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- Biblioteca Digitais de Teses e Dissertações da USP
- Blackwell Publishing
- FIU Digital Commons
- Universidade de Tubinga
- Springer
- Université de Montréal
- Massachusetts Institute of Technology
- Universidade Cornell
- [Barcelona] : Universitat Autònoma de Barcelona,
- London School of Economics and Political Science Thesis
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## Estudo de anomalias em modelos de formação de preços e o efeito sobre as empresas de diferentes classificações de risco; A study of asset pricing anomalies and the effect over companies of different credit ratings

Fonte: Biblioteca Digitais de Teses e Dissertações da USP
Publicador: Biblioteca Digitais de Teses e Dissertações da USP

Tipo: Dissertação de Mestrado
Formato: application/pdf

Publicado em 03/09/2014
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#Anomalias de mercado#Asset pricing anomalies#Classificação de crédito#Credit rating#Estratégia contrária#Finanças#Finance#Financial distress#Reversal effect

Este trabalho procura aprofundar o estudo de anomalias ao CAPM no mercado acionário brasileiro e explorar as relações destas anomalias com a característica dificuldade financeira, a qual é representada pela classificação de risco das empresas, usando estratégias de compra e venda a descoberto baseadas nas anomalias. As anomalias estudadas serão o efeito de momento, momento nos lucros, a volatilidade idiossincrática, o crescimento dos ativos, o investimento em capital e o efeito contrário. Nosso objetivo é examinar o impacto da característica dificuldade financeira sobre o retorno esperado das ações de empresas do grupo de menor classificação de risco. Para cumprir nosso objetivo, inicialmente usamos todas as ações da Bolsa de Valores de São Paulo (Bovespa) para comparar estas com a amostra de empresas que possuem classificação de crédito de longo prazo. O período estudado é de Janeiro de 2000 a Dezembro de 2012. Os métodos usados foram baseados em ordenação de carteiras e regressões univariadas e multivariadas de corte transversal. Encontramos algumas evidências de que empresas com classificação de crédito sugerem retornos anormais diferentes daqueles da amostra de todas as empresas. Este resultado foi significante...

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## Explaining the Poor Performance of Consumption-Based Asset Pricing Models

Fonte: Blackwell Publishing
Publicador: Blackwell Publishing

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We show that the external habit-formation model economy of Campbell and Cochrane (1999) can explain why the Capital Asset Pricing Model (CAPM) and its extensions are betterapproximate asset pricing models than is the standard onsumption-based model. The model economy produces time-varying expected eturns, tracked by the dividend–price ratio. Portfolio-based models capture some of this variation in state variables, which a state-independent function of consumption cannot capture. Therefore, though the consumption-based model and CAPM are both perfect conditional asset pricing models, the portfolio-based models are better approximate unconditional asset pricing models.; Economics

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## Liquidity and asset pricing: A comparison between three-factor and three-moment capital asset pricing models

Fonte: FIU Digital Commons
Publicador: FIU Digital Commons

Tipo: Artigo de Revista Científica

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Liquidity is an important attribute of an asset that investors would like to take into consideration when making investment decisions. However, the previous empirical evidence whether liquidity is a determinant of stock return is not unanimous. This dissertation provides a very comprehensive study about the role of liquidity in asset pricing using the Fama-French (1993) three-factor and Kraus and Litzenberger (1976) three-moment CAPM as models for risk adjustment. The relationship between liquidity and well-known determinants of stock returns such as size and book-to-market are also investigated. This study examines the liquidity and asset pricing issues for both intertemporal as well as cross-sectional data. ^ The results indicate an existence of a liquidity premium, i.e., less liquid stocks would demand higher rate of return than more liquid stocks. More specifically, a drop of 1 percent in liquidity is associated with a higher rate of return of about 2 to 3 basis points per month. Further investigation reveals that neither the Fama-French three-factor model nor the three-moment CAPM captures the liquidity premium. Finally, the results show that well-known determinants of stock return such as size and book-to-market do not serve as proxy for liquidity. ^ Overall...

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## Three essays on asset pricing

Fonte: FIU Digital Commons
Publicador: FIU Digital Commons

Tipo: Artigo de Revista Científica

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In this dissertation, I investigate three related topics on asset pricing: the consumption-based asset pricing under long-run risks and fat tails, the pricing of VIX (CBOE Volatility Index) options and the market price of risk embedded in stock returns and stock options. These three topics are fully explored in Chapter II through IV. Chapter V summarizes the main conclusions. ^ In Chapter II, I explore the effects of fat tails on the equilibrium implications of the long run risks model of asset pricing by introducing innovations with dampened power law to consumption and dividends growth processes. I estimate the structural parameters of the proposed model by maximum likelihood. I find that the stochastic volatility model with fat tails can, without resorting to high risk aversion, generate implied risk premium, expected risk free rate and their volatilities comparable to the magnitudes observed in data. ^ In Chapter III, I examine the pricing performance of VIX option models. The contention that simpler-is-better is supported by the empirical evidence using actual VIX option market data. I find that no model has small pricing errors over the entire range of strike prices and times to expiration. In general, Whaley’s Black-like option model produces the best overall results...

