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  1. The welfare cost of ignoring the beta
    Autor*in: Gollier, Christian
    Erschienen: March 2021
    Verlag:  Fondazione Eni Enrico Mattei, Milano, Italia

    Because of risk aversion, any sensible investment valuation system should value less Projects that contribute more to the aggregate risk, i.e., that have a larger income elasticity of net benefits. In theory, this is done by adjusting discount rates... mehr

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    Because of risk aversion, any sensible investment valuation system should value less Projects that contribute more to the aggregate risk, i.e., that have a larger income elasticity of net benefits. In theory, this is done by adjusting discount rates to consumption betas. But in reality, for various reasons (Arrow-Lind and WACC fallacies, market failures), most public and private institutions and people use a discount rate that is rather insensitive to the risk profile of their investment projects. I show in this paper that the economic consequences of the implied misallocation of capital are dire. To do this, I calibrate a Lucas model in which the investment opportunity set contains a myriad of projects with different expected returns and risk profiles. The welfare loss of using a single discount rate is equivalent to a permanent reduction in consumption that lies somewhere between 15% and 45%, depending upon which familiar discounting system is used. Economists should devote more energy to support a reform of public discounting systems in favor of what has been advocated by the normative interpretation of modern asset pricing theories over the last four decades.

     
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    hdl: 10419/233088
    Schriftenreihe: Working paper / Fondazione Eni Enrico Mattei ; 2021, 003
    Schlagworte: Discounting; Investment Theory; Asset Pricing; Carbon Pricing; Arrow-Lind Theorem; WACC Fallacy; Rare Disasters; Capital Budgeting
    Umfang: 1 Online-Ressource (circa 28 Seiten), Illustrationen
  2. Asset pricing using Block-Cholesky GARCH and time-varying betas
    Autor*in: Grassi, Stefano; Violante, Francesco
    Erschienen: [2021]
    Verlag:  CEIS Tor Vergata, [Rom]

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    Schriftenreihe: CEIS Tor Vergata research paper series ; vol. 19, issue 3 = no. 510 (March 2021)
    Schlagworte: Cholesky decomposition; Multivariate GARCH; Asset Pricing; Time Varying Beta; Two Pass Regression
    Umfang: 1 Online-Ressource (circa 57 Seiten), Illustrationen
  3. Secular economic changes and bond yields
    Autor*in: Feunou, Bruno; Fontaine, Jean-Sébastien
    Erschienen: [2021]
    Verlag:  Bank of Canada, [Ottawa]

    We build a model for bond yields based on a small-scale representation of an economy with secular declines in inflation, the real rate and output growth. Long-run restrictions identify nominal shocks that influence long-run inflation but do not... mehr

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    We build a model for bond yields based on a small-scale representation of an economy with secular declines in inflation, the real rate and output growth. Long-run restrictions identify nominal shocks that influence long-run inflation but do not influence the long-run real rate or output growth. These nominal shocks have loadings that can change over time. The results show that, before the anchoring of inflation around the mid-1990s, nominal shocks lifted the output gap and inflation, leading to higher yields and a steeper yield curve via higher shortrate expectations and term premiums. The short rate peaked after several quarters but only after the responses of growth and inflation started to decline. With inflation anchored, however, nominal shocks have a short-lived impact on inflation, an insignificant impact on output and only a small impact on bond yields via the term premium.

     
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    hdl: 10419/241237
    Auflage/Ausgabe: Last updated: March 19, 2021
    Schriftenreihe: Staff working paper / Bank of Canada ; 2021, 14
    Schlagworte: Asset Pricing; Interest rates; Monetary policy and uncertainty; Potential output; Econometric and statistical methods
    Umfang: 1 Online-Ressource (circa 65 Seiten), Illustrationen
  4. Measuring market expectations
    Autor*in: Baumeister, Christiane
    Erschienen: 06 September 2021
    Verlag:  Centre for Economic Policy Research, London

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    Schriftenreihe: Array ; DP16520
    Schlagworte: futures markets; risk premia; monetary policy; commodities; Asset Pricing; returnregressions; affine term structure models; Model uncertainty; Forecasting; expectational shocks
    Umfang: 1 Online-Ressource (circa 48 Seiten), Illustrationen
  5. The impact of asset purchases in an experimental market with consumption smoothing motives
    Autor*in: Duan, Jieyi; Hanaki, Nobuyuki
    Erschienen: November 2021
    Verlag:  The Institute of Social and Economic Research, Osaka University, Osaka, Japan

