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Uncertainty or Frictions? A Quantitative Model of Scarce Safe Assets
Ilut, Cosmin L.; Krivenko, Pavel; Schneider, Martin - National Bureau of Economic Research - 2024
Why did the real interest rate decline and the equity premium increase over the last 30 years? This paper assesses the role of uncertainty and credit market frictions. We quantify a model with heterogeneous households using data on asset prices and macro aggregates, as well as on households'...
Persistent link: https://www.econbiz.de/10014512052
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When Uncertainty and Volatility Are Disconnected : Implications for Asset Pricing and Portfolio Performance
Aït-Sahalia, Yacine; Matthys, Felix; Osambela, Emilio; … - National Bureau of Economic Research - 2021
conditional equity premium and risk-free rate in equilibrium. Our empirical analysis shows that the equity premium appears to be …
Persistent link: https://www.econbiz.de/10012616642
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Adaptation Using Financial Markets : Climate Risk Diversification through Securitization
Kahn, Matthew E.; Ouazad, Amine; Yönder, Erkan - National Bureau of Economic Research - 2024
In the face of rising climate risk, financial institutions may adapt by transferring such risk to securitizers that … to climate risk may be a drop in the ocean of cash flows. This paper builds a data set of the entire securitization chain … optimal deals by finding the portfolio weights in an asset demand system that targets return and risk. Extrapolating wildfire …
Persistent link: https://www.econbiz.de/10014512098
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Portfolio Rebalancing with Realization Utility
Dai, Min; Qin, Cong; Wang, Neng - National Bureau of Economic Research - 2022
) optimally targets her liquid-illiquid wealth ratio at a constant w∗. By saving in the risk-free asset (w∗ > 0), she makes …
Persistent link: https://www.econbiz.de/10013172121
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Simple Allocation Rules and Optimal Portfolio Choice Over the Lifecycle
Duarte, Victor; Fonseca, Julia; Goodman, Aaron S.; … - National Bureau of Economic Research - 2021
We develop a machine-learning solution algorithm to solve for optimal portfolio choice in a detailed and quantitatively-accurate lifecycle model that includes many features of reality modelled only separately in previous work. We use the quantitative model to evaluate the consumption-equivalent...
Persistent link: https://www.econbiz.de/10012794587
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RIM-Based Value Premium and Factor Pricing Using Value-Price Divergence
Cong, Lin William; George, Nathan Darden; Wang, Guojun - National Bureau of Economic Research - 2023
We document that value-to-price, the ratio of Residual-Income-Model-based valuation to market price, subsumes the power of book-to-market ratio and many other value or quality measures in predicting stock returns. Long-short value-to-price portfolios hedge against momentum, revitalize the...
Persistent link: https://www.econbiz.de/10014226164
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Asset Pricing with Optimal Under-Diversification
Elenev, Vadim; Landvoigt, Tim - National Bureau of Economic Research - 2023
feature higher risk free rates, lower risk premiums on fully diversified and concentrated assets, less capital accumulation …, yet higher consumption and welfare. Exposure to undiversified firm risk can explain approximately 40% of the level and 20 …
Persistent link: https://www.econbiz.de/10014250139
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Growth and Risk : A View from International Trade
Krishna, Pravin; Levchenko, Andrei A.; Ma, Lin; … - National Bureau of Economic Research - 2023
) bilateral exports to the United States. The patterns in the data are consistent with the theory. The mean and the variance of …
Persistent link: https://www.econbiz.de/10014226112
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Venture capital and other private equity : a survey
Metrick, Andrew; Yasuda, Ayako - 2010
"We review the theory and evidence on venture capital (VC) and other private equity: why professional private equity …
Persistent link: https://www.econbiz.de/10008806638
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Sustainability in a Risky World
Campbell, John Y.; Martin, Ian - National Bureau of Economic Research - 2021
We view sustainability as a requirement that welfare should not be expected to decline over time. We impose this requirement as a prior constraint on the consumption-savings-investment problem, and study its implications for saving, risky investment, and the social discount rate. The constraint...
Persistent link: https://www.econbiz.de/10012585383