Similar Search Results

Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies

Kogan, Leonid; Uppal, Raman - C.E.P.R. Discussion Papers - 2002

In this article, we show how to analyse analytically the equilibrium policies and prices in an economy with a stochastic investment opportunity set and incomplete financial markets, when agents have power utility over both intermediate consumption and terminal wealth, and face portfolio...

Persistent link: https://www.econbiz.de/10005504284

Why is Long-Horizon Equity Less Risky? A Duration-based Explanation of the Value Premium

Lettau, Martin; Wachter, Jessica - C.E.P.R. Discussion Papers - 2005

growth stocks, and the failure of the capital asset pricing model to explain these expected returns. To model the difference …

Persistent link: https://www.econbiz.de/10005504287

Wealth Transfers, Contagion and Portfolio Constraints

Pavlova, Anna; Rigobon, Roberto - C.E.P.R. Discussion Papers - 2005

This paper examines the co-movement among stock market prices and exchange rates within a three-country Centre-Periphery dynamic equilibrium model in which agents in the Centre country face portfolio constraints. In our model, international transmission occurs through the terms of trade, through...

Persistent link: https://www.econbiz.de/10005504325

Euler Equation Errors

Lettau, Martin; Ludvigson, Sydney - C.E.P.R. Discussion Papers - 2005

-based asset pricing paradigm are the formidable unconditional Euler equation errors the model produces for cross-sections of asset … returns. Here we ask whether calibrated leading asset pricing models - specifically developed to address empirical puzzles … pricing kernel that sets the unconditional Euler equation errors to zero is jointly lognormally distributed with aggregate …

Persistent link: https://www.econbiz.de/10005504372

Tax-Adjusted Discount Rates with Investor Taxes and Risky Debt

Cooper, Ian; Nyborg, Kjell G - C.E.P.R. Discussion Papers - 2008

This paper derives a tax-adjusted discount rate formula with a constant proportion leverage policy, investor taxes, and risky debt. The result depends on an assumption about the treatment of tax losses in default. We identify the assumption that justifies the textbook approach of discounting...

Persistent link: https://www.econbiz.de/10005504394

Biases of Professional Exchange Rate Forecasts: Psychological Explanations and an Experimentally-Based Comparison to Novices

Bofinger, Peter; Leitner, Johannes; Schmidt, Robert - C.E.P.R. Discussion Papers - 2004

The empirical performance of macroeconomic exchange rate models is more than disappointing. This dismal result is also reflected in the forecasting capabilities of professional analysts: all in all, analysts are not in a position to beat naïve random walk forecasts. The root for this deficient...

Persistent link: https://www.econbiz.de/10005504428

The Forward Premium Puzzle: Different Tales from Developed and Emerging Economies

Bansal, Ravi; Dahlquist, Magnus - C.E.P.R. Discussion Papers - 1999

In this paper we document new results regarding the forward premium puzzle. The often found negative correlation between the expected currency depreciation and interest rate differential is, contrary to popular belief, not a pervasive phenomenon. It is confined to developed economies, and here...

Persistent link: https://www.econbiz.de/10005504460

Exchange Rate And Foreign Inflation Risk Premiums In Global Equity Returns

Vassalou, Maria - C.E.P.R. Discussion Papers - 2000

We test for the pricing of exchange rate and foreign inflation risk in equities. Our tests are motivated by the …

Persistent link: https://www.econbiz.de/10005504518

The Declining Equity Premium: What Role Does Macroeconomic Risk Play?

Lettau, Martin; Ludvigson, Sydney; Wachter, Jessica - C.E.P.R. Discussion Papers - 2006

from post-war data to calibrate a rational asset pricing model with regime switches in both the mean and standard deviation …

Persistent link: https://www.econbiz.de/10005504539

Is There Evidence of Pessimism and Doubt in Subjective Distributions? A Comment on Abel

Giordani, Paolo; Söderlind, Paul - C.E.P.R. Discussion Papers - 2003

Abel (2002) shows that pessimism and doubt in the subjective distribution of the growth rate of consumption reduce the risk-free rate puzzle and the equity premium puzzle. We quantify the amount of pessimism and doubt in survey data on US consumption and income. Individual forecasters are, in...

Persistent link: https://www.econbiz.de/10005504545