    We investigate the effect of preannounced market intervention on an asset price as well as participants' welfare in an experimental frame- work where participants have consumption smoothing motives to trade the asset. The results show that, on one... mehr

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    We investigate the effect of preannounced market intervention on an asset price as well as participants' welfare in an experimental frame- work where participants have consumption smoothing motives to trade the asset. The results show that, on one hand, the preannounced inter- vention results in significantly larger overpricing of the asset relative to the rational expectations equilibrium level in periods prior to the intervention compared with the treatment without it. The participants' welfare, measured by the discounted sum of the payoffs at the beginning of the experiment, on the other hand, are not significantly worsened by the intervention.

     
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    Schriftenreihe: Discussion paper / The Institute of Social and Economic Research ; no. 1147
    Schlagworte: Asset Pricing; Consumption Smoothing; Bounded Rationality; Quantitative Easing
    Umfang: 1 Online-Ressource (circa 75 Seiten), Illustrationen
  6. Asset pricing using block-cholesky GARCH and time-varying betas
    Autor*in: Grassi, Stefano; Violante, Francesco
    Erschienen: [2021]
    Verlag:  Department of Economics and Business Economics, Aarhus University, Aarhus, Denmark

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    Schriftenreihe: CREATES research paper ; 2021, 05
    Schlagworte: Cholesky decomposition; Multivariate GARCH; Asset Pricing; Time Varying Beta; Two Pass Regression
    Umfang: 1 Online-Ressource (circa 51 Seiten), Illustrationen
  7. Asset pricing with heterogeneous agents and non-normal return distributions
    Autor*in: Beddock, Arthur
    Erschienen: [2021]
    Verlag:  Tilburg University, Tilburg

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    Sprache: Englisch
    Medientyp: Dissertation
    Format: Online
    ISBN: 9789056686543
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    Schriftenreihe: [Dissertation series] / [Center for Economic Research, Tilburg University] ; [nr. 653 (2021)]
    Schlagworte: Return Distribution; Heterogeneous Agents; Asset Pricing; Non-Normality; Investors; Portfolio Choice; Asset Pricing Models; Normal Distribution; Market Volatility; Skewness; Asset Returns; Asset Prices; Empirical Test; Assets; Interaction
    Umfang: 1 Online-Ressource (circa 215 Seiten), Illustrationen
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    Dissertation, Tilburg University, 2021
  8. Essays on asset pricing, investor preferences, and derivative markets
    Autor*in: Koëter, Joren
    Erschienen: [2021]
    Verlag:  Tilburg University, Tilburg

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    Medientyp: Dissertation
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    ISBN: 9789056686604
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    Schriftenreihe: [Dissertation series] / [Center for Economic Research, Tilburg University] ; [nr. 659 (2021)]
    Schlagworte: Derivative markets; Investors; Asset Pricing Models; Asset Pricing; Asset Pricing Puzzle; Prohability Weighting; Stock Market; Risk Premia; Cross Section; Skweness; Option Prices
    Umfang: 1 Online-Ressource (circa 215 Seiten), Illustrationen
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    Dissertation, Tilburg University, 2021
  9. Asset pricing using Block-Cholesky GARCH and time-varying betas
    Autor*in: Grassi, Stefano; Violante, Francesco
    Erschienen: [2021]
    Verlag:  Center for Research in Economics and Statistics, Palaiseau, France

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    Schriftenreihe: Working paper series / Center for Research in Economics and Statistics ; no. 2021, 05 (Feb 2021)
    Schlagworte: Cholesky decomposition; Multivariate GARCH; Asset Pricing; Time Varying Beta; Two Pass Regression
    Umfang: 1 Online-Ressource (circa 51 Seiten), Illustrationen
  10. Fighting for fares
    Uber and the declining market price of licensed taxicabs
    Autor*in: Garnham, Alina; Stacey, Derek
    Erschienen: [2021]
    Verlag:  [Department of Economics, University of Waterloo], [Waterloo, Ontario]

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    Schriftenreihe: [Waterloo economic series] ; [# 21, 001]
    Schlagworte: Uber; Taxicabs; Asset Pricing; Search and Bargaining
    Umfang: 1 Online-Ressource (circa 36 Seiten), Illustrationen
  11. Systematic liquidity risk premia
    Autor*in: Boyle, Glenn W.; Hong, Sanghyun
    Erschienen: [2020]
    Verlag:  Department of Economics and Finance, School of Business and Economics, University of Canterbury, Christchurch, New Zealand

