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16,190
The Asset Pricing Implications
, 2012
"... This paper studies the implications of parameter learning in general equilibrium, consumptionbased asset pricing models. Learning about the structural parameters that govern aggregate consumption dynamics introduces longrun risks in the subjective consumption dynamics, as posterior mean beliefs ar ..."
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This paper studies the implications of parameter learning in general equilibrium, consumptionbased asset pricing models. Learning about the structural parameters that govern aggregate consumption dynamics introduces longrun risks in the subjective consumption dynamics, as posterior mean beliefs
Networks in Production: Asset Pricing Implications ∗
, 2014
"... This paper studies asset pricing in a multisector model in which sectors are connected to each other through an inputoutput network. Changes in the structure of the network are sources of systematic risk reflected in equilibrium asset prices. There are two key characteristics of the network that m ..."
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Cited by 1 (0 self)
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This paper studies asset pricing in a multisector model in which sectors are connected to each other through an inputoutput network. Changes in the structure of the network are sources of systematic risk reflected in equilibrium asset prices. There are two key characteristics of the network
Asset Pricing Implications of Social Networks ∗
, 2005
"... Recent empirical studies suggest that social networks, according to which communication takes place, have a significant impact on traders ’ financial decisions. Motivated by this evidence, we propose an asset pricing model in which agents communicate information according to a social network. In the ..."
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Cited by 1 (1 self)
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is exogenous and can be considered to represent geographical proximities as well as social relationships (such as friendships and acquaintanceships). The model generates several novel implications. First, we prove that social influence is a determinant in asset pricing, where one’s influence is determined
Parameter learning in general equilibrium: The asset pricing implications
, 2013
"... This paper quantifies the asset pricing implications of parameter learning in a general equilibrium macrofinance setting when the representative agent has a preference for early resolution of uncertainty. Bayesian learning about fixed parameters governing the exogenous endowment process introduces ..."
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Cited by 19 (1 self)
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This paper quantifies the asset pricing implications of parameter learning in a general equilibrium macrofinance setting when the representative agent has a preference for early resolution of uncertainty. Bayesian learning about fixed parameters governing the exogenous endowment process introduces
The Volatility Sensitivity Ratio and its Asset Pricing Implications.
, 2002
"... I am grateful for comments from participants at the CIRANO meeting on Extreme Events in Finance, Montreal October 2002, and at the Econometrics seminar at UC Riverside. The Volatility Sensitivity Ratio and its Asset Pricing Implications. In developing a rational theory dealing with the fear of crash ..."
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I am grateful for comments from participants at the CIRANO meeting on Extreme Events in Finance, Montreal October 2002, and at the Econometrics seminar at UC Riverside. The Volatility Sensitivity Ratio and its Asset Pricing Implications. In developing a rational theory dealing with the fear
Asset Pricing Implications of Pareto Optimality with Private Information
 Journal of Political Economy
, 2009
"... In this paper, we consider a dynamic economy in which the agents in the economy are privately informed about their skills, which evolve stochastically over time in an arbitrary fashion. We consider an asset pricing equilibrium in which equilibrium quantities are constrained Pareto optimal. Under the ..."
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Cited by 31 (2 self)
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the assumption that agents have constant relative risk aversion, we derive a a novel asset pricing kernel for financial asset returns. The kernel equals the reciprocal of the gross growth of the γth moment of the consumption distribution, where γ is the coefficient of relative risk aversion. This implication can
Asset pricing implications of two financial accelerator models
, 2005
"... This paper compares two financial accelerator models by analyzing their respective cyclical characteristics of the external finance premium and its implications for the equity premium. We answer the question posed by Gomes, Yaron and Zhang (2003) Can the desirable business cycle implications of fin ..."
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Cited by 9 (0 self)
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of Gomes et al with a diffeent financial accelerator model by Bernanke, Gertler and Gilchrist (2000). In that model two key assumptions are different and the asset pricing results are in line with the facts. The two key assumptions are (i) fi…rms have selffinancing (leverage) ratios that are sensitive
Quantitative asset pricing implications of housing collateral constraints
, 2005
"... paper circulated earlier under the title ‘A Theory of Housing Collateral, Consumption Insurance, and Risk To explain the variation in US asset returns in the 20th century, we solve an equilibrium model in which households face housing collateral constraints. An increase in the ratio of housing to hu ..."
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Cited by 5 (0 self)
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paper circulated earlier under the title ‘A Theory of Housing Collateral, Consumption Insurance, and Risk To explain the variation in US asset returns in the 20th century, we solve an equilibrium model in which households face housing collateral constraints. An increase in the ratio of housing
Financial Literacy, Information Acquisition and Asset Pricing Implications
"... In this paper I study the information acquisition process in a simple asset pricing model with heterogeneous beliefs about future prices. This is instrumental to investigate the eects of nancial literacy on market volatility. I posit that nancial literacy aects the cost of acquiring information on ..."
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In this paper I study the information acquisition process in a simple asset pricing model with heterogeneous beliefs about future prices. This is instrumental to investigate the eects of nancial literacy on market volatility. I posit that nancial literacy aects the cost of acquiring information
Examining the Asset Pricing Implications of Quadratic Preference Functionals
, 2003
"... This paper introduces a preference functional which is quadratic in the probabilities. This preference functional incorporates the
rst two moments of the utility function and provides a natural, parsimonious and tractable generalization of expected utility. Unlike expected utility, risk aversion is ..."
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the large equity premium, the small riskfree rate and the low volatility of the riskfree rate; it can also satisfy the volatility bounds on the pricing kernel. Using the generalized method of moments to estimate the preference parameters from the Euler equations for the representative agent, I
nd evidence
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