Showing 1 - 10 of 22,149
This paper develops a structural equilibrium model with intertemporal macroeconomic risk, incorporating the fact that firms are heterogeneous in their asset composition. Compared with firms that are mainly composed of invested assets, firms with growth options have higher costs of debt because...
Persistent link: https://www.econbiz.de/10010616816
This paper develops a dynamic trade-off model of optimal capital structure that takes into ac- count the fact that most firms have both invested assets and growth opportunities. These two sources of value react quite differently to business cycle risk. In particular, growth options are more...
Persistent link: https://www.econbiz.de/10008922899
We empirically examine the influence of risk on firms' capital structure adjustments. The process of adjustment is asymmetric and depends on the type of risk, its magnitude, the firm's actual leverage with respect to its target, and its financial status. We show that firms with financial...
Persistent link: https://www.econbiz.de/10010717558
The fall in US macroeconomic volatility from the mid-1980s coincided with a strong rise in asset prices. Recently, this rise, and the crash that followed, have been attributed to overconfidence in a benign macroeconomic environment of low volatility. This paper introduces learning about the...
Persistent link: https://www.econbiz.de/10009385764
We propose a novel generalized recursive smooth ambiguity model which permits a three-way separation among risk aversion, ambiguity aversion, and intertemporal substitution. We apply this utility model to a consumption-based asset pricing model in which consumption and dividends follow hidden...
Persistent link: https://www.econbiz.de/10009220140
Persistent link: https://www.econbiz.de/10010548470
In this paper, we present a general discrete-time affine framework aimed at jointly modeling yield curves associated with different debtors. The underlying fixed-income securities may differ in terms of credit quality and/or in terms of liquidity. The risk factors follow conditionally Gaussian...
Persistent link: https://www.econbiz.de/10009275672
This paper presents a no-arbitrage model of the yield curve that explicitly incorporates the central-bank policy rate. After having estimated the model using daily euro-area data, I explore the behaviour of risk premia at the short end of the yield curve. These risk premia are neglected by the...
Persistent link: https://www.econbiz.de/10010568851
This paper studies how inflation as a macroeconomic indicator affects nominal bond prices. I consider an economy with a representative agent with Epstein- Zin preferences. Regime switching affects the state-space capturing inflation and consumption growth. Thus, the agent is concerned about the...
Persistent link: https://www.econbiz.de/10008471278
Stock prices often diverge from measures of fundamental value, which simple present value models fail to explain. This paper tries to find causes for these long-run price movements and their persistence by estimating a STAR model for the price-earnings ratio of the S&P500 index for 1961Q1 -...
Persistent link: https://www.econbiz.de/10009004075