# A melhor ferramenta para a sua pesquisa, trabalho e TCC!

Página 1 dos resultados de 1379 itens digitais encontrados em 0.011 segundos

- Universidade do Minho
- Universidade do Minho. Núcleo de Investigação em Políticas Económicas
- Universidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE)
- Taylor & Francis
- Elsevier
- Banco Mundial
- World Bank, Washington, DC
- Universidade Carlos III de Madrid
- Springer
- Routledge
- Universidade Cornell
- London School of Economics and Political Science Thesis
- Mais Publicadores...

## Consumption, (Dis) aggregate wealth and asset returns

Fonte: Universidade do Minho
Publicador: Universidade do Minho

Tipo: Trabalho em Andamento

Publicado em //2005
Português

Relevância na Pesquisa

56.44%

In this work, we analyze the importance of the disaggregation of wealth into its main components (financial and housing wealth). We show, from the consumerÂ´s intertemporal budget constraint, that the residuals of the trend relationship among consumption, financial wealth, housing wealth and labor income (summarized by the variable cday) should help to predict U.K. quarterly asset returns, and to provide better forecasts than a variable like cay from Lettau and Ludvigson (2001), which considers aggregate wealth instead.
Using a sample for the U.K. for the period 1975:Q1 - 2003:Q4, we also find that: (i) financial wealth effects are significantly different from housing wealth effects; (ii) changes in financial wealth
are mainly transitory, while changes in housing wealth are better understood as permanent; (iii) the relationship among consumption, (dis)aggregate wealth and labor income was relatively stable over
time; (iv) consumption doesnÂ´t react asymmetrically to positive and negative financial (or housing) wealth shocks.; FundaÃ§Ã£o para a CiÃªncia e a Tecnologia - (FCT)

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## Expectations, shocks, and asset returns

Fonte: Universidade do Minho. Núcleo de Investigação em Políticas Económicas
Publicador: Universidade do Minho. Núcleo de Investigação em Políticas Económicas

Tipo: Trabalho em Andamento

Publicado em //2007
Português

Relevância na Pesquisa

66.86%

I use the consumer’s budget constraint to derive a relationship between stock market returns, the residuals of the trend relationship among consumption, aggregate wealth, and labour income, cay, and three major sources of risk: future changes in the housing consumption share, cr, future labour income growth, lr, and future consumption growth, lrc. Using a VAR, I compute measures of expected and unexpected long-run changes of the major determinants of asset returns and find that: (i) cay, cday, expected lr, cr, lrc and expected long-run changes in ex-ante real returns, lrret, strongly forecast future asset returns; (ii) unexpected lrc and unexpected lrret contain some predictive power for asset returns; (iii) unexpected lr and unexpected cr do not predict future asset returns. One can, therefore, use the intertemporal budget constraint and the forecasting properties of an informative VAR to generate the predictability of many economically motivated variables developed in the literature on asset pricing. The framework presented is sufficiently flexible to accommodate the implications of a wide class of optimal models of consumer behaviour without imposing a functional form on preferences.; Fundação para a Ciência e a Tecnologia (FCT) - SFRH/BD/12985/2003.

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## Collateralizable wealth, asset returns, and systemic risk : international evidence

Fonte: Universidade do Minho. Núcleo de Investigação em Políticas Económicas
Publicador: Universidade do Minho. Núcleo de Investigação em Políticas Económicas

Tipo: Trabalho em Andamento

Publicado em //2010
Português

Relevância na Pesquisa

56.73%

I assess the role of wealth and systemic risk in explaining future asset returns. I show that the residuals of the trend relationship among asset wealth and human wealth predict both stock returns and government bond yields. Using data for a set of industrialized countries, I find that when the wealth-to-income ratio falls, investors demand a higher risk premium for stocks. As for government bond returns: (i) when they are seen as a component of asset wealth, investors react in the same manner; (ii) if, however, investors perceive the increase in government bond returns as signalling a future rise in taxes or a deterioration of public finances, then investors interpret the fall in the wealth-to-income ratio as a fall in future bond premia. Finally, I show that the occurrence of crises episodes (in particular, systemic crises) amplifies the transmission of housing market shocks to financial markets and the banking sector.; Fundação para a Ciência e a Tecnologia (FCT) - Programa Operacional Ciência e Inovação 2010 (POCI 2010); Fundo Europeu de Desenvolvimento Regional (FEDER)

