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Merz, Monika; Yashiv, Eran - C.E.P.R. Discussion Papers - 2004

What role does labour play in firms’ market value? We explore this question using a production-based asset-pricing model with frictions in the adjustment of both capital and labor. We posit that hiring of labour is akin to investment in capital and that the two interact, with the interaction...

Persistent link: https://www.econbiz.de/10005114309

Equilibrium Cross-Section of Returns

Gomes, Joao F; Kogan, Leonid; Zhang, Lu - C.E.P.R. Discussion Papers - 2002

intertemporal CAPM with the market portfolio as the only factor, size and book-to-market play separate roles in describing the cross …-section of stock returns is not necessarily inconsistent with a single-factor conditional CAPM model. …

Persistent link: https://www.econbiz.de/10005123908

Productivity Growth and the Structure of the Business Cycle

Saint-Paul, Gilles - C.E.P.R. Discussion Papers - 1992

trend from the cycle. The results are mildly supportive of the OC theory. Demand shocks tend to have a negative impact on …

Persistent link: https://www.econbiz.de/10005666892

Multiple Equilibria in a Growth Model with Monopolistic Competition

Galí, Jordi - C.E.P.R. Discussion Papers - 1993

We develop a simple growth model with imperfect competition in which demand conditions can affect the dynamics of capital accumulation, hindering or enhancing growth. In our model the elasticity of the demand schedule faced by a typical firm depends on the aggregate savings rate. The latter...

Persistent link: https://www.econbiz.de/10005124443

Asset Pricing Implications of Firms' Financing Constraints

Gomes, Joao F; Yaron, Amir; Zhang, Lu - C.E.P.R. Discussion Papers - 2002

We incorporate costly external finance in a production based asset pricing model and investigate whether financing frictions are quantitatively important for pricing a cross-section of expected returns. We show that the common assumptions about the nature of the financing frictions are captured...

Persistent link: https://www.econbiz.de/10005497817

Time-Varying Risk Premia and the Cost of Capital: An Alternative Implication of the Q Theory of Investment

Lettau, Martin; Ludvigson, Sydney - C.E.P.R. Discussion Papers - 2001

Evidence suggests that expected excess stock market returns vary over time, and that this variation is much larger than that of expected real interest rates. It follows that a large fraction of the movement in the cost of capital in standard investment models must be attributable to movements in...

Persistent link: https://www.econbiz.de/10005123554

Basic Principles Of Asset Pricing Theory: Evidence From Large-Scale Experimental Financial Markets

Bossaerts, Peter; Plott, Charles - C.E.P.R. Discussion Papers - 2000

propositions of modern asset pricing theory, namely, that the interaction between risk averse agents in a competitive market leads …-markets model, and the Sharpe-Lintner-Mossin Capital Asset Pricing Model (CAPM). This framework enabled us to measure how far our … discovered swift convergence towards equilibrium prices of Arrow and Debreu's model or the CAPM. This discovery is significant …

Persistent link: https://www.econbiz.de/10005662411

EMU and European Stock Market Integration

Hardouvelis, Gikas A; Malliaropoulos, Dimitrios; … - C.E.P.R. Discussion Papers - 1999

The paper examines whether or not the convergence process of European economies towards Economic and Monetary Union has led to increased integration of European stock markets. We estimate a conditional asset pricing model, which allows for a time-varying degree of integration that measures the...

Persistent link: https://www.econbiz.de/10005788933

Equilibrium of Real Financial Markets: Theory and Experimental Evidence

Bossaerts, Peter - C.E.P.R. Discussion Papers - 2004

The theory and the data in this Paper challenge the view that there is no structure in prices and allocations when … markets are off equilibrium. Starting from the observation that price-taking usually applies only to small orders, a theory of … imbalance. In the context of mean-variance preferences, the theory predicts that a security’s price will correlate with excess …

Persistent link: https://www.econbiz.de/10005792218

Optimal Financial Market Integration and Security Design

Acharya, Viral V; Bisin, Alberto - C.E.P.R. Discussion Papers - 2003

We study two-period pure-exchange Capital Asset Pricing Model (CAPM) economies, for given degrees of incompleteness of …

Persistent link: https://www.econbiz.de/10005792424