that heterogeneous prior beliefs provide a source of trading volume in addition to the commonly accepted trading motives of liquidity and asymmetric information. After separating informed from uninformed trading using the estimation procedure of Easley et al. [Journal of Finance 51 (1996) 1405], we test for the presence of trading on heterogeneous beliefs as opposed to asymmetric information. The empirical findings confirm the existence of trading on heterogeneous prior beliefs and generally support the inter-temporal patterns proposed by Wang [Journal of Financial Markets 1 (1998) 321]. 相似文献
7.
This article offers a survey of theoretical research on disclosure and the cost of capital. We summarize the current state of the literature and discuss the channels through which information affects the cost of capital. After giving an overview of asset pricing theory, we examine the rationale for an accounting risk factor or an ex‐ante effect of information on the cost of capital. Then, we discuss the role of voluntary disclosure, heterogenous beliefs, investor base, liquidity shocks, earnings management, and agency problems as determinants of the cost of capital. Linkages between productive decisions and the cost of capital, and their implication for investor welfare, are also examined. 相似文献
8.
I develop new spread proxies that pick up on three attributes of the low-frequency (daily) data: (1) price clustering, (2) serial price covariance accounting for midpoint prices on no-trade days, and (3) the quoted spread that is available on no-trade days. I develop and empirically test two different approaches: an integrated model and combined models. I test both new and existing low-frequency spread measures relative to two high-frequency benchmarks (percent effective spread and percent quoted spread) on three performance dimensions: (1) higher individual firm correlation with the benchmarks, (2) higher portfolio correlation with the benchmarks, and (3) lower distance relative to the benchmarks. I find that on all three performance dimensions the new integrated model and the new combined model do significantly better than existing low-frequency spread proxies. 相似文献
9.
We report international, style, and subperiod evidence for the other January effect (OJE) documented in Cooper et al. [2006. The other January effect. Journal of Financial Economics 82, 315–341]. When examining the OJE in 22 countries starting as early as 1801, we find that the spread between 11-month returns following positive and negative Januarys does tend to be positive. However, the spreads are rarely statistically significant and the returns of other calendar months exhibit similar subsequent 11-month return spreads. Further, the international OJE spreads and the OJE spreads in disaggregate U.S.-style portfolios are more related to the U.S. market-level January return, rather than the respective country-specific or portfolio-specific January return. Finally, the OJE is weaker over the 1975–2006 post-discovery period than over the 1940–1974 pre-discovery period. Our evidence indicates that the OJE is primarily a U.S. market-level-based phenomenon that has diminished over time, which suggests a ‘temporary anomaly’ interpretation. 相似文献
10.
Dilip B. Madan 《Quantitative Finance》2013,13(7):735-748
Adopting a constant elasticity of variance formulation in the context of a general Lévy process as the driving uncertainty we show that the presence of the leverage effect? in this form has the implication that asset price processes satisfy a scaling hypothesis. We develop forward partial integro-differential equations under a general Markovian setup, and show in two examples (both continuous and pure-jump Lévy) how to use them for option pricing when stock prices follow our leveraged Lévy processes. Using calibrated models we then show an example of simulation-based pricing and report on the adequacy of using leveraged Lévy models to value equity structured products. 相似文献
11.
We apply Fourier and wavelet decompositions to structural asset pricing models with time non-separable utility. Through simulations, we show how Fourier decompositions of the utility function, coupled with isolating certain frequencies of the stochastic consumption process, reveal a preference for temporal allocations. We demonstrate the usefulness of wavelets by highlighting their ability to isolate frequency and time, simultaneously. While much work has been devoted to wavelet applications of financial data, we are unaware of papers that use wavelets to analyze structural aspects of asset pricing models. 相似文献
12.
We develop a dynamic general equilibrium asset pricing model with heterogeneous beliefs to study the effects of monetary policy on prices, risk premia, asset price bubbles, and financial stability. We propose a new framework for monetary policy with respect to bubbles. Because bubble risk premia arise from an interaction between disagreements among investors and dynamic trading constraints, under a non-accommodative monetary policy, liquidity adjusted risk and bubble risk premia increase. What matters for policy is the trading constrained fraction/mass of agents that disagree about fundamentals (i.e. optimists/pessimists). Accommodative policy can lead to a larger fraction of trading constrained agents that disagree, larger bubbles, and increased systemic risk. An implication of our results is that accommodative monetary policy in response to the Covid-19 crisis does not increase systemic risk due to asset price bubbles, as long as the policy keeps inflation under control. 相似文献
13.
