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Asset pricing in OLG economies with borrowing constraints and idiosyncratic income risk

Harenberg, Daniel - 2018

This paper analyzes how the combination of borrowing constraints and idiosyncratic risk affects the equity premium in an overlapping generations economy. I find that introducing a zero-borrowing constraint in an economy without idiosyncratic risk increases the equity premium by 70 percent, which...

Persistent link: https://www.econbiz.de/10011900994

Can risk models extract inflation expectations from financial market data? : evidence from the inflation protected securities of six countries

Kita, Arben; Tortorice, Daniel L. - 2018

Persistent link: https://www.econbiz.de/10012063682

Unsecured Credit Supply Risk and Bond Prices

Mabille, Pierre - 2021

Changes in credit supply induce large and frequent variations in households' access to unsecured debt. They generate a novel financial precautionary motive, which compounds the classical motive associated with idiosyncratic income risk, as borrowers accumulate risk-free bonds to hedge against...

Persistent link: https://www.econbiz.de/10013239541

Intergenerational risk-sharing through funded pensions and public debt

Chen, Damiaan H. J.; Beetsma, Roel; Ponds, Eduard; … - In: Journal of pension economics and finance 15 (2016) 2, pp. 127-159

Persistent link: https://www.econbiz.de/10011566282

Market fragility and the paradox of the recent stock-bond dissonance

Koulovatianos, Christos; Li, Jian; Weber, Fabienne - 2017

. Seemingly, markets have been demanding more stocks instead of bonds. Yet, instead of observing higher bond rates, paradoxically …, bond rates have been persistently negative after the Lehman-Brothers collapse. To explain this paradox, we suggest that, in …, this rise in perceived market fragility alone can explain the drop in both bond rates and price-dividend ratios observed …

Persistent link: https://www.econbiz.de/10011760864

Nominal Rigidities and the Term Structures of Equity and Bond Returns

Lopez, Pierlauro - 2015

A downward-sloping term structure of equity and upward-sloping term structures of interest rates arise endogenously in a general-equilibrium model with nominal rigidities and nonlinear habits in consumption. Countercyclical marginal costs exacerbate the procyclicality of dividends after a...

Persistent link: https://www.econbiz.de/10013016903

Nominal Rigidities and the Term Structures of Equity and Bond Returns

Lopez, Pierlauro - 2015

Persistent link: https://www.econbiz.de/10013019905

Can reinvestment risk explain the dividend and bond term structures?

Gonçalves, Andrei S. - 2018 - This Version: January, 2018

equity term structure cyclicality and the upward sloping bond term structure …

Persistent link: https://www.econbiz.de/10011963382

Financial fairness and conditional indexation

Kleinow, Torsten; Schumacher, Johannes M. - In: Scandinavian actuarial journal (2017) 8, pp. 651-669

Persistent link: https://www.econbiz.de/10011848577

Asset pricing and consumption-portfolio choice with recursive utility and unspanned risk

Kraft, Holger; Seiferling, Thomas; Seifried, Frank Thomas - 2014 - First version: March 6, 2014; this version: June 1, 2014

We study consumption-portfolio and asset pricing frameworks with recursive preferences and unspanned risk. We show that in both cases, portfolio choice and asset pricing, the value function of the investor/representative agent can be characterized by a specific semilinear partial differential...

Persistent link: https://www.econbiz.de/10010359861