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## How do consumption and asset returns react to wealth shocks? Evidence from the U.S. and the U.K

Fonte: Universidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE)
Publicador: Universidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE)

Tipo: Trabalho em Andamento

Publicado em //2010
Português

Relevância na Pesquisa

66.6%

In this work, I analyze the response of consumption and asset returns to unexpected wealth variation. Using data at quarterly frequency for the U.S. and the U.K., I show that: (i) while housing wealth shocks have a very persistent effect on consumption, financial wealth shocks only have transitory effects; and (ii) similarly, unexpected variation in housing wealth delivers a reasonably persistent response of real returns while financial wealth shocks have just a temporary effect.; Fundação para a Ciência e a Tecnologia (FCT) - Programa Operacional Ciência e Inovação 2010 (POCI 2010); Fundo Europeu de Desenvolvimento Regional (FEDER)

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## The consumption-wealth ratio and asset returns : the Euro Area, the UK and the US

Fonte: Universidade do Minho. Núcleo de Investigação em Políticas Económicas
Publicador: Universidade do Minho. Núcleo de Investigação em Políticas Económicas

Tipo: Trabalho em Andamento

Publicado em //2010
Português

Relevância na Pesquisa

46.59%

In this paper, I assess the forecasting power of the residuals of the trend relationship among consumption, aggregate wealth, and labour income for stock returns and government bond yields in the euro area, the UK and the US . I find that when stock returns are expected to be higher in the future, forward-looking investors will temporarily allow consumption to rise. As for bond returns, when government bonds are seen as a component of asset wealth, then investors react in the same manner. If, however, investors perceive the increase in bond returns as signalling a future rise in taxes or a deterioration of public finances, then they will let consumption fall temporarily below its equilibrium level.; Fundação para a Ciência e a Tecnologia (FCT) - Programa Operacional Ciência e Inovação 2010 (POCI 2010); Fundo Europeu de Desenvolvimento Regional (FEDER)

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## Asset returns under model uncertainty : evidence from the euro area, the U.K. and the U.S.

Fonte: Universidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE)
Publicador: Universidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE)

Tipo: Trabalho em Andamento

Publicado em 12/07/2011
Português

Relevância na Pesquisa

56.57%

The goal of thes paper is to analyze predictability of future asset returns in the context of model uncertainty. Using data for the euro area, the US and the U.K., we show that one can improve the forecasts of stock returns using a Bayesian Model Averaging (BMA) approach, and there is a large amount of model uncertainty. The empirical evidence for the euro area suggests that several macroeconomic, financial and macro-financial variables are consistently among the most prominent determinants of risk premium. As for the U.S, only a few number of predictors play an important role. In the case of the UK, future stock returns are better forecasted by financial variables. These results are corroborated for both the M-open and the M-closed perspectives and in the context of "in-sample" and "out-of-sample" forescating. Finally, we highlight that the predictive ability of the BMA framework is stronger at longer periods, and clearly outperforms the constant expected returns and the autoregressive benchmark models.; Fundação para a Ciência e a Tecnologia (FCT)

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## Time varying betas and the unconditional distribution of asset returns

Fonte: Taylor & Francis
Publicador: Taylor & Francis

Tipo: Artigo de Revista Científica

Publicado em //2012
Português

Relevância na Pesquisa

46.76%

#Beta#Elliptical symmetry#CVaR#Kurtosis#Market model#Market timing#Multivariate normality#Quadratic forms in normal variables#Skewness#VaR

This paper draws attention to the fact that under standard assumptions the time varying betas model cannot capture the dynamics in beta. Conversely, evidence of time variation in beta using this model is equivalent to non-normality in the unconditional distribution of asset returns. Using the multivariate normal as a model for the joint distribution of returns on market indices and predetermined information variables, it is shown how to capture skewness and kurtosis in the unconditional distributions of asset returns. Under the
assumptions of the model, asset returns are unconditionally distributed as an extended
quadratic form (EQF) in normal variables. Expressions are given for the moment
generating function and for the computation of the distribution and density functions. The
market-timing model is derived formally using this model. The properties of bias when the standard linear betas model is used to estimate alpha when the correct model is the EQF are also investigated. It is shown that a different time varying betas model can arise as a consequence of portfolio selection. It is also shown that the predetermined information variables have the potential to account for the time series properties of returns, including heterogeneity of variance. An empirical study applies the model to returns on 46 UK bond funds. An analysis of the residuals shows that the model described in this paper is able to capture the dynamics of alpha and beta and properly account for other features of the time series of returns for 28 of these funds...

