On the robustness of consumption-based asset pricing theory:
Gespeichert in:
| Beteilige Person: | |
|---|---|
| Format: | Hochschulschrift/Dissertation Buch |
| Sprache: | Englisch |
| Veröffentlicht: |
Zurich
2017
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| Schlagwörter: | |
| Links: | http://digitool.hbz-nrw.de:1801/webclient/DeliveryManager?pid=7380168&custom_att_2=simple_viewer http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=029907755&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| Umfang: | 112 Seiten Diagramme |
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Datensatz im Suchindex
| _version_ | 1819368918053027840 |
|---|---|
| adam_text | Titel: On the robustness of consumption-based asset pricing theory
Autor: Elmiger, Sabine
Jahr: 2017
Contents
1 Preface 1
2 A Heterogeneous-Agent Foundation of the Representative-Agent Approach 7
2.1 The Heterogeneous-Agent Model..................................................10
2.1.1 Financial assets..............................................................10
2.1.2 Investment strategies ......................................................11
2.1.3 Dynamic equilibrium........................... . 13
2.1.4 Relative wealth dynamics..................................................13
2.2 The Representative-Agent Benchmark............................................14
2.3 Asset Prices in the Evolutionary Finance Model................................18
2.3.1 Two investment strategies and two financial assets..................19
2.3.2 Multiple investment strategies and multiple financial assets .... 23
2.4 Conclusion............................................................................26
2.5 Appendix..............................................................................27
3 Can the CRRA-Lognormal Framework Explain CAPM-Anomalies in the
Cross-Section of Stock Returns? 43
3.1 The Two-Period Economy..........................................................46
3.1.1 Asset prices and returns....................................................47
3.1.2 CAPM beta and CAPM pricing error ....................................49
3.2 CAPM Anomalies ....................................................................51
3.2.1 Low-beta premium..........................................................51
3.2.2 Size and value premium ..................................................55
3.2.3 Impact of idiosyncratic risk................................................59
3.3 Comparative Statics..................................................................62
3.3.1 Dividend distribution parameters........................................63
3.3.2 Preference parameters......................................................63
3.4 Conclusion............................................................................65
3.5 Appendix..............................................................................66
4 Asset Pricing with Labor Income and Rare Disasters 71
4.1 The Economy..........................................................................74
4.1.1 The discrete-time economy................................................74
4.1.2 The continuous-time limit ................................................76
4.2 Prices, Returns and Interest Rates................................................77
4.3 Simulation Setup....................................................................81
4.3.1 Prices and returns with labor income and aggregate dividends . . 81
4.3.2 Calibration to data.......................................83
4.4 Simulation Results .............................................85
4.4.1 Main results..................................................................85
4.4.2 Miscalibration of parameters..............................................88
4.4.3 Misspecification of the distribution......................................89
4.4.4 Correlation effects..........................................................92
4.5 Conclusion........................................................................94
4.6 Appendix................................................................96
References 105
Curriculum Vitae 111
|
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| author | Elmiger, Sabine 1984- |
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| bvnumber | BV044507887 |
| classification_rvk | QK 620 QK 622 |
| ctrlnum | (OCoLC)994143436 (DE-599)HBZHT019438981 |
| discipline | Wirtschaftswissenschaften |
| format | Thesis Book |
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| id | DE-604.BV044507887 |
| illustrated | Not Illustrated |
| indexdate | 2024-12-20T18:04:40Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-029907755 |
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| owner_facet | DE-384 DE-N2 DE-355 DE-BY-UBR DE-12 |
| physical | 112 Seiten Diagramme |
| publishDate | 2017 |
| publishDateSearch | 2017 |
| publishDateSort | 2017 |
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| spellingShingle | Elmiger, Sabine 1984- On the robustness of consumption-based asset pricing theory CCAPM (DE-588)4201772-5 gnd |
| subject_GND | (DE-588)4201772-5 (DE-588)4113937-9 |
| title | On the robustness of consumption-based asset pricing theory |
| title_auth | On the robustness of consumption-based asset pricing theory |
| title_exact_search | On the robustness of consumption-based asset pricing theory |
| title_full | On the robustness of consumption-based asset pricing theory presented by Sabine Elmiger |
| title_fullStr | On the robustness of consumption-based asset pricing theory presented by Sabine Elmiger |
| title_full_unstemmed | On the robustness of consumption-based asset pricing theory presented by Sabine Elmiger |
| title_short | On the robustness of consumption-based asset pricing theory |
| title_sort | on the robustness of consumption based asset pricing theory |
| topic | CCAPM (DE-588)4201772-5 gnd |
| topic_facet | CCAPM Hochschulschrift |
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