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

Página 1 dos resultados de 16 itens digitais encontrados em 0.002 segundos

## A Common-Feature Approach for Testing Present-Value Restrictions with Financial Data

Fonte: Escola de Pós-Graduação em Economia da FGV
Publicador: Escola de Pós-Graduação em Economia da FGV

Tipo: Relatório

Português

Relevância na Pesquisa

39.097725%

It is well known that cointegration between the level of two variables (labeled Yt and yt in
this paper) is a necessary condition to assess the empirical validity of a present-value model
(PV and PVM, respectively, hereafter) linking them. The work on cointegration has been so
prevalent that it is often overlooked that another necessary condition for the PVM to hold is
that the forecast error entailed by the model is orthogonal to the past. The basis of this result
is the use of rational expectations in forecasting future values of variables in the PVM. If this
condition fails, the present-value equation will not be valid, since it will contain an additional
term capturing the (non-zero) conditional expected value of future error terms. Our article has a few novel contributions, but two stand out. First, in testing for PVMs,
we advise to split the restrictions implied by PV relationships into orthogonality conditions
(or reduced rank restrictions) before additional tests on the value of parameters. We show
that PV relationships entail a weak-form common feature relationship as in Hecq, Palm, and
Urbain (2006) and in Athanasopoulos, Guillén, Issler and Vahid (2011) and also a polynomial
serial-correlation common feature relationship as in Cubadda and Hecq (2001)...

Link permanente para citações:

## Evidências de bolhas de preços no mercado acionário brasileiro

Fonte: Universidade de Brasília
Publicador: Universidade de Brasília

Tipo: Dissertação

Português

Relevância na Pesquisa

29.653435%

Dissertação (mestrado)—Universidade de Brasília, Programa Multiinstitucional e Inter-regional de Pós-Graduação em Ciências Contábeis, 2008.; Atualmente, a existência de bolhas na formação dos preços dos ativos tem sido motivo de grande preocupação para governantes e investidores nos países onde há mercados de capitais relevantes. A existência do componente de bolha na formação dos preços pode ser indicada pelo seu desvio em relação ao seu valor fundamental. No caso das ações, uma suspeita de bolha de preços pode ser evidenciada quando os preços se deslocam em relação aos dividendos no longo prazo. O presente estudo buscou encontrar evidências sobre ocorrência de bolhas de preços no mercado acionário brasileiro no período de 1994 a 2007. Foram feitos testes no mercado de forma geral e em 17 setores classificados pelo banco de dados Economática®. Para testar a evidência de bolhas no mercado como um todo, foi utilizado o Ibovespa como proxy do preço médio das ações, e como indicador médio da distribuição de dividendos, foi construído um índice, de dividendos distribuídos, baseado nas próprias carteiras do Ibovespa no período. Foram feitos os testes de cointegração Engle-Granger e Johansen...

Link permanente para citações:

## Safe and Sound Banking : A Role for Countercyclical Regulatory Requirements?

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

Português

Relevância na Pesquisa

29.302393%

#ACCESS TO CREDIT#ACCESS TO FINANCE#ACCOUNTING#ACCOUNTING SYSTEMS#ADVANCED COUNTRIES#AGENCY PROBLEM#ARBITRAGE#ASSET MARKETS#ASSET PRICE#ASSET PRICES#ASSET SALES

Most explanations of the crisis of
2007-2009 emphasize the role of the preceding boom in real
estate and asset markets in a variety of advanced countries.
As a result, an idea that is gaining support among various
groups is how to make Basel II or any regulatory regime less
pro-cyclical. This paper addresses the rationale for and
likely contribution of such policies. Making provisioning
(or capital) requirements countercyclical is one way
potentially to address pro-cyclicality, and accordingly it
looks at the efforts of the authorities in Spain and
Colombia, two countries in which countercyclical
provisioning has been tried, to see what the track record
has been. As explained there, these experiments have been at
best too recent and limited to put much weight on them, but
they are much less favorable for supporting this practice
than is commonly admitted. The paper then addresses concerns
and implementation issues with countercyclical capital or
provisioning requirements, including why their impact might
be expected to be limited...

Link permanente para citações:

## Rational asset pricing bubbles

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

Tipo: Trabalho em Andamento
Formato: application/pdf

Publicado em /07/1995
Português

Relevância na Pesquisa

100.39116%

This paper provides a fairly systematic study of general economic conditions under which rational asset pricing bubbles may arise in an intertemporal competitive equilibrium framework. Our main results are concerned with non-existence of asset pricing bubbles in those economies. These results imply that the conditions under which bubbles are possible inc1uding sorne well-known examples of monetary equilibria-are relatively fragile.

