Auflistung nach Schlagwort "recursive preferences"

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    • CCM 

      Unbekannter Autor
      The CRSP/Compustat Merged Database provides CRSP and Compustat subscribers the ability to access CRSP’s stock data and Compustat’s Xpressfeed fundamental data within a single linked database. The CRSPLink® maps complex ...

    • Equilibrium Asset Pricing in Directed Networks 

      Branger, Nicole; Konermann, Patrick; Meinerding, Christoph; Schlag, Christian (2018-10-16)
      Directed links in cash flow networks affect the cross-section of price exposures and market prices of risk in equilibrium. In an asset pricing model featuring mutually exciting jumps, we measure directedness through an ...

    • Optimists and Pessimists in (In)Complete Markets 

      Branger, Nicole; Konermann, Patrick; Schlag, Christian (2019-06-06)
      We study the effects of market incompleteness on speculation, investor survival, and asset pricing moments, when investors disagree about the likelihood of jumps and have recursive preferences. We consider two models. In ...

    • The Dynamics of Crises and the Equity Premium 

      Branger, Nicole; Kraft, Holger; Meinerding, Christoph (2015-05-18)
      It is a major challenge for asset pricing models to generate a high equity premium and a low risk-free rate while imposing realistic consumption dynamics. To address this issue, our paper proposes a novel pricing channel: ...