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, Green Banking, Demographic Risk Financial Crisis: Overview Leverage, Systemic Risk, Securitization, Pricing …
Persistent link: https://www.econbiz.de/10015234562
information, market liquidity, investors' earnings and asset price characteristics in a financial market. Social communication …. Although information exchange among traders increases trading volume, improves liquidity and enhances the ability of asset …
Persistent link: https://www.econbiz.de/10015257078
I model a scenario in which investors do not know the payoff distributions of relatively newer firms and use the payoff distribution of similar well-established firms as starting points. The starting distributions are then adjusted for size, volatility, and other differences. Anchoring bias...
Persistent link: https://www.econbiz.de/10015250368
Central to market fundamentals are three ideas: (1) Nominal money (2) Dividend (3) Existing stock. In connection with the cumulative dividend stream criterion of fundamental and noise movement, the conception of sequentially stable Markov process is grounded on the theory of bubbles. This paper...
Persistent link: https://www.econbiz.de/10015252597
It is widely acknowledged that fire sales were a critical factor in inducing and exacerbating the financial crises of 2007--2008. The leverage of financial intermediaries, which is defined as the ratio of total assets to capital, is a key factor in causing fire sales. Why do financial...
Persistent link: https://www.econbiz.de/10015262530
The standard generalized method of moments (GMM) estimation of Euler equations in heterogeneous-agent consumption-based asset pricing models is inconsistent under fat tails because the GMM criterion is asymptotically random. To illustrate this, we generate asset returns and consumption data from...
Persistent link: https://www.econbiz.de/10015255998
We show that in a general equilibrium model with heterogeneity in risk aversion or belief, shifting wealth from an …
Persistent link: https://www.econbiz.de/10015256019
For decades, the academic literature has focused on three survey measures of expected inflation: the Livingston Survey, the Survey of Professional Forecasters, and the Michigan Survey. While these measures have been useful in developing models of forecasting inflation, the data are low frequency...
Persistent link: https://www.econbiz.de/10015230546
I present evidence that higher frequency measures of inflation expectations outperform lower frequency measures of inflation expectations in tests of accuracy, predictive power, and rationality. For decades, the academic literature has focused on three survey measures of expected inflation: the...
Persistent link: https://www.econbiz.de/10015230637
. The former, reducing the risk of their portfolio, and the latter, setting more efficient policies to avoid the effect of …
Persistent link: https://www.econbiz.de/10015261923