Link permanente para citações:

## Differentiability of the value function in continuous-time economic models

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

Tipo: info:eu-repo/semantics/draft; info:eu-repo/semantics/workingPaper
Formato: application/octet-stream; application/octet-stream; application/pdf

Publicado em /09/2010
Português

Relevância na Pesquisa

38.132988%

#Constrained optimization#Value function#Differentiability#Envelope theorem#Duality theory#C61#E20#Economía

In this paper we provide some sufficient conditions for the differentiability
of the value function in a class of infinite-horizon continuous—time models of convex
optimization arising in economics. We dispense with an interioiity condition which is quite restrictive in constrained optimization and it is usually hard to check in applications.
The differentiability of the value function is used to prove Bellman's equation as well as the existence and continuity of the optimal feedback policy. We also establish uniqueness of the vector of dual variables under some conditions that rule out existence of asset pricing bubbles.

Link permanente para citações:

## 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

60.43789%

#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...

Link permanente para citações:

## Capital gains

Fonte: Blackwell Synergy
Publicador: Blackwell Synergy

Tipo: Artigo de Revista Científica

Publicado em /09/2006
Português

Relevância na Pesquisa

38.919915%

#Bubbles#Capital gains#Heterogeneous capital#Irreversible investment#Overlapping generations#Tobin's q

We analyze a simple overlapping-generations model with two capital goods. The dynamical system is defined by savings behavior and short-run perfect-foresight asset-market clearing. Because lifetimes are finite, there is no transversality condition. If there is a bubble in asset pricing, it will burst in finite time: expectations will eventually be frustrated, but this might take several generations. This raises the question of whether (infinite) long-run perfect foresight is a reasonable assumption for overlapping-generations economies and, hence, whether bursting bubbles can occur in equilibrium.

Link permanente para citações:

## Bubbles, convexity and the Black--Scholes equation

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Publicado em 31/08/2009
Português

Relevância na Pesquisa

28.724146%

A bubble is characterized by the presence of an underlying asset whose
discounted price process is a strict local martingale under the pricing
measure. In such markets, many standard results from option pricing theory do
not hold, and in this paper we address some of these issues. In particular, we
derive existence and uniqueness results for the Black--Scholes equation, and we
provide convexity theory for option pricing and derive related ordering results
with respect to volatility. We show that American options are convexity
preserving, whereas European options preserve concavity for general payoffs and
convexity only for bounded contracts.; Comment: Published in at http://dx.doi.org/10.1214/08-AAP579 the Annals of
Applied Probability (http://www.imstat.org/aap/) by the Institute of
Mathematical Statistics (http://www.imstat.org)

Link permanente para citações:

## Noise, risk premium, and bubble

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Publicado em 16/03/2011
Português

Relevância na Pesquisa

18.13299%

The existence of the pricing kernel is shown to imply the existence of an
ambient information process that generates market filtration. This information
process consists of a signal component concerning the value of the random
variable X that can be interpreted as the timing of future cash demand, and an
independent noise component. The conditional expectation of the signal, in
particular, determines the market risk premium vector. An addition to the
signal of any term that is independent of X, which generates a drift in the
noise, is shown to change the drifts of price processes in the physical
measure, without affecting the current asset price levels. Such a drift in the
noise term can induce anomalous price dynamics, and can be seen to explain the
mechanism of observed phenomena of equity premium and financial bubbles.; Comment: 15 pages

Link permanente para citações:

## Arbitrage theory without a num\'eraire

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Português

Relevância na Pesquisa

28.51151%

This note develops an arbitrage theory for a discrete-time market model
without the assumption of the existence of a num\'eraire asset. Fundamental
theorems of asset pricing are stated and proven in this context. The
distinction between the notions of investment-consumption arbitrage and
pure-investment arbitrage provide a discrete-time analogue of the distinction
between the notions of absolute arbitrage and relative arbitrage in the
continuous-time theory. Applications to the modelling of bubbles is discussed.; Comment: 27 pages

Link permanente para citações:

## Asset Pricing in an Imperfect World

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Publicado em 23/10/2014
Português

Relevância na Pesquisa

59.41987%

In a model with no given probability measure, we consider asset pricing in
the presence of frictions and other imperfections and characterize the property
of coherent pricing, a notion related to (but much weaker than) the no
arbitrage property. We show that prices are coherent if and only if the set of
pricing measures is non empty, i.e. if pricing by expectation is possible. We
then obtain a decomposition of coherent prices highlighting the role of
bubbles. Eventually we show that under very weak conditions the coherent
pricing of options allows for a very clear representation which allows, as in
Breeden and Litzenberger, to extract the implied probability.; Comment: arXiv admin note: substantial text overlap with arXiv:1406.0412