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## An exploration of asset returns in a production economy with relative habits

Fonte: CEEAplA
Publicador: CEEAplA

Tipo: Trabalho em Andamento

Publicado em /12/2004
Português

Relevância na Pesquisa

46.44%

This paper explores asset returns in a production economy with habit forming households. I show that a model with capital adjustment costs and relative habits is consistent with salient financial facts, such as the equity premium, the market price of risk, and the riskfree interest rate. These predictions are not at odds with good business cycle predictions. In the model economy investment is strongly procyclical and more volatile than output, which in turn is more volatile than consumption. Moreover, consumption growth is positively autocorrelated and negatively (positively) correlated with future (past) stock returns.

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## A Multivariate Model of Strategic Asset Allocation

Fonte: Elsevier
Publicador: Elsevier

Português

Relevância na Pesquisa

46.54%

We develop an approximate solution method for the optimal consumption and portfolio choice problem of an infinitely long-lived investor with Epstein–Zin utility who faces a set of asset returns described by a vector autoregression in returns and state variables. Empirical estimates in long-run annual and post-war quarterly U.S. data suggest that the predictability of stock returns greatly increases the optimal demand for stocks. The role of nominal bonds in long-term portfolios depends on the importance of real interest rate risk relative to other sources of risk. Long-term inflation-indexed bonds greatly increase the utility of conservative investors.; Economics

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## The Co-movement of Asset Returns and the Micro-Macro Focus of Prudential Oversight

Fonte: Banco Mundial
Publicador: Banco Mundial

Português

Relevância na Pesquisa

66.85%

#ACCOUNTING#AGGREGATE STOCK#AGGREGATE WEALTH#ARBITRAGE#ASSET PRICE#ASSET PRICES#ASSET PRICING#ASSET RETURN#ASSET RETURNS#BALANCE SHEET#BANK ACTIVITIES

The integration of micro-prudential
oversight with the macro-approach to financial stability --
long in the making -- raises several issues of coordination
of regulatory responsibilities. This paper argues that a
decomposition of the covariance of asset returns into an
endogenous volatility component -- which can be reduced --
and an exogenous volatility component -- which we have to
live with -- helps address these coordination issues and
provides the basis for financial health diagnostics and
supervisory responses to observed symptoms of financial
instability. By linking risk origination and risk control,
the paper may also contribute to the search for an
operational definition of the term "macro-prudential."

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## Asset Price Effects of Peer Benchmarking

Fonte: World Bank, Washington, DC
Publicador: World Bank, Washington, DC

Tipo: Trabalho em Andamento

Português

Relevância na Pesquisa

46.92%

#INDIVIDUAL ACCOUNTS#STOCK PRICES#RISKS#HOLDING#LARGE INSTITUTIONAL INVESTORS#MARKET STRUCTURE#BENCHMARK INDEX#FUND MANAGER#RETURN VOLATILITY#MARKET PORTFOLIO#STOCK

This paper estimates the effects of peer
benchmarking by institutional investors on asset prices. To
identify trades purely due to peer benchmarking as separate
from those based on fundamentals or private information, the
paper exploits a natural experiment involving a change in a
government imposed underperformance penalty applicable to
Colombian pension funds. This change in regulation is
orthogonal to stock fundamentals and only affects incentives
to track peer portfolios allowing the authors to identify
the component of demand due to peer benchmarking. The
authors find that peer effects among pension fund managers
generate excess in stock return volatility, with stocks
exhibiting short-term abnormal returns followed by returns
reversal in the subsequent quarter. Additionally, peer
benchmarking produces an excess in comovement across stock
returns beyond the correlation implied by fundamentals.

