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Asset Pricing from Daily Shopper Spending

Pukthuanthong, Kuntara; Shen, Jialu; Wang, Ruixiang - 2021

decomposes consumption shocks into different frequency of volatility and shows that ignoring short-term dynamics and intra …

Persistent link: https://www.econbiz.de/10013233817

Sponsored Search and Market Efficiency

Dhar, Vasant; Ghose, Anindya - 2014

Sponsored search is the mechanism whereby where advertisers pay a fee to Internet search engines to be displayed alongside organic (non-sponsored) web search results. Based on prior literature, we draw an analogy between these markets and financial markets. We use the analogy as well as the key...

Persistent link: https://www.econbiz.de/10014044833

Durable Matters? An Alternative Measure of Consumption Risk

Cui, Rui - 2012

Empirical proxies for permanent shocks to durables consumption growth are shown to generate strong pricing implications for both one-period and long-run risk return tradeoff in a cross-section of test assets. This factor is identified as an additional source of consumption risk in a structural...

Persistent link: https://www.econbiz.de/10013101685

A probabilistic demand application in the American cracker market

Johnson, Rutherford Card - In: International journal of food and agricultural … 4 (2016) 3, pp. 49-61

Persistent link: https://www.econbiz.de/10011558359

Representative Consumer's Risk Aversion and Efficient Risk-Sharing Rules

Hara, Chiaki; Huang, James; Kuzmics, Christoph - 2006

We study the representative consumer's risk attitude and efficient risk-sharing rules in a single-period, single-good economy in which consumers have homogeneous probabilistic beliefs but heterogeneous risk attitudes. We prove that if all consumers have convex absolute risk tolerance, so must...

Persistent link: https://www.econbiz.de/10014058197

Testing the Model

Buellesbach, Joe - 2015

This paper examines the unique ability of The Model: a structural credit risk model proposed in Buellesbach (2015), to match the market in ways unmatched by other well-known structural models. The Model demonstrates the capacity to accurately value firms' equity and debt across the entire credit...

Persistent link: https://www.econbiz.de/10013014728

Modeling Behavioral Risk

Bissiri, Matteo - 2014

Contracts with embedded prepayment/extension options are subject to behavioral risk, due to the unpredictable exercise strategy followed by the option holder. Empirical data show that, in many situations and for different reasons, investors do not act purely on the strength of financial...

Persistent link: https://www.econbiz.de/10013044257

By Force of Habit and Cyclical Leverage

Schreindorfer, David - 2023

I show that the habit model of Campbell and Cochrane (1999) does not produce rising volatility during recessions when … it is solved accurately. Instead, volatility is a hump-shaped function of the model's state and recessions are … characterized by falling volatility. Risk premia are substantially less cyclical and returns less predictable than reported in the …

Persistent link: https://www.econbiz.de/10014349157

Accounting for Risk Aversion in Derivatives Purchase Timing

Leung, Tim - 2012

We study the problem of optimal timing to buy/sell derivatives by a risk-averse agent in incomplete markets. Adopting the exponential utility indifference valuation, we investigate this timing flexibility and the associated delayed purchase premium. This leads to a stochastic control and optimal...

Persistent link: https://www.econbiz.de/10013114153

Income smoothing and consumption smoothing

Morduch, Jonathan - 1995

Persistent link: https://www.econbiz.de/10000918982