Link permanente para citações:

## A simple model for asset price bubble formation and collapse

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Publicado em 01/09/2010
Português

Relevância na Pesquisa

38.919915%

We consider a simple stochastic differential equation for modeling bubbles in
social context. A prime example is bubbles in asset pricing, but similar
mechanisms may control a range of social phenomena driven by psychological
factors (for example, popularity of rock groups, or a number of students
pursuing a given major). Our goal is to study the simplest possible model in
which every term has a clear meaning and which demonstrates several key
behaviors. The main factors that enter are tendency of mean reversion to a
stable value, speculative social response triggered by trend following and
random fluctuations. The interplay of these three forces may lead to bubble
formation and collapse. Numerical simulations show that the equation has
distinct regimes depending on the values of the parameters. We perform rigorous
analysis of the weakly random regime, and study the role of change in
fundamentals in igniting the bubble.; Comment: 30 pages

Link permanente para citações:

## Non-Equivalent Beliefs and Subjective Equilibrium Bubbles

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Publicado em 21/06/2013
Português

Relevância na Pesquisa

59.274917%

This paper develops a dynamic equilibrium model where agents exhibit a strong
form of belief heterogeneity: they disagree about zero probability events. It
is shown that, somewhat surprisingly, equilibrium exists in this setting, and
that the disagreement about nullsets naturally leads to equilibrium asset
pricing bubbles. The bubbles are subjective in the sense that they are
perceived by some but not necessarily all agents. In contrast to existing
models, bubbles arise with no restrictions on trade beyond a standard solvency
constraint.; Comment: 30 pages

Link permanente para citações:

## Valuation and parities for exchange options

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Português

Relevância na Pesquisa

28.132988%

Valuation and parity formulas for both European-style and American-style
exchange options are presented in a general financial model allowing for jumps,
possibility of default and "bubbles" in asset prices. The formulas are given
via expectations of auxiliary probabilities using the change-of-numeraire
technique. Extensive discussion is provided regarding the way that folklore
results such as Merton's no-early-exercise theorem and traditional parity
relations have to be altered in this more versatile framework.; Comment: 19 pages

Link permanente para citações:

## Option Pricing in an Imperfect World

Fonte: Universidade Cornell
Publicador: Universidade Cornell

Tipo: Artigo de Revista Científica

Português

Relevância na Pesquisa

38.995093%

In a model with no given probability measure, we consider asset pricing in
the presence of frictions and other imperfections and characterize the property
of coherent pricing, a notion related to (but much weaker than) the no
arbitrage property. We show that prices are coherent if and only if the set of
pricing measures is non empty, i.e. if pricing by expectation is possible. We
then obtain a decomposition of coherent prices highlighting the role of
bubbles. eventually we show that under very weak conditions the coherent
pricing of options allows for a very clear representation from which it is
possible, as in the original work of Breeden and Litzenberger, to extract the
implied probability. Eventually we test this conclusion empirically via a new
non parametric approach.; Comment: The paper has been withdrawn because in the newer version it was
split into two different papers, each of which have been uploaded into Arxiv

Link permanente para citações:

## Pricing and hedging of derivative securities: Some effects of asymmetric information and market power.

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 //1999
Português

Relevância na Pesquisa

29.302393%

This thesis consists of a collection of studies investigating various aspects of the interplay between the markets for derivative securities and their respective underlying assets in the presence of market imperfections. The classic theory of derivative pricing and hedging hinges on three rather unrealistic assumptions regarding the market for the underlying asset. Markets are assumed to be perfectly elastic, complete and frictionless. This thesis studies some effects of relaxing one or more of these assumptions. Chapter 1 provides an introduction to the thesis, details the structure of what follows, and gives a selective review of the relevant literature. Chapter 2 focuses on the effects that the implementation of hedging strategies has on equilibrium asset prices when markets are imperfectly elastic. The results show that the feedback effect caused by such hedging strategies generates excess volatility of equilibrium asset prices, thus violating the very assumptions from which these strategies are derived. However, it is shown that hedging is nonetheless possible, albeit at a slightly higher price. In Chapter 3, a model is developed which describes equilibrium asset prices when market participants use technical trading rules. The results confirm that technical trading leads to the emergence of speculative price "bubbles". However...

Link permanente para citações: