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Essays on asset pricing.

Rodriguez, Juan Carlos.

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Essays on asset pricing.

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	Essays on asset pricing./
作者:	Rodriguez, Juan Carlos.
面頁冊數:	118 p.
附註:	Director: Dilip Madan.
Contained By:	Dissertation Abstracts International63-06A.
標題:	Economics, Finance. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3055615
ISBN:	049371278X

Essays on asset pricing.
Rodriguez, Juan Carlos.

Essays on asset pricing. - 118 p.

Director: Dilip Madan.

Thesis (Ph.D.)--University of Maryland College Park, 2002.

In the consumption-based asset-pricing literature, the endowment has been modeled mostly as being an integrated process driven by permanent innovations. This important assumption has been virtually unchallenged by researchers. However, theoretical and empirical work in macroeconomics points out that common macroeconomic time series can be described by more general processes including transitory and permanent innovations. In this dissertation I develop a continuous time version of Lucas (1978) model, in which the endowment process is described as the sum of two components: one transitory, the other permanent, to investigate the role of transitory innovations in explaining known asset-pricing puzzles. The presence of a transitory component in the endowment process reveals that intertemporal substitution plays a prominent role in generating variability of returns. In Chapter 1 random innovations, both transitory and permanent, are assumed normally distributed. I show analytically that there is a direct relation between predictability of dividends and volatility of returns, and that excess volatility is essentially an intertemporal substitution phenomenon. Moreover, in the presence of transitory shocks, intertemporal substitution explains most of the volatility of returns. In Chapter 2, where I model the permanent component as a pure jump process, I show that jump risk contributes to increase the equity premium, and fundamentally to reduce the risk-free interest rate, but that it has no role in explaining returns volatility beyond the volatility of consumption growth. I provide numerical results showing that the models developed in Chapters 1 and 2 are able to generate equity premium, volatility of returns and volatility of the risk-free rate in line with the data for levels of the risk aversion coefficient lower than ten, and positive rate of intertemporal preference. In Chapter 3 I study incomplete information issues in asset pricing, and show that uncertainty about the economy's rate of growth in a model in which investors face a signal extraction problem is not enough to generate high volatility of returns.

ISBN: 049371278XSubjects--Topical Terms:

626650
Economics, Finance.

Essays on asset pricing.
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520 $a In the consumption-based asset-pricing literature, the endowment has been modeled mostly as being an integrated process driven by permanent innovations. This important assumption has been virtually unchallenged by researchers. However, theoretical and empirical work in macroeconomics points out that common macroeconomic time series can be described by more general processes including transitory and permanent innovations. In this dissertation I develop a continuous time version of Lucas (1978) model, in which the endowment process is described as the sum of two components: one transitory, the other permanent, to investigate the role of transitory innovations in explaining known asset-pricing puzzles. The presence of a transitory component in the endowment process reveals that intertemporal substitution plays a prominent role in generating variability of returns. In Chapter 1 random innovations, both transitory and permanent, are assumed normally distributed. I show analytically that there is a direct relation between predictability of dividends and volatility of returns, and that excess volatility is essentially an intertemporal substitution phenomenon. Moreover, in the presence of transitory shocks, intertemporal substitution explains most of the volatility of returns. In Chapter 2, where I model the permanent component as a pure jump process, I show that jump risk contributes to increase the equity premium, and fundamentally to reduce the risk-free interest rate, but that it has no role in explaining returns volatility beyond the volatility of consumption growth. I provide numerical results showing that the models developed in Chapters 1 and 2 are able to generate equity premium, volatility of returns and volatility of the risk-free rate in line with the data for levels of the risk aversion coefficient lower than ten, and positive rate of intertemporal preference. In Chapter 3 I study incomplete information issues in asset pricing, and show that uncertainty about the economy's rate of growth in a model in which investors face a signal extraction problem is not enough to generate high volatility of returns.
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