Expected returns, consumption, and the business cycle on global stock markets:
Gespeichert in:
| Beteilige Person: | |
|---|---|
| Format: | Hochschulschrift/Dissertation Buch |
| Sprache: | Englisch |
| Veröffentlicht: |
Wiesbaden
Deutscher Univ.-Verl.
[2000]
|
| Schlagwörter: | |
| Links: | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009160185&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| Beschreibung: | St. Gallen, Univ., Diss., 2000. - Buch.-Ausg. u.d.T.: Drobetz, Wolfgang: Global stock markets |
| Umfang: | XIX, 332 S. graph. Darst. |
| ISBN: | 3824472724 |
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Datensatz im Suchindex
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| adam_text | XI
Contents
List of tables XVII
List of figures XIX
1 Introduction 1
1.1 Challenges in asset pricing theory 2
1.2 Focus and structure of the study 4
2 Theory of asset pricing 9
2.1 The consumption based asset pricing model 11
2.2 The permanent income hypothesis 13
2.3 Risk correction and mean variance frontier 16
2.4 Properties of the stochastic discount factor 20
2.4.1 Contingent claims and the bundling equation 20
2.4.2 Risk neutral probabilities 21
2.4.3 Optimal behavior in the contingent claim context 22
2.4.4 Complete market rule of complete risk sharing 23
2.4.5 Law of one price and existence of a discount factor 24
2.4.6 No arbitrage and positive discount factors 26
2.5 Power utility in a lognormal pricing model 27
2.5.1 The equity premium puzzle 29
2.5.2 The risk free rate puzzle 31
2.6 Heterogeneous agents and incomplete markets 34
XII Contents
2.7 A first synthesis in asset pricing 40
2.8 Production and equilibrium considerations 46
2.9 Linking the discount factor view with beta pricing models 48
2.9.1 Beta pricing models 48
2.9.2 From the Euler equation to a single beta representation 50
2.9.3 Beta pricing models and linear discount factor models 51
2.9.4 Testing for priced factors 53
2.9.5 Some important implications 54
2.10 Conditional asset pricing 56
2.11 Factor pricing stories 62
2.11.1 The capital asset pricing model 63
2.11.2 The intertemporal capital asset pricing model 64
2.12 Summary of major findings in this chapter 69
3 Theory of international asset pricing 71
3.1 Puzzles in international finance 72
3.1.1 The home bias in consumption 73
3.1.2 The equity home bias 77
3.2 Classical issues in international asset pricing 80
3.2.1 The nominal and the real capital asset pricing model 81
3.2.2 Models accounting for purchasing power deviations 82
3.2.3 International portfolio theory 83
3.2.4 The international capital asset pricing model 86
3.2.5 An international model in the absence of inflation risk 88
3.2.6 A model without differences in the consumption and
investment opportunity sets 92
3.3 Other asset pricing models applicable to international returns 94
3.3.1 The international consumption capital asset
pricing model 94
3.3.2 International beta pricing models 96
XIII
3.4 Summary of major findings in this chapter 99
4 Time varying expected returns and the
business cycle on international financial markets 101
4.1 Predictable components in international stock returns 104
4.1.1 An instrumental variable forecasting model 105
4.1.2 Economic interpretation of instrumental variable
forecasting models 107
4.1.3 Identifying the business cycle component 111
4.2 Exploring the economic foundations of instrument variables 113
4.2.1 Correlation with macroeconomic environment 113
4.2.2 Local versus global instrument variables 115
4.2.3 Description of global instrument variables 116
4.3 Data Description 123
4.4 Empirical results 130
4.4.1 Stock returns and future growth rates of
industrial production 130
4.4.2 Stock returns and global instrument variables 135
4.4.3 Exploring the business cycle component 145
4.5 Summary of major findings in this chapter 151
5 Testing a conditional version of the
consumption based asset pricing model 155
5.1 Latent variable models 157
5.1.1 Beta pricing models again 158
5.1.2 Derivation of latent variable models 160
5.1.3 Linear conditional covariance ratios 167
5.1.4 A model with a conditional consumption beta 168
5.2 Integration of international capital markets 172
XIV Contents
5.2.1 Integration as a pricing concept 172
5.2.2 Integration and correlation 174
5.2.3 Integration and legal barriers 175
5.2.4 Integration and the cost of capital 175
5.2.5 Empirical tests for integration 177
5.3 Empirical results for models with unspecified state variables 179
5.3.1 Single latent variable models 179
5.3.2 Double and triple latent variable models 183
5.3.3 Models with a conditional consumption beta 194
5.3.4 Using mimicking portfolios for consumption 201
5.3.5 A simple one factor model with an observable factor 203
5.4 Summary of major findings in this chapter 206
6 Volatility bounds for stochastic
discount factors on global financial markets 209
6.1 Stochastic discount factors and asset pricing 211
6.1.1 Moment implications for stochastic discount factors 212
6.1.2 Hansen Jagannathan volatility bounds 214
6.1.3 The equity premium puzzle revisited 218
6.1.4 The correlation puzzle 220
6.1.5 The link to the traditional mean variance world 222
6.1.6 Incorporating conditioning information 224
6.2 Tests of mean variance spanning 229
6.2.1 A spanning test based on maximum likelihood 230
6.2.2 A spanning test based on latent variable models 231
6.2.3 A spanning test based on HJ volatility bounds 232
6.3 Characteristics of input data 238
6.3.1 Description of return index series 238
6.3.2 Time series characteristics of return indices 240
6.4 Empirical results 244
XV
6.4.1 Methodological issues 244
6.4.2 Unconditional bounds for developed stock markets 247
6.4.3 Conditional bounds for developed stock markets 249
6.4.4 Bounds for emerging stock markets 251
