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Baum, Christopher F.; Caglayan, Mustafa; Talavera, Oleksandr - 2006

have a significant negative impact on firms? investment spending, while extrinsic uncertainty has a positive impact. …In this paper we investigate the analytical and empirical linkages between firms? capital investment behavior and … financial frictions arising from asymmetric information, proxied by firms? liquidity and degree of uncertainty. Measures of …

Persistent link: https://www.econbiz.de/10010260990

Firm Investment and Financial Frictions

Baum, Christopher F.; Caglayan, Mustafa; Talavera, Oleksandr - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2006

have a significant negative impact on firms' investment spending, while extrinsic uncertainty has a positive impact. …In this paper we investigate the analytical and empirical linkages between firms' capital investment behavior and … financial frictions arising from asymmetric information, proxied by firms' liquidity and degree of uncertainty. Measures of …

Persistent link: https://www.econbiz.de/10004963877

Risk-Sharing, Investment, and Asset Prices According to Cournot and Arrow-Debreu

Neuhann, Daniel - 2020

production. Along with an increase in valuations, the model can generate a joint decline in investment, productivity, risk …

Persistent link: https://www.econbiz.de/10012850362

Rational belief bubbles

Sohn, Hyun-U; Sornette, Didier - 2020

We propose an extension of the class of rational expectations bubbles (REBs) to the more general rational beliefs setting of Kurz (1994a,b). In a potentially non-stationary but stationarizable environment, among an heterogenous population of agents, it is possible to hold more than one...

Persistent link: https://www.econbiz.de/10012181099

Diverse risk preferences and heterogeneous expectations in an asset pricing model

Gomez, Thomas; Piccillo, Giulia - 2019

We propose a heuristic switching model of an asset market where the agents' choice of heuristic is consistent with their individual risk aversion. They choose between a fundamentalist and a trend-following rule to form expectations about the price of a risky asset. Given their risk aversion,...

Persistent link: https://www.econbiz.de/10012157926

The Capital Asset Pricing Model in Economic Perspective

Dawson, Peter C. - 2020

internally consistent and meaningful model of competitive financial asset pricing under uncertainty, and (3) a positive … systematic risk and rate of return. This has far-reaching implications for investors and investment advisors who serve them …

Persistent link: https://www.econbiz.de/10012857018

Diverse Risk Preferences and Heterogeneous Expectations in an Asset Pricing Model

Gomez, Thomas - 2020

Persistent link: https://www.econbiz.de/10012844420

Can Agents Add and Subtract When Forming Beliefs?

Kieren, Pascal - 2020

Bayes' Theorem has an implicit, fundamental rule of how subjects should incorporate informationally equivalent signals of opposite direction: two opposite-directional signals should cancel out such that prior beliefs remain constant. In this study, we test whether agents always follow this...

Persistent link: https://www.econbiz.de/10012829080

Equilibrium commodity prices with irreversible investment and non-linear technologies

Casassus, Jaime; Collin-Dufresne, Pierre; Routledge, … - In: Journal of banking & finance 95 (2018), pp. 128-147

Persistent link: https://www.econbiz.de/10011966725

Learning From Prices : Information Aggregation and Accumulation in an Asset Price Model

Berardi, Michele - 2020

Can prices convey information about the fundamental value of an asset? This paper considers this problem in relation to the dynamic properties of the fundamental (whether it is constant or time-varying) and the structure of information available to agents. Risk-averse traders receive two...

Persistent link: https://www.econbiz.de/10012828061

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