Showing 1 - 10 of 13,649
What is the fundamental value of a stock and do prices deviate from it? This paper answers these questions by using a Consumption-Capital Asset Pricing Model. I first show how to express the fundamental price as a function of expected future dividends and consumption as well as of their future...
Persistent link: https://www.econbiz.de/10013155426
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
This study is to assess the dynamics effects of business confidence and consumer confidence on stock market risk premiums and to determine the relative importance of business confidence and consumer confidence in forecasting the variability of stock market risk premiums though a variance...
Persistent link: https://www.econbiz.de/10013065805
We show that aversion to risk and ambiguity leads to information inertia when investors process public news about assets. Optimal portfolios do not always depend on news that is worse than expected; hence, the equilibrium stock price does not reflect this bad news. This informational inefficiency...
Persistent link: https://www.econbiz.de/10012857251
Persistent link: https://www.econbiz.de/10000330941
We study asset pricing with consumption frictions. Frictions in consumption include adjustment costs which prevent a consumer from adjusting consumption freely, due to transaction costs, commitments, search and learning costs, and psychological costs. The stochastic discount factor is determined...
Persistent link: https://www.econbiz.de/10013236647
This study examines if business confidence and consumer confidence can explain variability of stock market returns across countries. Based on the analysis of monthly time series cross-sectional (panel) data from 31 countries, the results show that stock market return goes up by an average of 154...
Persistent link: https://www.econbiz.de/10013007332
Many consumption-based models succeed in matching long lists of asset price moments. We propose an alternative, full-information Bayesian evaluation that decomposes the price-dividend ratio (p/d) into contributions from long-run risks, habit, and a residual. We find that long-run risks account...
Persistent link: https://www.econbiz.de/10012903645
We study a production-based present-value relation that implies that fluctuations in the marginal profit-to-marginal Q ratio (mq) are driven by variations in the expected growth of marginal profits (cash-flow channel), expected investment return changes (discount-rate channel), or both. We find...
Persistent link: https://www.econbiz.de/10013234295
Using a novel panel data set covering half a million customers of a large Mexican retail chain I study determinants of consumer credit default. I document that information about which products a customer buys provides substantial information about potential default losses on a given loan....
Persistent link: https://www.econbiz.de/10013109076