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## Asset Pricing and Investor Behavior; Bewertung von Finanzanlagen und Investorenverhalten

Fonte: Universidade de Tubinga
Publicador: Universidade de Tubinga

Tipo: Dissertação

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#Aktienmarkt , Kapitalmarktforschung#330#Bewertung von Finanzanlagen , Investorenverhalten , Privatinvestoren#Stock market , Asset pricing , Investor behavior , Retail investors

This thesis consists of three essays in empirical finance covering various aspects of asset prices and their relation to the behavior of investors.
The first part looks at the cross-section of stock returns and the size and value premium in the context of technology risk. We find that the risk of creative destruction plays an important role in the stock market and is priced. The growth of patent issues, patent activity growth, serves as a measure for technology shocks and creative destruction risk. While small value firms have a negative exposure to patent activity growth, large growth firms have a positive exposure to this factor. This results in an economically meaningful risk premium which can account for the size and the value premium.
The second part investigates the time-varying equity premium in the context of investor behavior. The focus of this chapter lies on one specific investor group, namely mutual fund investors. The main result is that mutual fund investors sell stocks in poor (macroeconomic) times which also are times of high expected returns. This portfolio adjustment suggests that in bad times mutual fund investors are less willing to hold equity than the average investor. Possible explanations for this behavior are that mutual fund investors have a higher risk aversion or a higher exposure to income shocks.
The third part analyzes the attention of retail investors to the stock market and stock market volatility. The interest of retail investors in the stock market is measured by internet search queries for index names. Searches of index names and the volatility of the index show a strong co-movement over time. Furthermore...

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## Can fundamentals explain cross-country correlations of asset returns?

Fonte: Springer
Publicador: Springer

Tipo: Artigo de Revista Científica
Formato: text/plain; application/pdf

Publicado em /10/2006
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Previous studies show that existing correlations between national returns are higher than correlations between the national growth rates of fundamental variables. This paper examines the ability of intertemporal asset pricing models to explain cross-country correlations of national returns. We find that when capital markets are assumed to be fully integrated, a simple intertemporal general equilibrium model is able to explain the observed co-variability of domestic asset returns but generates too little variability in those returns. Results improve considerably if a less restrictive version is employed. In that setting, both domestic variability and cross-country co-variability of returns are consistent with capital market integration.

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## Liquidity, governance and adverse selection in asset pricing

Fonte: FIU Digital Commons
Publicador: FIU Digital Commons

Tipo: Artigo de Revista Científica

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A plethora of recent literature on asset pricing provides plenty of empirical evidence on the importance of liquidity, governance and adverse selection of equity on pricing of assets together with more traditional factors such as market beta and the Fama-French factors. However, literature has usually stressed that these factors are priced individually. In this dissertation we argue that these factors may be related to each other, hence not only individual but also joint tests of their significance is called for. ^ In the three related essays, we examine the liquidity premium in the context of the finer three-digit SIC industry classification, joint importance of liquidity and governance factors as well as governance and adverse selection. Recent studies by Core, Guay and Rusticus (2006) and Ben-Rephael, Kadan and Wohl (2010) find that governance and liquidity premiums are dwindling in the last few years. One reason could be that liquidity is very unevenly distributed across industries. This could affect the interpretation of prior liquidity studies. Thus, in the first chapter we analyze the relation of industry clustering and liquidity risk following a finer industry classification suggested by Johnson, Moorman and Sorescu (2009). In the second chapter...

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## Latent Variable Models for Stochastic Discount Factors.