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    Schriftenreihe: Working paper / Department of Economics and Finance, School of Business and Economics, University of Canterbury ; no. 2020, 15
    Schlagworte: Liquidity Risk; Asset Pricing
    Umfang: 1 Online-Ressource (circa 28 Seiten), Illustrationen
  12. Mining for oil forecasts
    Autor*in: Calomiris, Charles W.; Melek, Nida Çakır; Mamaysky, Harry
    Erschienen: 2020
    Verlag:  Federal Research Bank of Kansas City, Kansas City, Mo.

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    Schriftenreihe: KcFED research working papers ; RWP 20, 20 (December 2020)
    Schlagworte: Asset Pricing; Commodity Markets; Energy Forecasting; Model Validation
    Umfang: 1 Online-Ressource (circa 82 Seiten), Illustrationen
  13. Leveraged property cycles
    Autor*in: Jaccard, Ivan
    Erschienen: [2021]
    Verlag:  European Central Bank, Frankfurt am Main, Germany

    This paper studies the effects of imperfect risk-sharing between lenders and borrowers on commercial property prices and leverage. The key friction is that agents use different discount rates to evaluate future flows. Eliminating this pecuniary... mehr

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    This paper studies the effects of imperfect risk-sharing between lenders and borrowers on commercial property prices and leverage. The key friction is that agents use different discount rates to evaluate future flows. Eliminating this pecuniary externality generates large reductions in the volatility of real estate prices and credit. Therefore, policies that enhance risk-sharing between lenders and borrowers reduce the magnitude of boom-bust cycles in real estate prices. We also introduce health shocks to study the effect of the COVID-19 crisis on the commercial property market.

     
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    ISBN: 9789289945394
    Weitere Identifier:
    hdl: 10419/234093
    Schriftenreihe: Working paper series / European Central Bank ; no 2539 (April 2021)
    Schlagworte: Leverage Cycle; Pecuniary Externalities; Asset Pricing; Incomplete Markets
    Umfang: 1 Online-Ressource (circa 62 Seiten), Illustrationen
  14. Rational learning and the term structures of value and growth risk premia
    Autor*in: Hasler, Michael; Khapko, Mariana; Marfè, Roberto
    Erschienen: [2020]
    Verlag:  Collegio Carlo Alberto, [Torino]

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    Schriftenreihe: Carlo Alberto notebooks ; no. 622 (December 2020)
    Schlagworte: Asset Pricing; Rational Learning; Term Structures; Value and GrowthFirms
    Umfang: 1 Online-Ressource (circa 52 Seiten), Illustrationen
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    "The paper was previously circulated under the title: Rational Learning and Term Structures"" - Seite 1, Fußnote
  15. Trading in crowded markets
    Autor*in: Gorban, Stepan; Obižaeva, Anna; Wang, Yajun
    Erschienen: August 2020
    Verlag:  CEFIR, Moscow

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    Schriftenreihe: NES working paper series ; no. 275
    Schlagworte: Asset Pricing; Market Liquidity; Market Microstructure,Crowding; Price Impact; Strategic Trading; Transaction Costs
    Umfang: 1 Online-Ressource (circa 54 Seiten), Illustrationen
  16. Safe asset carry trade
    Autor*in: Ballensiefen, Benedikt; Ranaldo, Angelo
    Erschienen: July 18, 2019
    Verlag:  School of Finance, University of St. Gallen, St. Gallen

    We provide an asset pricing analysis of one of the main categories of near-money or safe assets,the repurchase agreement (repo). Heterogeneity in repo rates allows for a remunerative carry trade. The return on this carry trade, our carry factor,... mehr

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    We provide an asset pricing analysis of one of the main categories of near-money or safe assets,the repurchase agreement (repo). Heterogeneity in repo rates allows for a remunerative carry trade. The return on this carry trade, our carry factor, together with a market factor explain the temporal and cross-sectional variation in repo rates within a no-arbitrage framework: While the market factor determines the level of short-term interest rates, the carry factor accounts for the cross-sectional dispersion. Consistent with the safe asset literature, the carry factor reflects heterogeneity in convenience premia and is explained by the safety premium, the liquidity premium, and the opportunity cost of holding money.

