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Optimal Asset Taxes in Financial Markets with Aggregate Uncertainty
Insurance Aggregate Uncertainty Financial Markets Optimal Taxation
2015/7/31
his paper studies Pareto-optimal risk-sharing arrangements in a private information economy with aggregate uncertainty and ex ante heterogeneous agents. I show how to implement Pareto-optima as equili...
For comments and suggestions, we thank Olivier Blanchard, Markus Brunnermeier, John Campbell,
Martin Feldstein, and participants at the NBER Asset Pricing and Monetary Policy Pre-Conference
in Novem...
This paper considers a consumption-based asset pricing model where housing is explicitly modeled
both as an asset and as a consumption good. Nonseparable preferences describe households’ concern
wit...
This paper studies monetary-policy shocks,
deŽ ned from federal funds target movements
relative to daily interest-rate data. These shocks are nearly ideal measures of unexpected movements in mo...
华中科技大学投资学课件Chapter8 The Capital Asset Pricing Model
华中科技大学 投资学 课件 Chapter8 The Capital Asset Pricing Model
2015/5/19
华中科技大学投资学课件Chapter8 The Capital Asset Pricing Model。
华中科技大学投资学课件Chapter6 Capital Allocation Between the Risky Asset and the Risk-Free Asset
华中科技大学 投资学 课件 Chapter6 Capital Allocation Between the Risky Asset and the Risk-Free Asset
2015/5/19
华中科技大学投资学课件Chapter6 Capital Allocation Between the Risky Asset and the Risk-Free Asset。
Asset Allocation with Endogenous Labor Income:The Case of Incomplete Markets
Asset Allocation Endogenous Labor Income Incomplete Markets
2015/5/13
Asset Allocation with Endogenous Labor Income:The Case of Incomplete Markets.
Make versus Buy in Trucking:Asset Ownership,Job Design and Information
Truck Transportation Decision Choices and Conditions Ownership Transportation Industry
2015/5/13
Make versus Buy in Trucking:Asset Ownership,Job Design and Information.
Leverage Asset Pricing
return predictability cross sectional asset pricing financial intermediation macrofinance
2014/3/18
We investigate intermediary asset pricing theories empirically and find strong support for intermediary book leverage as the relevant state variable. A parsimonious dynamic pricing model that uses det...
Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data
Analyzing the Spectrum Asset Returns Jump Volatility Components High Frequency Data
2014/3/13
This paper reports some of the recent developments in the econometric analysis of semimartingales estimated using high frequency financial returns. It describes a simple yet powerful methodology to de...
A new look at short-term implied volatility in asset price models with jumps
exponential Levy models Blumenthal-Getoor index short-dated options implied volatility.
2012/9/14
We analyse the behaviour of the implied volatility smile for options close to expiry in the exponential Levy class of asset price models with jumps. We introduce a new renormalisation of the strike v...
Pricing joint claims on an asset and its realized variance under stochastic volatility models
Volatility derivatives stochastic volatility models partial differential equations parabolic equations target volatility option.
2012/9/14
In a stochastic volatility framework, we find a general pricing equation for the class of payoffs depending on the terminal value of a market asset and its final quadratic variation. This allows a pri...
Continuous Equilibrium in Affine and Information-Based Capital Asset Pricing Models
Continuous-time equilibrium exponential utility CAPM affine processes information based asset pricing implied volatility
2012/3/2
We consider a class of generalized capital asset pricing models in continuous time with a finite number of agents and tradable securities. The securities may not be sufficient to span all sources of u...
Fundamental theorems of asset pricing for piecewise semimartingales of stochastic dimension
Semimartingale Martingale Stochastic integration Fundamental theorem of asset pricing Stochastic dimension
2011/12/28
The purpose of this paper is two-fold. First is to extend the notions of an n-dimensional semimartin-gale and its stochastic integral to a piecewise semimartingale of stochastic dimension. The propert...
The Impact of Macroeconomic Risk on Asset Prices in Ghana, 1997–2002
capital markets foreign direct investment macroeconomic risk stock markets
2011/9/16
The dwindling nature of overseas development assistance in the early part of the 1990s called for the establishment of capital markets in some African countries, including Ghana, with the view to incr...