Auflistung LIF-SAFE Working Papers nach JEL-Klassifizierung "D51"

Anzeige der Dokumente 1-5 von 5

    • International Capital Markets with Time-Varying Preferences 

      Curatola, Giuliano; Dergunov, Ilya (2017-08-02)
      We propose a 2-country asset-pricing model where agents' preferences change endogenously as a function of the popularity of internationally traded goods. We determine the effect of the time-variation of preferences on ...

    • 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 ...

    • Preference Evolution and the Dynamics of Capital Markets 

      Curatola, Giuliano (2016-05-13)
      This paper introduces endogenous preference evolution into a Lucas-type economy and explores its consequences for investors' trading strategy and the dynamics of asset prices. In equilibrium, investors herd and hold the ...

    • Pricing Sin Stocks: Ethical Preference vs. Risk Aversion 

      Colonnello, Stefano; Curatola, Giuliano; Gioffré, Alessandro (2018-06-14)
      We develop a model that reproduces the average return and volatility spread between sin and non-sin stocks. Our investors do not necessarily boycott sin companies. Rather, they are open to invest in any company while trading ...

    • Recapitalization, Bailout, and Long-run Welfare in a Dynamic Model of Banking 

      Modena, Andrea (2021-03-01)
      This paper studies the dynamic trade-off between the short-run costs and the long-run benefits of bank bailouts. In the model, banks leverage thanks to their cost advantage at monitoring firms, but hold precautionary capital ...