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## A general equilibrium approach to the stock returns and real activity relationship

Fonte: Universidade Carlos III de Madrid
Publicador: Universidade Carlos III de Madrid

Tipo: Trabalho em Andamento
Formato: application/pdf

Publicado em /08/1997
Português

Relevância na Pesquisa

56.67%

This paper brings together two separate and important topics in finance: the predictability of
aggregated stock returns and the intertemporal asset pricing models. We present empirical
evidence about the predictability of stock returns with a sample of OECD economies and
investigate whether such evidence is consistent with a simple general equilibrium model. Our
framework allow us to formalize the extensively documented empirical relationship between asset
returns and real activity. The principal parameters in this relationship are the relative risk aversion
and the elasticity of intertemporal substitution for the first moment of the returns and only the
elasticity of substitution for the second moments. Except for the United States annual case, the
puzzle of volatility remains in our model.

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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
Português

Relevância na Pesquisa

56.73%

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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## Can output explain the predictability and volatility of stock returns?

Fonte: Elsevier
Publicador: Elsevier

Tipo: info:eu-repo/semantics/publishedVersion; info:eu-repo/semantics/article
Formato: application/pdf

Publicado em /04/2002
Português

Relevância na Pesquisa

56.84%

This paper examines whether a general equilibrium asset pricing model can explain two
important empirical regularities of asset returns, extensively documented in the literature: (i)
returns can be predicted by a set of macro variables, and (ii) returns are very volatile. We
derive a closed-form solution for the equilibrium asset pricing model that relates asset returns
to output by using an approximate method proposed by Campbell (Am. Econ. Rev. 83 (1993)
487) and Restoy and Weil (W.P. NBER, No. 6611 (1998)). We obtain evidence on eight
OECD economies using both quarterly and annual observations. Equilibrium models seem to
fin fewer difficultie in explaining the volatility of returns than their predictability for general
output processes. In the case of the US, the observed predictability and volatility of asset
returns, for annual frequencies, are broadly compatible with the predictions of equilibrium
models for a reasonable

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## Tropical Bubbles : Asset Prices in Latin America, 1980-2001

Fonte: World Bank, Washington, DC
Publicador: World Bank, Washington, DC

Tipo: Publications & Research :: Policy Research Working Paper; Publications & Research

Português

Relevância na Pesquisa

46.76%

#AGGREGATE DEMAND#ASSET PRICE BUBBLES#ASSET PRICES#ASSET PRICING#AUTOREGRESSION#BANK LENDING#BANKING CRISES#BANKING SYSTEMS#BENCHMARK#BONDS#CAPITAL FLOWS

The authors test for the existence of
asset price bubbles in Latin America in 1980-2001, focusing
mainly on stock prices. Based on unit root and cointegration
tests, they find that they cannot reject the hypothesis of
bubbles. They arrive at the same conclusion using Froot and
Obstfeld's intrinsic bubbles model. To examine
empirical regularities of these bubble episodes in the
region, the authors identify periods of significant stock
price overvaluation. They quantify the relative importance
of different factors that determine the probability of
bubble occurrence, focusing on the contrast between the
country-specific variables and the common external factors.
They include as country-specific variables both the level
and the volatility of domestic credit growth, the volatility
of asset returns, the capital flows to each country, and the
terms of trade. As common external variables, they consider
the degree of asset overvaluation in the U.S. stock and real
estate markets and the term spread of U.S. Treasury
securities. To quantitatively assess the relative importance
of each factor...

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## Liquidity Clienteles : Transaction Costs and Investment Decisions of Individual Investors

Fonte: Banco Mundial
Publicador: Banco Mundial

Tipo: Publications & Research :: Policy Research Working Paper

Português

Relevância na Pesquisa

46.84%

#ACCOUNTING#ADVERSE EFFECTS#ADVERSE SELECTION#AGGREGATE MARKET#AMOUNT OF CAPITAL#ASSET PRICES#ASSET PRICING#ASSET RETURNS#ASYMMETRIC INFORMATION#BASIS POINTS#BENCHMARKS

Theoretical papers link the liquidity
premium to the optimal trading decisions of investors facing
transaction costs. In particular, investors' holding
periods determine how transaction costs are amortized and
priced in asset returns. Using a unique data set containing
two million trades, this paper investigates the relationship
between holding periods and transaction costs for 66,000
households from a large discount brokerage. The author finds
that transaction costs are an important determinant of
investors' holding periods, after controlling for
household and stock characteristics. The relationship
between holding periods and transaction costs is stronger
among more sophisticated investors. Households with longer
holding periods earn significantly higher returns after
amortized transaction costs, and households that have
holding periods that are positively related to transaction
costs earn both higher gross and net returns. The author
shows that there is correlation in the demand for liquid
assets across households and...

