東華大學圖書館 |

語系: 繁體中文

說明(常見問題)

回圖書館首頁

手機版館藏查詢

登入

回首頁

切換: 標籤 | MARC模式 | ISBD

A model of estimation risk in asset ...

University of Houston.

FindBook

Google Book

Amazon

博客來

A model of estimation risk in asset pricing.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	A model of estimation risk in asset pricing./
作者:	Gvozdeva, Evgenia.
面頁冊數:	118 p.
附註:	Adviser: Praveen Kumar.
Contained By:	Dissertation Abstracts International70-04A.
標題:	Economics, Finance. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3353621
ISBN:	9781109103045

A model of estimation risk in asset pricing.
Gvozdeva, Evgenia.

A model of estimation risk in asset pricing. - 118 p.

Adviser: Praveen Kumar.

Thesis (Ph.D.)--University of Houston, 2009.

We introduce learning into a general equilibrium model with Epstein and Zin preferences and study the impact on equilibrium equity premium, risk-free rates and their volatilities. We consider two types of dynamics for the consumption and dividend growth rates: Gaussian noise process, and vector autoregressive process, with one in common---there exists parameter uncertainty that is being resolved through Bayesian learning. We assume that all the parameters of the process driving the fundamentals are unknown, and using Bayesian learning, naturally arrive at the time-varying expected consumption and dividend growth rates and fluctuating economic uncertainty. We show that learning and the choice of beliefs about the structure and parameters of the process driving the fundamentals are as important for asset pricing as the choice of preferences characterized by risk aversion and intertemporal elasticity of substitution. Introducing learning into the general equilibrium model with Epstein and Zin preferences allows us to generate substantial values for the equity premium with low degree of risk aversion. Moreover, we show that in the environment with higher estimation risk, a higher equity premium is generated. We show that it matters for asset pricing which process is believed to drive the economy.

ISBN: 9781109103045Subjects--Topical Terms:

626650
Economics, Finance.

A model of estimation risk in asset pricing.
LDR:02152nmm 2200277 a 45 001 891010
005 20101105
008 101105s2009 ||||||||||||||||| ||eng d
020 $a 9781109103045
035 $a (UMI)AAI3353621
035 $a AAI3353621
040 $a UMI $c UMI
100 1 $a Gvozdeva, Evgenia. $3 1064987
245 1 2 $a A model of estimation risk in asset pricing.
300 $a 118 p.
500 $a Adviser: Praveen Kumar.
500 $a Source: Dissertation Abstracts International, Volume: 70-04, Section: A, page: .
502 $a Thesis (Ph.D.)--University of Houston, 2009.
520 $a We introduce learning into a general equilibrium model with Epstein and Zin preferences and study the impact on equilibrium equity premium, risk-free rates and their volatilities. We consider two types of dynamics for the consumption and dividend growth rates: Gaussian noise process, and vector autoregressive process, with one in common---there exists parameter uncertainty that is being resolved through Bayesian learning. We assume that all the parameters of the process driving the fundamentals are unknown, and using Bayesian learning, naturally arrive at the time-varying expected consumption and dividend growth rates and fluctuating economic uncertainty. We show that learning and the choice of beliefs about the structure and parameters of the process driving the fundamentals are as important for asset pricing as the choice of preferences characterized by risk aversion and intertemporal elasticity of substitution. Introducing learning into the general equilibrium model with Epstein and Zin preferences allows us to generate substantial values for the equity premium with low degree of risk aversion. Moreover, we show that in the environment with higher estimation risk, a higher equity premium is generated. We show that it matters for asset pricing which process is believed to drive the economy.
590 $a School code: 0087.
650 4 $a Economics, Finance. $3 626650
650 4 $a Education, Finance. $3 1020300
690 $a 0277
690 $a 0508
710 2 $a University of Houston. $3 1019266
773 0 $t Dissertation Abstracts International $g 70-04A.
790 $a 0087
790 1 0 $a Kumar, Praveen, $e advisor
791 $a Ph.D.
792 $a 2009
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3353621