Auflistung LIF-SAFE Working Papers nach Schlagwort "asset pricing"
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Implied Volatility Duration: A Measure for the Timing of Uncertainty Resolution
(2020-01-27)We introduce Implied Volatility Duration (IVD) as a new measure for the timing of uncertainty resolution, with a high IVD corresponding to late resolution. Portfolio sorts on a large cross-section of stocks indicate that ... -
Innovation Dynamics and Fiscal Policy: Implications for Growth, Asset Prices, and Welfare
(2017-04-13)"We study the general equilibrium implications of different fiscal policies on macroeconomic quantities, asset prices, and welfare by utilizing two endogenous growth models. The expanding variety model features only ... -
International Capital Markets with Time-Varying Preferences
(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 ... -
Level and Slope of Volatility Smiles in Long-Run Risk Models
(2017-10-16)We propose a long-run risk model with stochastic volatility, a time-varying mean reversion level of volatility, and jumps in the state variables. The special feature of our model is that the jump intensity is not affine ... -
Optimal Consumption and Investment with Epstein-Zin Recursive Utility
(2016-07-04)We study continuous-time optimal consumption and investment with Epstein-Zin recursive preferences in incomplete markets. We develop a novel approach that rigorously constructs the solution of the associated Hamilton-Jac ... -
Predictability and the Cross-Section of Expected Returns: A Challenge for Asset Pricing Models
(2021-01-22)"Many modern macro finance models imply that excess returns on arbitrary assets are predictable via the price-dividend ratio and the variance risk premium of the aggregate stock market. We propose a simple empirical test ... -
Preference Evolution and the Dynamics of Capital Markets
(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
(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 ... -
The Dynamics of Crises and the Equity Premium
(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: ... -
The role of disclosure in green finance
(2021-08-23)We study the design features of disclosure regulations that seek to trigger the green transition of the global economy and ask whether such regulatory interventions are likely to bring about sufficient market discipline ...