     
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    Auflage/Ausgabe: First draft: July 18, 2019
    Schriftenreihe: Working papers on finance ; no. 2019, 09
    Schlagworte: Safe Asset; Repo; Asset Pricing; Convenience Premium; Bond Pricing
    Umfang: 1 Online-Ressource (circa 63 Seiten), Illustrationen
  17. Experimental asset markets with an indefinite horizon
    Autor*in: Duffy, John; Jiang, Janet Hua; Xie, Huan
    Erschienen: July 2019
    Verlag:  CIRANO, Centre interuniversitaire de recherche en analyse des organisations, Montréal

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    Schriftenreihe: Scientific series / CIRANO, Centre interuniversitaire de recherche en analyse des organisations ; 2019s, 15
    Schlagworte: Asset Pricing; Behavioral Finance; Experiments; Indefinite Horizon; RandomTermination; Risk and Uncertainty; Expected Utility; Epstein-Zin Recursive Preferences; Probability Weighting
    Umfang: 1 Online-Ressource (circa 61 Seiten), Illustrationen
  18. The wealth creation effect in stock returns
    Autor*in: Franzoni, Francesco; Obrycki, Daniel; Resendes, Rafael
    Erschienen: [2022]
    Verlag:  Swiss Finance Institute, Geneva

    In the asset pricing literature, higher investment is associated with lower expected stock returns. On the other hand, practitioners view investment as a value-creating activity when it generates payoffs above the cost of capital. The paper... mehr

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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    In the asset pricing literature, higher investment is associated with lower expected stock returns. On the other hand, practitioners view investment as a value-creating activity when it generates payoffs above the cost of capital. The paper reconciles these views. Starting from a discounted cash-flow tautology, we argue that expected returns correlate positively with expected investment whenever the return on equity is large enough. We label this prediction the wealth creation effect. The empirical evidence supports this channel. The interaction of profitability and investment positively correlates with stock returns controlling for the usual characteristics. A wealth creation factor earns a premium of about 24bps per month leading to sizeable Sharpe ratio improvements relative to popular factor models

     
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    Schriftenreihe: Research paper series / Swiss Finance Institute ; no 22, 27
    Schlagworte: Profitability factor; Investment Factor; Asset Pricing; Net-Present Value; Wealth Creation
    Weitere Schlagworte: Array
    Umfang: 1 Online-Ressource (circa 55 Seiten), Illustrationen
  19. Prospect theory and mutual fund flows
    Autor*in: Han, Bing; Su, Pengfei; Yang, Wenhao
    Erschienen: 2021
    Verlag:  [University of Toronto - Rotman School of Management], [Toronto]

    Using mutual fund flow, we empirically test whether choices made by investors are consistent with preferences implied by prospect theory. Our findings support this hypothesis. When allocating capital to mutual funds, investors evaluate funds based on... mehr

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    Using mutual fund flow, we empirically test whether choices made by investors are consistent with preferences implied by prospect theory. Our findings support this hypothesis. When allocating capital to mutual funds, investors evaluate funds based on the past performance distribution and choose the ones that deliver the highest utility according to prospect theory. This predictive relation is robust when we control for a large set of known drivers of fund flows, notably alphas. The pattern is more salient among retail and less sophisticated investors. Moreover, all the features of prospect theory contribute to the predictive power

     
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    Auflage/Ausgabe: This draft: April, 2021
    Schriftenreihe: [Rotman School of Management working paper ; no. 3867988]
    Schlagworte: Prospect Theory; Mutual Funds; Asset Pricing; Behavioral Finance
    Umfang: 1 Online-Ressource (circa 49 Seiten), Illustrationen
  20. Semiparametric characteristics-based models of asset returns
    Autor*in: Li, Shaoran
    Erschienen: April 2021

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    Medientyp: Dissertation
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    Schlagworte: Asset Pricing; LASSO; Portfolio Management
    Umfang: 1 Online-Ressource (circa 152 Seiten), Illustrationen
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    Dissertation, University of Cambridge, 2021
  21. The wealth creation effect in stock returns
    Autor*in: Franzoni, Francesco; Obrycki, Daniel; Resendes, Rafael
    Erschienen: 25 April 2022
    Verlag:  Centre for Economic Policy Research, London