We find that stock markets more integrated towards global markets experienced larger price drops during the 2008 financial crisis. The negative relation between the crisis period return and the degree of stock market integration is evident only in emerging countries. We show that the withdrawal of foreign equity investments during the crisis period does not contribute to the negative relation between the crisis period stock return and the degree of stock market integration. Instead, the negative relation arises because integrated emerging markets experience increased exposure to the negative global shock during a financial crisis. We obtain similar results when the 1997 Asian financial crisis is used as an experimental setting. 相似文献
14.
The aim of this work is to examine the influence of mutual fund flows on market timing models, thus providing unbiased timing coefficients. However, as this control is motivated by the existing relationship between mutual fund flows and market returns, we first analyse this relationship, considering previous and concurrent market returns. However, unlike existing studies, we do not consider future returns, since investors do not observe them when making investment decisions. Thus, we feel it is more appropriate to consider expected market returns. We construct the expected market returns by running an AR model and considering the available public information about the macro-economy. The relationship is analysed under different conditions, considering a variety of different mutual fund flow measures, and considering (or not) the sensitivity of mutual fund flows to positive and negative market returns. We also propose different controls for the traditional timing models, and we further analyse the reverse-causality problem. The study demonstrates, for a sample of equity mutual funds registered for sale in the USA, that the poor market timing performance found in this and other prior studies can be completely attributed to the perverse effect of the fund managers’ liquidity service. 相似文献
15.
In an influential paper, Frankel and Lee (1998) conclude that the stock return predictability of the value‐to‐price ratio (V/P) results from market mispricing. This paper confirms whether the V/P reflects the rational risk premiums associated with the V/P factor or is better explained by market inefficiency. Following Daniel and Titman (1997), this paper examines whether the V/P characteristics or the V/P factor loadings predict stock returns. The findings show that the V/P loadings are positively associated with average returns even after controlling for the V/P characteristics in both time series and cross‐sectional tests. The overall results suggest that the mispricing explanation of the V/P effect is premature. 相似文献
16.
Sandrine Jacob Leal 《Quantitative Finance》2013,13(11):1837-1850
This paper investigates whether excess volatility of asset prices and serial correlations of stock monthly returns may be explained by the interactions between fundamentalists and chartists. Fundamentalists forecast future prices cum dividends through an adaptive learning rule. In contrast, chartists forecast future prices based on the observation of past price movements. Numerical simulations reveal that the interplay of fundamentalists and chartists robustly generates excess volatility of asset prices, volatility clustering, trends in prices (i.e. positive serial correlations of returns) over short horizons and oscillations in prices (i.e. negative serial correlations of returns) over long horizons, often observed in financial data. Moreover, we find that the memory of the learning rule plays a key role in explaining the above-mentioned stylized facts. In particular, we establish that excess volatility of asset prices; volatility clustering and autocorrelation of returns at different horizons emerge when fundamentalists have short memory. However, volatility clustering as well as short-run and long-run dependencies, observed in financial time series, are more pronounced when fundamentalists have longer memory. 相似文献
17.
We use an investment-based asset pricing model to examine the effect of firms’ investments relative to cash holdings on stock returns, assuming holding cash lowers transaction costs. We find that mimicking portfolios based on investments relative to non-cash capital and based on investments relative to cash capital are priced for various testing portfolios. On average, momentum stocks and growth stocks are more sensitive to the factor constructed using investment relative to cash. 相似文献
18.
We derive an explicit formula for the price-dividend ratio of a generalized version of Abel’s asset pricing model. This model is generalized in two ways: first, consumption (dividend) growth is assumed to be an AR(1) process subject to Gaussian random shocks, and second, the investor’s preferences are allowed to be a convex combination of internal and external habits. With an internal habit weight, 50%, and a coefficient of risk aversion, 3.25, simulation results match the historic US equity premium and risk free interest rate. 相似文献
19.
Why do asset price bubbles continue to appear in various markets? What types of events give rise to bubbles and why do arbitrage forces fail to quickly burst them? Do bubbles have real economic consequences and should policy makers do more to prevent them? This paper provides an overview of recent literature on bubbles, with significant attention given to behavioral models and rational models with frictions. The latest U.S. real estate bubble is described in the context of this literature. 相似文献
20.
We present a novel asset pricing model that captures the investment wisdom and stock-selection approach of the long-term value-investors Benjamin Graham and Warren Buffett. Taking a longer term view of business prospects and business risks, we explicitly consider the time period in which a business enjoys a competitive advantage over its peers as the central tenet of our model and capture the eventual demise of this competitive advantage in a probabilistic manner. Assuming that our investor has log utility, our model answers the question of capital allocation in a two-asset scenario. The model does not enforce the Efficient Market Hypothesis and is shown to explain some well-known empirical studies on stock returns. 相似文献