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Chernov, Mikhail; Graveline, Jeremy; Zviadadze, Irina - C.E.P.R. Discussion Papers - 2012

We quantify the sources of risk in currency returns as a first step toward understanding the returns reported for the carry trade. To do this, we develop and estimate an empirical model of exchange rate dynamics using daily data for four currencies relative to the US dollar: the Australian...

Persistent link: https://www.econbiz.de/10011083487

Regression Based Estimation of Dynamic Asset Pricing Models

Adrian, Tobias; Crump, Richard K.; Moench, Emanuel - C.E.P.R. Discussion Papers - 2015

kernel specification. We allow for state variables that are cross sectional pricing factors, forecasting variables for the …

Persistent link: https://www.econbiz.de/10011186634

Carry

Koijen, Ralph; Moskowitz, Tobias J; Pedersen, Lasse Heje; … - C.E.P.R. Discussion Papers - 2013

, and volatility risks, its performance presents a challenge to asset pricing models. …

Persistent link: https://www.econbiz.de/10011083673

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

reflected in the forecasting capabilities of professional analysts: all in all, analysts are not in a position to beat naïve … environment, we analyse the forecasting behaviour of students experimentally, using a simulated currency series. Our results … indicate that topically-oriented trend adjustment behaviour (TOTA) is a general characteristic of human forecasting behaviour …

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

Labour Contracts, Operating Leverage and Asset Pricing

Danthine, Jean-Pierre; Donaldson, John B - C.E.P.R. Discussion Papers - 1996

This paper studies the pricing of financial assets in a complete general equilibrium set-up. We begin with an asset pricing model à la Lucas grafted on a standard Real Business Cycles model. We provide a new decentralized interpretation of such a model in which firms make meaningful investment...

Persistent link: https://www.econbiz.de/10005504725

Valuation Risk and Asset Pricing

Albuquerque, Rui; Eichenbaum, Martin; Rebelo, Sérgio - C.E.P.R. Discussion Papers - 2012

Standard representative-agent models have difficulty in accounting for the weak correlation between stock returns and measurable fundamentals, such as consumption and output growth. This failing underlies virtually all modern asset-pricing puzzles. The correlation puzzle arises because these...

Persistent link: https://www.econbiz.de/10011083589

The Wealth-Consumption Ratio

Lustig, Hanno; van Nieuwerburgh, Stijn; Verdelhan, Adrien - C.E.P.R. Discussion Papers - 2012

We derive new estimates of total wealth, the returns on total wealth, and the wealth effect on consumption. We estimate the prices of aggregate risk from bond yields and stock returns using a no-arbitrage model. Using these risk prices, we compute total wealth as the price of a claim to...

Persistent link: https://www.econbiz.de/10011083953

Moral Hazard and the US Stock Market: The Idea of a 'Greenspan Put'

Miller, Marcus; Weller, Paul; Zhang, Lei - C.E.P.R. Discussion Papers - 2001

that this ‘insurance’ – referred to as the Greenspan put – is consistent with the observation that implied volatility rises …

Persistent link: https://www.econbiz.de/10005067591

Explaining The Equity Risk Premium

Lungu, Laurian; Minford, Patrick - C.E.P.R. Discussion Papers - 2005

We develop a simple overlapping generations model in which the young have a choice in investing in equities and index-linked bonds. Projections of share price uncertainty over a 30-year period show that the risk associated with such a long-term investment predicts an equity premium that matches...

Persistent link: https://www.econbiz.de/10005667120

The Irrelevance of Market Incompleteness for the Price of Aggregate Risk

Krueger, Dirk; Lustig, Hanno - C.E.P.R. Discussion Papers - 2006

In models with a large number of agents who have constant relative risk aversion (CRRA) preferences, the absence of insurance markets for idiosyncratic labour income risk has no effect on the premium for aggregate risk if the distribution of idiosyncratic risk is independent of aggregate shocks....

Persistent link: https://www.econbiz.de/10005791307