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Giglio, Stefano; Maggiori, Matteo; Stroebel, Johannes; … - 2019

financial markets. The survey elicits beliefs that are crucial for macroeconomics and finance, and matches respondents with …

Persistent link: https://www.econbiz.de/10012024521

Securitization and asset prices

Aksoy, Yunus; Basso, Henrique S. - 2015

associated with credit markets, influences the outcomes of other asset markets. We investigate the link between securitization … bond and equity premia. We then build a model of bank portfolio choice where the creation of synthetic securities may occur … equity and bonds due to securitization may not be related to a decline in actual risk. …

Persistent link: https://www.econbiz.de/10010479921

Changes in risk and asset prices

Schlesinger, Harris; Gollier, Christian - 2001

how a miscalibration of the asset risk can lead to a partial explanation of high equity premia (i.e., the equity premium …

Persistent link: https://www.econbiz.de/10011398103

Money is the root of asset bubbles

Awaya, Yu; Iwasaki, Kohei; Watanabe, Makoto - 2024

This paper examines how monetary expansion causes asset bubbles. When there is no monetary expansion, a bubbly asset is not created due to a hold-up problem. Monetary expansion increases buyers' money holdings, and then, dealers are willing to buy a worthless asset from sellers, in hopes of...

Persistent link: https://www.econbiz.de/10014467370

Bubbles and collateral

Awaya, Yu; Do, Jihwan; Watanabe, Makoto - 2025

We construct a model of bubbles where an asset can be used as collateral primarily due to higher-order uncertainty: while both a lender and a borrower know that the intrinsic value of the asset is low, they may still believe that a “greater fool” exists who will purchase it at a much higher...

Persistent link: https://www.econbiz.de/10015404489

Macroeconomic expectations and state-dependent factor returns

Haase, Felix; Neuenkirch, Matthias - 2023

We examine the asymmetric impact of shocks to macroeconomic expectations and their underlying dispersion on equity risk …

Persistent link: https://www.econbiz.de/10014388605

Dissecting characteristics nonparametrically

Freyberger, Joachim; Neuhierl, Andreas; Weber, Michael - 2018 - This version: July 2018

We propose a nonparametric method to study which characteristics provide incremental information for the cross section of expected returns. We use the adaptive group LASSO to select characteristics and to estimate how they affect expected returns nonparametrically. Our method can handle a large...

Persistent link: https://www.econbiz.de/10011888693