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Recursos bibliográficos en papel y digitales -
- libros, artículos de revistas,
ponencias de eventos, etc. -
» Resultado:
5 registros
| Registro 1 de 5 |
| Autor: |
Cecchetti, Stephen-G - Lam, Pok-sang - Mark, Nelson-C - |
| Título: |
Asset Pricing with Distorted Beliefs: Are Equity Returns Too Good to Be True? |
| Fuente: |
American Economic Review. v.90, n.4. American Economic Association |
| Páginas: |
pp. 787-805 |
| Año: |
Sept. 2000 |
| Resumen: |
We study a Lucas asset-pricing model that is standard in all respects, except that the representative agent’s subjective beliefs about endowment growth are distorted. Using constant relative risk-aversion (CRRA) utility, with a CRRA coefficient below 10; fluctuating beliefs that exhibit, on average, excessive pessimism over expansions; and excessive optimism over contractions (both ending more quickly than the data suggest), our model is able to match the first and second moments of the equity premium and risk-free rate, as well as he persistence and predictability of excess returns found in the data. |
| Solicitar por: |
HEMEROTECA A + datos de Fuente |
| Registro 2 de 5 |
| Autor: |
Mark, Nelson-C - |
| Título: |
Exchange Rates and Fundamentals: Evidence on Long-Horizon Predictability |
| Fuente: |
American Economic Review. v.85, n.1. American Economic Association |
| Páginas: |
pp. 201-18 |
| Año: |
Mar. 1995 |
| Resumen: |
Regressions of multiple-period changes in the log exchange rate on the deviation of the log exchange rate from its ’fundamental value’ display evidence that long-horizon changes in log nominal exchange rates contain an economically significant predictable component. To account for small-sample bias and size distortion in asymptotic tests, inference is drawn from bootstrap distributions generated under the null hypothesis that the log exchange rate is unpredictable. The bias-adjusted slope coefficients and R[superscript]2’s increase with the forecast horizon, and the out-of-sample point predictions generally outperform the driftless random walk at the longer horizons. |
| Solicitar por: |
HEMEROTECA A + datos de Fuente |
| Registro 3 de 5 |
| Autor: |
Cecchetti, Stephen-G - Lam, Pok-sang - Mark, Nelson-C - |
| Título: |
Testing Volatility Restrictions on Intertemporal Marginal Rates of Substitution Implied by Euler Equations and Asset Returns |
| Fuente: |
Journal of Finance. v.49, n.1. American Finance Association |
| Páginas: |
pp. 123-52 |
| Año: |
Mar. 1994 |
| Resumen: |
The Euler equations derived from intertemporal asset pricing models, together with the unconditional moments of asset returns, imply a lower bound on the volatility of the intertemporal marginal rate of substitution. This paper develops and implements statistical tests of these lower bound restrictions. While the availability of short time series of consumption data often undermines the ability of these tests to discriminate among different utility functions, the authors find that the restrictions implied by a number of widely studied financial data sets continue to pose quite a challenge to the current generation of intertemporal asset pricing theories. |
| Solicitar por: |
HEMEROTECA J + datos de Fuente |
| Registro 4 de 5 |
| Autor: |
Cecchetti, Stephen-G - Lam, Pok-sang - Mark, Nelson-C - |
| Título: |
Mean Reversion in Equilibrium Asset Prices |
| Fuente: |
American Economic Review. v.80, n.3. American Economic Association |
| Páginas: |
pp. 398-418 |
| Año: |
June 1990 |
| Resumen: |
This paper demonstrates that negative serial correlation in long-horizon stock returns is consistent with an equilibrium model of asset pricing. When investors display only a moderate desire to smooth their consumption, commonly used measures of mean reversion in stock prices calculated from historical returns data nearly always lie within a 60 percent confidence interval of the median of the Monte Carlo distributions implied by the authors equilibrium model. From this evidence, the authors conclude that the degree of serial correlation in the data could plausibly have been generated by their model. |
| Solicitar por: |
HEMEROTECA A + datos de Fuente |
| Registro 5 de 5 |
| Autor: |
Cecchetti, Stephen-G - Mark, Nelson-C - |
| Título: |
Evaluating Empirical Tests of Asset Pricing Models: Alternative Interpretations |
| Fuente: |
American Economic Review. v.80, n.2. American Economic Association |
| Páginas: |
pp. 48-51 |
| Año: |
May 1990 |
| Solicitar por: |
HEMEROTECA A + datos de Fuente |
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