6.5 Summary of major findings in this chapter 255
7 Mean reversion and
rational pricing on global stock markets 259
7.1 Expected returns, consumption, and the business cycle 261
7.2 An economic model for lime varying expected returns 271
7.2.1 Predicting returns in an efficient stock market 271
7.2.2 Habit formation 273
7.2.3 The consumption based model revisited 275
7.3 Estimation of the endowment process 278
7.3.1 A regime witching model for consumption growth 278
7.3.2 Equilibrium asset prices 279
7.4 Empirical results 280
7.4.1 Maximum likelihood estimates of the
regime switching model 280
7.4.2 Variance ratios 286
7.5 Portfolio advice in a mean reverting world 295
7.6 Summary of major findings in this chapter 300
8 On the contributions of this study 305
Bibliography 309
XVII
List of tables
2.1 Conditional versus unconditional efficiency 58
3.1 Global risk sharing 75
4.1 Descriptive statistics of the instrument variables 127
4.2 Test of the stationarity of instrument variables 129
4.3 Regressions of quarterly excess returns on future growth rates 132
of industrial production
4.4 Testing the cross sectional influence of leads of industrial 134
production rates
4.5 Regressions of quarterly excess returns on global instrument variables 140
4.6 Testing the cross sectional influence of global instrument variables 142
4.7 Regressions of quarterly excess returns on global instrument variables 143
and future growth rates of industrial production
4.8 Correlations between stock prices and global instrument variables 149
on different frequency bands
5.1 Asset pricing models with a single unspecified state variable 184
5.2 Comparison of unrestricted and restricted volatilities 186
5.3 Correlation matrix of unrestricted excess return predictions 187
5.4 Asset pricing models with two and three unspecified state variables 193
G7 countries
5.5 Asset pricing models with two and three unspecified state variables 195
non G7 countries
XVIII List of tables
5.6 Asset pricing models with a single consumption beta 199
G7 countries
5.7 Asset pricing models with a single consumption beta 200
non G7 countries
5.8 Asset pricing models with consumption mimicking portfolios 203
5.9 Asset pricing models with a single consumption beta 205
6.1 Summary statistics for stock returns 242
6.2 Unconditional investment strategies for MSCI stock markets 249
6.3 Conditional investment strategies for MSCI stock markets 251
6.4 Investment strategies for IFC stock markets 254
7.1 Conditional means and standard deviations of G7 consumption growth 266
7.2 Maximum likelihood estimates of the Markov regime switching model 282
7.3 Variance ratios for historical stock returns 288
XIX
List of figures
2.1 The equity premium puzzle and the risk free rate puzzle 33
3.1 The equity home bias 79
4.1 Frequency components of instrument variables 123
5.1 Time evolution of expected excess returns 188
5.2 Pricing error of latent variable models 192
6.1 Feasible region for stochastic discount factors implied by G7 data 219
6.2 Hansen Jagannathan bound and efficient frontier 225
6.3 Volatility bounds and the addition of new assets 235
7.1 Predicted means and standard deviations of G7 consumption rates 268
7.2 Market risk premium on global stock markets 270
7.3 Filter probabilities for consumption growth 283
7.4 Variance ratios: equilibrium returns generated by concave utility 291
7.5 Stock returns over the business cycle 294
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| publishDate | 2000 |
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| spellingShingle | Drobetz, Wolfgang Expected returns, consumption, and the business cycle on global stock markets Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd Kapitalmarkttheorie (DE-588)4137411-3 gnd Konsumquote (DE-588)4165120-0 gnd Konjunkturzyklus (DE-588)4032134-4 gnd Internationaler Kapitalmarkt (DE-588)4027402-0 gnd Aktienrendite (DE-588)4126593-2 gnd Konjunktur (DE-588)4032125-3 gnd Internationaler Aktienmarkt (DE-588)4257200-9 gnd Erwartung (DE-588)4015434-8 gnd |
| subject_GND | (DE-588)4121078-5 (DE-588)4137411-3 (DE-588)4165120-0 (DE-588)4032134-4 (DE-588)4027402-0 (DE-588)4126593-2 (DE-588)4032125-3 (DE-588)4257200-9 (DE-588)4015434-8 (DE-588)4113937-9 |
| title | Expected returns, consumption, and the business cycle on global stock markets |
| title_auth | Expected returns, consumption, and the business cycle on global stock markets |
| title_exact_search | Expected returns, consumption, and the business cycle on global stock markets |
| title_full | Expected returns, consumption, and the business cycle on global stock markets Wolfgang Drobetz |
| title_fullStr | Expected returns, consumption, and the business cycle on global stock markets Wolfgang Drobetz |
| title_full_unstemmed | Expected returns, consumption, and the business cycle on global stock markets Wolfgang Drobetz |
| title_short | Expected returns, consumption, and the business cycle on global stock markets |
| title_sort | expected returns consumption and the business cycle on global stock markets |
| topic | Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd Kapitalmarkttheorie (DE-588)4137411-3 gnd Konsumquote (DE-588)4165120-0 gnd Konjunkturzyklus (DE-588)4032134-4 gnd Internationaler Kapitalmarkt (DE-588)4027402-0 gnd Aktienrendite (DE-588)4126593-2 gnd Konjunktur (DE-588)4032125-3 gnd Internationaler Aktienmarkt (DE-588)4257200-9 gnd Erwartung (DE-588)4015434-8 gnd |
| topic_facet | Capital-Asset-Pricing-Modell Kapitalmarkttheorie Konsumquote Konjunkturzyklus Internationaler Kapitalmarkt Aktienrendite Konjunktur Internationaler Aktienmarkt Erwartung Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009160185&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT drobetzwolfgang expectedreturnsconsumptionandthebusinesscycleonglobalstockmarkets |