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

Hecq, Alain; Issler, João Victor
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)...

Evidências de bolhas de preços no mercado acionário brasileiro

Fernandes, Bruno Vinícius Ramos
Fonte: Universidade de Brasília Publicador: Universidade de Brasília
Tipo: Dissertação
Português
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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...

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

Caprio, Gerard, Jr.
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Português
Relevância na Pesquisa
29.302393%
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...

Rational asset pricing bubbles

Santos, Manuel S.; Woodford, Michael
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.

Differentiability of the value function in continuous-time economic models

Rincón-Zapatero, Juan Pablo; Santos, Manuel S.
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
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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.

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

Herrera, Santiago; Perry, Guillermo
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%
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...

Capital gains

Conraria, Luís Aguiar; Shell, Karl
Fonte: Blackwell Synergy Publicador: Blackwell Synergy
Tipo: Artigo de Revista Científica
Publicado em /09/2006 Português
Relevância na Pesquisa
38.919915%
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.

Bubbles, convexity and the Black--Scholes equation

Ekström, Erik; Tysk, Johan
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)

Noise, risk premium, and bubble

Andruszkiewicz, Grzegorz; Brody, Dorje C.
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

Arbitrage theory without a num\'eraire

Tehranchi, Michael R.
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

Asset Pricing in an Imperfect World

Cassese, Gianluca
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

A simple model for asset price bubble formation and collapse

Kiselev, Alexander; Ryzhik, Lenya
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

Non-Equivalent Beliefs and Subjective Equilibrium Bubbles

Larsson, Martin
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

Valuation and parities for exchange options

Kardaras, Constantinos
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

Option Pricing in an Imperfect World

Cassese, Gianluca
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

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

Stremme, Alexander
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...