Fonte: Université de Montréal
Publicador: Université de Montréal

Tipo: Artigo de Revista Científica
Formato: 712174 bytes; application/pdf

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#facteurs d'actualisation stochastiques#variables latentes#évaluation des actifs avec coefficients bêtas#modèles à facteurs conditionnels#modèles d'équilibre d'évaluation des actifs financiers avec variables latentes#stochastic discount factors#latent variables#conditional beta pricing#conditional factor models#equilibrium asset pricing models with latent variables#[JEL:G10] Financial Economics - General Financial Markets - General

Latent variable models in finance originate both from asset pricing theory and time series analysis. These two strands of literature appeal to two different concepts of latent structures, which are both useful to reduce the dimension of a statistical model specified for a multivariate time series of asset prices. In the CAPM or APT beta pricing models, the dimension reduction is cross-sectional in nature, while in time-series state-space models, dimension is reduced longitudinally by assuming conditional independence between consecutive returns, given a small number of state variables. In this paper, we use the concept of Stochastic Discount Factor (SDF) or pricing kernel as a unifying principle to integrate these two concepts of latent variables. Beta pricing relations amount to characterize the factors as a basis of a vectorial space for the SDF. The coefficients of the SDF with respect to the factors are specified as deterministic functions of some state variables which summarize their dynamics. In beta pricing models, it is often said that only the factorial risk is compensated since the remaining idiosyncratic risk is diversifiable. Implicitly, this argument can be interpreted as a conditional cross-sectional factor structure...

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## Multiple asset class investing : equilibrium asset pricing evaluation of real estate risk and return across four quadrants; Equilibrium asset pricing evaluation of real estate risk and return across four quadrants

Fonte: Massachusetts Institute of Technology
Publicador: Massachusetts Institute of Technology

Tipo: Tese de Doutorado
Formato: 68 leaves; 338455 bytes; 338262 bytes; application/pdf; application/pdf

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The major objective of this study is to test equilibrium asset pricing models with respect to how well they price risk across multiple asset classes; including the four quadrants of real estate. While using the Geltner (1999) paper as a springboard for our approach, this thesis both updates Professor Geltner's earlier work and extends its scope through the testing of additional models and asset classes. Using historical data to derive beta estimates, we empirically test several variations of the Capital Asset Pricing Model (CAPM). These variations include the traditional, single-beta, Sharpe-Lintner CAPM, as well as the multi-beta, Fama-French CAPM. For the single-factor formula we explore the use of two different market portfolio proxies, the S&P 500 Index and the National Wealth Portfolio (NWP). We also apply the single-factor formula to a non-wealth based, consumption oriented approach. Test results show the NWP based CAPM to be the strongest model, being both robust and statistically significant in its pricing of asset volatility. When using the traditional S&P 500 index as the market proxy, the basic CAPM performs surprisingly well, though not as well as the NWP version. The multi-beta Fama-French model explains a large amount of price variation...

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## The fundamental theorem of asset pricing under proportional transaction costs

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Publicado em 15/10/2007
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We extend the fundamental theorem of asset pricing to a model where the risky
stock is subject to proportional transaction costs in the form of bid-ask
spreads and the bank account has different interest rates for borrowing and
lending. We show that such a model is free of arbitrage if and only if one can
embed in it a friction-free model that is itself free of arbitrage, in the
sense that there exists an artificial friction-free price for the stock between
its bid and ask prices and an artificial interest rate between the borrowing
and lending interest rates such that, if one discounts this stock price by this
interest rate, then the resulting process is a martingale under some
non-degenerate probability measure. Restricting ourselves to the simple case of
a finite number of time steps and a finite number of possible outcomes for the
stock price, the proof follows by combining classical arguments based on
finite-dimensional separation theorems with duality results from linear
optimisation.

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## Bridge Copula Model for Option Pricing

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Publicado em 20/10/2011
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In this paper we present a new multi-asset pricing model, which is built upon
newly developed families of solvable multi-parameter single-asset diffusions
with a nonlinear smile-shaped volatility and an affine drift. Our multi-asset
pricing model arises by employing copula methods. In particular, all discounted
single-asset price processes are modeled as martingale diffusions under a
risk-neutral measure. The price processes are so-called UOU diffusions and they
are each generated by combining a variable (Ito) transformation with a measure
change performed on an underlying Ornstein-Uhlenbeck (Gaussian) process.
Consequently, we exploit the use of a normal bridge copula for coupling the
single-asset dynamics while reducing the distribution of the multi-asset price
process to a multivariate normal distribution. Such an approach allows us to
simulate multidimensional price paths in a precise and fast manner and hence to
price path-dependent financial derivatives such as Asian-style and Bermudan
options using the Monte Carlo method. We also demonstrate how to successfully
calibrate our multi-asset pricing model by fitting respective equity option and
asset market prices to the single-asset models and their return correlations
(i.e. the copula function) using the least-square and maximum-likelihood
estimation methods.; Comment: 22 pages...

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## Fundamental theorems of asset pricing for piecewise semimartingales of stochastic dimension

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Publicado em 22/12/2011
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The purpose of this paper is two-fold. First is to extend the notions of an
n-dimensional semimartingale and its stochastic integral to a piecewise
semimartingale of stochastic dimension. The properties of the former carry over
largely intact to the latter, avoiding some of the pitfalls of
infinite-dimensional stochastic integration. Second is to extend two
fundamental theorems of asset pricing (FTAPs): the equivalence of no free lunch
with vanishing risk to the existence of an equivalent sigma-martingale measure
for the price process, and the equivalence of no arbitrage of the first kind to
the existence of an equivalent local martingale deflator for the set of
nonnegative wealth processes.; Comment: 20 pages

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## A note on the Fundamental Theorem of Asset Pricing under model uncertainty

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

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We show that the results of ArXiv:1305.6008 on the Fundamental Theorem of
Asset Pricing and the super-hedging theorem can be extended to the case in
which the options available for static hedging (\emph{hedging options}) are
quoted with bid-ask spreads. In this set-up, we need to work with the notion of
\emph{robust no-arbitrage} which turns out to be equivalent to no-arbitrage
under the additional assumption that hedging options with non-zero spread are
\emph{non-redundant}. A key result is the closedness of the set of attainable
claims, which requires a new proof in our setting.; Comment: Final version. To appear in Risks

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## CAPM, rewards, and empirical asset pricing with coherent risk

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Publicado em 02/05/2006
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#Mathematics - Probability#Quantitative Finance - Pricing of Securities#Quantitative Finance - Risk Management#91B28#91B30, 91B50

The paper has 2 main goals: 1. We propose a variant of the CAPM based on
coherent risk. 2. In addition to the real-world measure and the risk-neutral
measure, we propose the third one: the extreme measure. The introduction of
this measure provides a powerful tool for investigating the relation between
the first two measures. In particular, this gives us - a new way of measuring
reward; - a new approach to the empirical asset pricing.

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## A new perspective on the fundamental theorem of asset pricing for large financial markets

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

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#Quantitative Finance - Mathematical Finance#Mathematics - Probability#Quantitative Finance - Pricing of Securities

In the context of large financial markets we formulate the notion of \emph{no
asymptotic free lunch with vanishing risk} (NAFLVR), under which we can prove a
version of the fundamental theorem of asset pricing (FTAP) in markets with an
(even uncountably) infinite number of assets, as it is for instance the case in
bond markets. We work in the general setting of admissible portfolio wealth
processes as laid down by Y. Kabanov \cite{kab:97} under a substantially
relaxed concatenation property and adapt the FTAP proof variant obtained in
\cite{CT:14} for the classical small market situation to large financial
markets. In the case of countably many assets, our setting includes the large
financial market model considered by M. De Donno et al. \cite{DGP:05} and its
abstract integration theory.
The notion of (NAFLVR) turns out to be an economically meaningful "no
arbitrage" condition (in particular not involving weak-$*$-closures), and,
(NAFLVR) is equivalent to the existence of a separating measure. Furthermore we
show -- by means of a counterexample -- that the existence of an equivalent
separating measure does not lead to an equivalent $\sigma$-martingale measure,
even in a countable large financial market situation.; Comment: correction of an issue on filtrations...

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## Empirical asset pricing with nonlinear risk premia

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Publicado em 04/11/2009
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In this paper we introduce a simple continuous-time asset pricing framework,
based on general multi-dimensional diffusion processes, that combines
semi-analytic pricing with a nonlinear specification for the market price of
risk. Our framework guarantees existence of weak solutions of the nonlinear
SDEs under the physical measure, thus allowing to work with nonlinear models
for the real world dynamics not considered in the literature so far. It emerges
that the additional flexibility in the time series modelling is econometrically
relevant: a nonlinear stochastic volatility diffusion model for the joint time
series of the S&P 100 and the VXO implied volatility index data shows superior
forecasting power over the standard specifications for implied and realized
variance forecasting.; Comment: 24 pages, 3 figures

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## Essays on empirical asset pricing

Fonte: [Barcelona] : Universitat Autònoma de Barcelona,
Publicador: [Barcelona] : Universitat Autònoma de Barcelona,

Tipo: Tesis i dissertacions electròniques; info:eu-repo/semantics/doctoralThesis
Formato: application/pdf

Publicado em //2013
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Descripció del recurs: 16 de gener de 2014; This thesis consists of three essays on empirical asset pricing around three themes: evaluating linear factor asset pricing models by comparing their misspecified measures, understanding the long-run risk on consumption-leisure to investigate their pricing performances on cross-sectional returns, and evaluating conditional asset pricing models by using the methodology of dynamic cross-sectional regressions. The first chapter is ``Comparing Asset Pricing Models: What does the Hansen-Jagannathan Distance Tell Us?''. It compares the relative performance of some important linear asset pricing models based on the Hansen-Jagannathan (HJ) distance using data over a long sample period from 1952-2011 based on U.S. market. The main results are as follows: first, among return-based linear models, the Fama-French (1993) five-factor model performs best in terms of the normalized pricing errors, compared with the other candidates. On the other hand, the macro-factor model of Chen, Roll, and Ross (1986) five-factor is not able to explain industry portfolios: its performance is even worse than that of the classical CAPM. Second, the Yogo (2006) non-durable and durable consumption model is the least misspecified...

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## Essays in empirical asset pricing

Fonte: London School of Economics and Political Science Thesis
Publicador: London School of Economics and Political Science Thesis

Tipo: Thesis; NonPeerReviewed
Formato: text

Publicado em /07/2015
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In this thesis, I study asset pricing models of stock and bond returns, and therole of macroeconomic factors in explaining and forecasting their dynamics.
The first chapter is devoted to the identification and measurement of risk premia in the cross-section of stocks, when some of the risk factors are only weakly related to asset returns and, as a result, spurious inference problems are likely to arise. I develop a new estimator for cross-sectional asset pricing models that, simultaneously, provides model diagnostic and parameter estimates. This novel approach removes the impact of spurious factors and restores consistency and asymptotic normality of the parameter estimates. Empirically, I identify both robust factors and those that instead suffer from severe identification problems that render the standard assessment of their pricing performance unreliable (e.g. consumption growth, human capital proxies and others).
The second chapter extends the shrinkage-based estimation approach to the class of affine factor models of the term structure of interest rates, where many macroeconomic factors are known to improve the yield forecasts, while at the same time being unspanned by the cross-section of bond returns.
In the last chapter (with Christian Julliard)...

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## Is consumption growth only a sideshow in asset pricing?: asset pricing implications of demographic change and shocks to time preferences

Fonte: London School of Economics and Political Science Thesis
Publicador: London School of Economics and Political Science Thesis

Tipo: Thesis; NonPeerReviewed
Formato: application/pdf

Publicado em /04/2012
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I show that risk sources such as unexpected demographic changes or shocks to the
agent's subjective time preferences may have stronger implications and be of greater
importance for asset pricing than risk in the (aggregate) consumption growth process.
In the first chapter, I discuss stochastic changes to time preferences. Shocks to the
agent's subjective time discounting of future utility cause stochastic changes in asset
prices and the agent's value function. Independent of the consumption growth process,
shocks to time discounting imply a covariation between asset returns and the marginal
utility process, and the equity premium is non-zero. My model can generate both a
reasonably low level and volatility in the risk-free real interest rate and a high stock
price volatility and equity premium. If time discounting follows a process with mean-
reversion, then the interest rate process is mean-reverting and stock returns are (at
long horizons) negatively auto-correlated.
In the second chapter, I analyze the asset pricing implications of birth and death rate
shocks in an overlapping generations model. The interest rate and the equity premium
are time varying and under certain conditions the interest rate is lower and the equity
premium is higher during periods characterized by a high birth rate and low mortality
than in times of a low birth rate and high mortality. Demographic changes may explain
substantial parts of the time variation in the real interest rate and the equity premium.
Demographic uncertainty implies a large unconditional variation in asset returns and
leads to stochastic changes in the conditional volatility of stock returns.
In the last chapter...

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## The epistemological value of the consumption based capital asset pricing model

Fonte: London School of Economics and Political Science Thesis
Publicador: London School of Economics and Political Science Thesis

Tipo: Thesis; NonPeerReviewed
Formato: application/pdf

Publicado em 10/07/2014
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The thesis is a philosophical analysis of the consumption based capital asset pricing model (CCAPM), investigating in particular its epistemological and methodological foundations.
Financial markets are integral parts of advanced and developing economies. They matter because they channel unspent household income into banks’ savings accounts and assets such as bonds and stocks. Financial economists have traditionally taken interest in the pricing mechanism that underlies this capital allocation. The consumption based capital asset pricing model (CCAPM) is a prominent effort to describe, explain and predict such prices. It tells a story of investors’ trade-off between consumption now and later and which portfolio of assets to hold. The CCAPM based narrative intuitively makes sense, and the chosen methodology involving theoretical assumption, mathematical models and empirical tests follows the professions’ standards of good scientific practise. But does CCAPM’s research programme provide knowledge for use?
My thesis seeks to answer this question in a novel way. Instead of embarking on yet another asset pricing research project, I let Philosophy of Science inform my analysis. Following a “primer” introducing essential CCAPM topics and notations...

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