Stochastic investor sentiment, crowdedness and deviation of asset prices from fundamentals
Sign Up to like & getrecommendations! Published in 2019 at "Economic Modelling"
DOI: 10.1016/j.econmod.2018.10.008
Abstract: Abstract This study constructs a theoretical model to address how stochastic investor sentiment affects investor's crowdedness, and how stochastic investor sentiment and crowdedness affect asset prices. An asset pricing model incorporating stochastic investor sentiment and… read more here.
Keywords: stochastic investor; investor; asset; asset prices ... See more keywords
Liquidity shocks, business cycles and asset prices
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DOI: 10.1016/j.euroecorev.2017.05.004
Abstract: In the aftermath of the Great Recession, macro models that feature financing constraints have attracted increasing attention. Among these, Kiyotaki et al. (2012) is a prominent example. In this paper, we investigate whether the liquidity… read more here.
Keywords: liquidity; asset prices; asset; shocks business ... See more keywords
New goods and asset prices
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DOI: 10.1016/j.jfineco.2018.11.006
Abstract: Abstract I extend the consumption capital asset pricing model to incorporate expanding product variety over time and states of nature. In the model, consumers have a love of variety, and consumption consists of different components:… read more here.
Keywords: goods asset; consumption; asset; new goods ... See more keywords
Asset prices, midterm elections, and political uncertainty
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DOI: 10.1016/j.jfineco.2021.03.007
Abstract: Abstract This study attests to the important role of US midterm elections in asset pricing, even more important than presidential elections. In months following the midterms, equity premiums, mutual fund flows, and real investment growth… read more here.
Keywords: midterm elections; prices midterm; uncertainty; asset ... See more keywords
Cross-border spillover effects of unconventional monetary policies on Swiss asset prices
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DOI: 10.1016/j.jimonfin.2017.04.001
Abstract: Unconventional monetary policies (UMPs) by the Federal Reserve, the European Central Bank, the Bank of England and the Bank of Japan exert important spillover effects on asset prices in Switzerland if market anticipation of UMP… read more here.
Keywords: spillover effects; unconventional monetary; asset prices; monetary policies ... See more keywords
Credit crunches, asset prices and technological change
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DOI: 10.1016/j.red.2019.02.001
Abstract: We investigate the effects of a credit crunch in an economy where firms can retain a mature technology or adopt a new technology. We show that firms' collateral eases firms' access to credit and investment… read more here.
Keywords: crunches asset; prices technological; asset; credit crunches ... See more keywords
Parameter Estimation of the Heston Volatility Model with Jumps in the Asset Prices
Sign Up to like & getrecommendations! Published in 2022 at "Econometrics"
DOI: 10.3390/econometrics11020015
Abstract: The parametric estimation of stochastic differential equations (SDEs) has been the subject of intense studies already for several decades. The Heston model, for instance, is based on two coupled SDEs and is often used in… read more here.
Keywords: jumps asset; estimation; volatility; model ... See more keywords