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» Resultado: 2 registros
| Registro 1 de 2 | |
| Autor: | Marshall, David-A - Parekh, Nayan-G |
| Título: | Can Costs of Consumption Adjustment Explain Asset Pricing Puzzles? |
| Fuente: | Journal of Finance. v.54, n.2. American Finance Association |
| Páginas: | pp. 623-54 |
| Año: | Apr. 1999 |
| Resumen: | The authors investigate Sanford J. Grossman and Guy Laroque’s (1990) conjecture that costs of adjusting consumption can account, in part, for the empirical failure of the consumption-based capital asset pricing model (CCAPM). They incorporate small fixed costs of consumption adjustment into a CCAPM with heterogeneous agents. The authors find that undetectably small consumption adjustment costs can account for much of the discrepancy between the observed variance of nondurable aggregate consumption growth and the predictions of the CCAPM, and can partially reconcile nondurable consumption data with the observed equity premium. The authors conclude that the CCAPM’s implications are nonrobust to extremely small adjustment costs. |
| Solicitar por: | HEMEROTECA J + datos de Fuente |
| Registro 2 de 2 | |
| Autor: | Bekaert, Geert - Hodrick, Robert-J - Marshall, David-A - |
| Título: | On Biases in Tests of the Expectations Hypothesis of the Term Structure of Interest Rates |
| Fuente: | Journal of Financial Economics. v.44, n.3. Elsevier Science |
| Páginas: | pp. 309-48 |
| Año: | June 1997 |
| Resumen: | The authors document extreme bias and dispersion in the small-sample distributions of four standard regression-based tests of the expectations hypothesis of the term structure of interest rates. The biases arise because of the extreme persistence in short interest rates. They derive approximate analytic expressions for the biases under a simple first-order autoregressive data generating process for the short rate. The authors then conduct Monte Carlo experiments based on a bias-adjusted first-order autoregressive process for the short rate and for a more realistic bias-adjusted VAR-GARCH model incorporating the short rate and three term spreads. Conducting inference with the small-sample distributions of test statistics rather than with their asymptotic distributions provides a more consistent rejection of the expectations hypothesis. Plausible sources of measurement error in short and long yields do not salvage the expectations hypothesis. |
| Solicitar por: | HEMEROTECA J + datos de Fuente |
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