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    Schriftenreihe: Array ; DP17251
    Schlagworte: Profitability factor; Investment Factor; Asset Pricing; Net-Present Value; WealthCreation
    Umfang: 1 Online-Ressource (circa 56 Seiten), Illustrationen
  22. The prior adaptive group lasso and the Factor Zoo
    Autor*in: Bertelsen, Kristoffer Pons
    Erschienen: [2022]
    Verlag:  Department of Economics and Business Economics, Aarhus University, Aarhus, Denmark

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    Auflage/Ausgabe: This version: January 20, 2022
    Schriftenreihe: CREATES research paper ; 2022, 05
    Schlagworte: Asset Pricing; Factor Selection; Factor Zoo; High-Dimensional Modeling; PriorInformation; Variable Selection
    Umfang: 1 Online-Ressource (circa 93 Seiten), Illustrationen
  23. Deciphering monetary policy shocks
    Autor*in: Gnan, Phillipp; Schleritzko, Maximilian; Schmeling, Maik; Wagner, Christian
    Erschienen: 11 May 2022
    Verlag:  Centre for Economic Policy Research, London

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    Schriftenreihe: Array ; DP17295
    Schlagworte: monetary policy shocks; central bank communication; Asset Pricing; textual analysis
    Umfang: 1 Online-Ressource (circa Seiten)
  24. Fighting for fares
    Uber and the declining market price of licensed taxicabs
    Autor*in: Garnham, Alina; Stacey, Derek G.
    Erschienen: 6-2022
    Verlag:  Department of Economics, Queen's University, Kingston, Ontario, Canada

    In this paper, we study how the emergence of Uber in a large North American city affects the financial value of taxicab licenses. A taxicab license provides a claim to a stream of dividends in the form of rents generated by operating the taxicab or... mehr

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    In this paper, we study how the emergence of Uber in a large North American city affects the financial value of taxicab licenses. A taxicab license provides a claim to a stream of dividends in the form of rents generated by operating the taxicab or leasing the license. The introduction of Uber undoubtedly affects the anticipated stream of div- idends because Uber drivers capture part of the farebox revenue that might otherwise go to the owners/drivers of licensed taxicabs. At the same time, the launch of Uber's innovative technology-driven approach to the provision of ride-hailing services can be viewed as a partial obsolescence of the traditional taxicab approach. The economic incentives facing market participants may therefore change as Uber gains momentum in the ride-hailing market, which could further affect the market value of licensed taxi- cabs. Using transaction-level data, we apply a theory of asset pricing to the secondary market for Toronto taxicab licenses to explore these potential price effects. We learn that both the farebox and innovation effects contribute to the overall decline in market value, with the farebox effect accounting for just over half of the $170K price decline from 2011 to 2017. We explore the welfare implications for taxicab license owners with counterfactual simulations. We find that, consistent with the anti-Uber protests organized by Toronto taxi drivers, there was a high willingness to pay among license holders to prevent or postpone the launch of Uber's ridesharing services.

     
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    Weitere Identifier:
    hdl: 10419/281091
    Schriftenreihe: Queen's Economics Department working paper ; no. 1487
    Schlagworte: Uber; Taxicabs; Asset Pricing; Search and Bargaining
    Umfang: 1 Online-Ressource (circa 57 Seiten), Illustrationen
  25. Option characteristics as cross-sectional predictors
    Autor*in: Neuhierl, Andreas; Tang, Xiaoxiao; Varneskov, Rasmus Tangsgaard; Zhou, Guofu
    Erschienen: [2022]
    Verlag:  DFG Center for Advanced Studies on the Foundations of Law and Finance, House of Finance, Goethe University, Frankfurt am Main, Germany

    We provide the first comprehensive analysis of option information for pricing the cross-section of stock returns by jointly examining extensive sets of firm and option characteristics. Using portfolio sorts and high-dimensional methods, we show that... mehr

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    We provide the first comprehensive analysis of option information for pricing the cross-section of stock returns by jointly examining extensive sets of firm and option characteristics. Using portfolio sorts and high-dimensional methods, we show that certain option measures have significant predictive power, even after controlling for firm characteristics, earning a Fama-French three-factor alpha in excess of 20% per annum. Our analysis further reveals that the strongest option characteristics are associated with information about asset mispricing and future tail return realizations. Our findings are consistent with models of informed trading and limits to arbitrage.

     
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    hdl: 10419/261467
    Schriftenreihe: LawFin working paper ; no. 37
    Schlagworte: Asset Pricing; Factor Models; High-dimensional Methods; Option Characteristics
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