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## Building proxies that capture time-variation in expected returns using a VAR approach

Fonte: Routledge
Publicador: Routledge

Tipo: Artigo de Revista Científica

Publicado em //2011
Português

Relevância na Pesquisa

56.77%

I use the consumer's budget constraint to derive a relationship between
stock market returns, the residuals of the trend relationship among consumption,
aggregate wealth, and labour income, and three major sources of risk: future
changes in the housing consumption share, future labour income growth, and
future consumption growth.
I model the joint dynamics of changes in the housing consumption share,
consumption growth, wealth growth, income growth, asset returns, consumptionwealth
ratio and dividend-price ratio, and show that asset returns largely reflect
expectations about long-run risk. On the other hand, unexpected shocks play a
negligible role in the context of forecasting future asset returns.
Combining the intertemporal budget constraint and the forecasting
properties of an informative Vector-Autogression (VAR), one can, therefore,
generate the predictability of many economically motivated variables developed
in the literature on asset pricing, and accommodate the implications of a wide
class of optimal models of consumer behaviour without imposing a functional
form on preferences.; Fundação para a Ciência e a Tecnologia (FCT) SFRH/BD/12985/2003

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## Risk, VaR, CVaR and their associated Portfolio Optimizations when Asset Returns have a Multivariate Student T Distribution

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Publicado em 28/02/2011
Português

Relevância na Pesquisa

46.45%

#Quantitative Finance - Portfolio Management#Mathematics - Optimization and Control#Quantitative Finance - Risk Management#Statistics - Applications#91G10, 90C30, 62P05

We show how to reduce the problem of computing VaR and CVaR with Student T
return distributions to evaluation of analytical functions of the moments. This
allows an analysis of the risk properties of systems to be carefully attributed
between choices of risk function (e.g. VaR vs CVaR); choice of return
distribution (power law tail vs Gaussian) and choice of event frequency, for
risk assessment. We exploit this to provide a simple method for portfolio
optimization when the asset returns follow a standard multivariate T
distribution. This may be used as a semi-analytical verification tool for more
general optimizers, and for practical assessment of the impact of fat tails on
asset allocation for shorter time horizons.

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## Nonlinear Fokker-Planck Equation in the Model of Asset Returns

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Publicado em 06/04/2008
Português

Relevância na Pesquisa

46.35%

The Fokker-Planck equation with diffusion coefficient quadratic in space
variable, linear drift coefficient, and nonlocal nonlinearity term is
considered in the framework of a model of analysis of asset returns at
financial markets. For special cases of such a Fokker-Planck equation we
describe a construction of exact solution of the Cauchy problem. In the general
case, we construct the leading term of the Cauchy problem solution asymptotic
in a formal small parameter in semiclassical approximation following the
complex WKB-Maslov method in the class of trajectory concentrated functions.; Comment: This is a contribution to the Proc. of the Seventh International
Conference ''Symmetry in Nonlinear Mathematical Physics'' (June 24-30, 2007,
Kyiv, Ukraine), published in SIGMA (Symmetry, Integrability and Geometry:
Methods and Applications) at http://www.emis.de/journals/SIGMA/

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## Consumption, housing and financial wealth, asset returns, and monetary policy.

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 //2007
Português

Relevância na Pesquisa

46.64%

This work analyzes the linkages between consumption, housing and financial wealth, asset returns, and monetary policy. In Chapter I, I show, from the consumer's budget constraint, that the residuals of the trend relationship among consumption, financial wealth, housing wealth and labor income, cday, should better predict stock returns than a variable like cay from Lettau and Ludvigson (2001), and that this is due to: (i) the ability to track changes in the wealth composition; and (ii) the faster rate of convergence of the coefficients to the "long-run equilibrium" parameters. In Chapter II, I analyze the empirical relationship between wealth shocks and portfolio composition, and find evidence consistent with counter-cyclical risk aversion. I also show that: (i) there is no evidence of inertia; and (ii) time-variation in expectations about future returns partially explains changes in the risky asset share. In Chapter III, I show that monetary policy contractions have a large and negative impact on housing prices, although the reaction is extremely slow. On the contrary, the effect on stock markets is small and very quick. In Chapter IV, I analyze the importance of the risks for the long-run, and show that they explain a large fraction of the cross-sectional variation of average returns. I also find that the preference for a smooth path of consumption...

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