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Wednesday, October 14, 2020 | History

4 edition of Capital asset prices and the temporal resolution of uncertainty found in the catalog.

Capital asset prices and the temporal resolution of uncertainty

Larry G. Epstein

Capital asset prices and the temporal resolution of uncertainty

by Larry G. Epstein

  • 373 Want to read
  • 34 Currently reading

Published by Institute for Policy Analysis, University of Toronto in Toronto .
Written in English

    Subjects:
  • Decision making -- Mathematical models,
  • Price maintenance,
  • Information measurement

  • Edition Notes

    Bibliography: p. 32-34.

    Statementby Larry G. Epstein and Stuart M. Turnbull.
    SeriesWorking paper series - Institute for Policy Analysis, University of Toronto -- no. 7902
    ContributionsTurnbull, Stuart M.,
    Classifications
    LC ClassificationsHD30.23 E58
    The Physical Object
    Pagination34 p. --
    Number of Pages34
    ID Numbers
    Open LibraryOL19895699M

    Capitalism is an economic system based on the private ownership of the means of production and their operation for profit. Characteristics central to capitalism include private property, capital accumulation, wage labor, voluntary exchange, a price system and competitive markets. In a capitalist market economy, decision-making and investments are determined by every owner of wealth, property. Jegadeesh Narasimhan and Sheridan Titman Returns to buying winners and from ECONOMICS at University of Florida.

    The new edition of this influential textbook, geared towards graduate or advanced undergraduate students, teaches the statistics necessary for financial engineering. In doing so, it illustrates concepts using financial markets and economic data, R Labs with real-data exercises, and graphical and.   In this context, levels of leverage, liquidity or asset prices completely outside historical norms can be justified on the basis of a four-word refrain, recently used by Carmen Reinhart and Ken Rogoff for the title of their book: “this time is different”.

    () Event risk, contingent claims and the temporal resolution of uncertainty. Mathematics and Financial Economics , () Superhedging Under Ratio by: Menger (, pp. ) introduced the idea of "goods of various orders" where order denotes a temporal relationship between a capital good and the eventual consumer good that this piece of capital helps to produce.


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Capital asset prices and the temporal resolution of uncertainty by Larry G. Epstein Download PDF EPUB FB2

"Temporal resolution of uncertainty, disclosure policy, and corporate debt yields," Journal of Corporate Finance, Elsevier, vol. 16(5), pagesDecember. Hyun Song Shin, " Disclosure Risk and Price Drift," Journal of Accounting Research, Wiley Blackwell, vol.

44(2), pagesMay. "Capital Asset Prices and the Temporal Resolution of Uncertainty," Journal of Finance, American Finance Association, vol. 35(3), pagesJune. Smith, Clifford W. & Stulz, René M., " The Determinants of Firms' Hedging Policies," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol.

20(4), pages Temporal Risk Aversion and Asset Prices. mean-variance analysis and the Capital Asset Pricing Model, the Arbitrage Pricing Theory, complete markets, multiperiod portfolio problems and the.

Capital Asset Prices and the Temporal Resolution of Uncertainty. LARRY G. EPSTEIN; STUART M. TURNBULL; Pages References; Request permissions; Taxes and Corporate Capital Structure in an Incomplete Market.

ROBERT A. TAGGART JR. Pages: ; First Published: 01 June ; First Page; Full text Book Reviews. Book Reviews. Pages: Macroeconomic Uncertainty and Asset Prices: A Stochastic Volatility Model.

ordering for temporal resolution of uncertainty. asset prices can be computed using a standard machinery of. Journal list menu. Journal. Articles. the above settings, there is temporal resolution of uncertainty because private information is reflected in prices sequentially.

This influences the dynamic behavior of asset prices prior to news events. We characterize agents’ optimal trades, information acquisition, and stock price behavior prior to.

Epstein,L.G. and S.M. Turnbull, Capital asset prices and the temporal resolution of uncertainty, unpublished Working Paper, Institute for Policy Analysis, University of Cited by: *Bansal, Ravi and Amir Yaron,“Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles”, Journal of Finance Beeler, Jason and John Y.

Campbell,“The Long-Run Risks Model and Aggregate Asset Prices: An Empirical Assessment”, Critical Finance Review File Size: 59KB. In this paper, we demonstrate that variations in good and bad uncertainty have separate and significant opposing impacts on the real economy and asset prices.

We use an extended version of the long-run risks model of Bansal and Yaron () to theoretically show conditions under which good and bad uncertainty have different impacts on prices Cited by:   Abstract. The surge in public debt triggered by the financial crisis has raised uncertainty about future tax pressure and economic activity.

We examine the asset pricing effects of fiscal policies in a production-based general equilibrium model in which taxation affects corporate decisions by: (1) distorting profits and investment; (2) reducing the cost of debt through a tax shield; and (3 Cited by: Empirical work on portfolio choice and asset pricing has shown that an investor’s current asset demand is affected by the possibility of uncertain changes in future investment opportunities.

In addition, different countries have different prices for goods when there is a common numeraire in the international portfolio choice and asset pricing. Consistent with the differential uncertainty explanation, we test the hypothesis that the book-to-market (earnings-to-market) value ratio of a portfolio of firms that have significant and stable amounts of intangible assets and include book values of such assets (amortization expense) on their balance sheets (income statements) to a matched Cited by: Harries Asset specificity, capital intensity and capital structure: An under asymmetric information for different patterns of temporal resolution of uncertainty in the underlying technology.

Agency signaling equilibrium states Chapter II REVIEW OF LITERATURE, 1. Asset Prices and Consumption in a Model of Perpetual Youth pp.

Capital Asset Prices with Heterogeneous Beliefs pp. Haim Levy Temporal Resolution of Uncertainty and Corporate Debt Yields: An Empirical Investigation pp. A common European approach, or a co-ordinated blueprint for a government-sponsored asset management company, segmented by geography and/or asset class, could provide the following benefits: clarity and simplicity for both banks and investors in understanding the interaction with relevant state aid and Bank Recovery and Resolution Directive.

The Federal Reserve Board of Governors in Washington DC. Abstract: This paper models the historical default and prepayment behavior for subprime mortgages using data on securitized mortgages originated from to I find that more recently originated subprime loans are more likely to default, well ahead of their first mortgage rate resets, and less likely to prepay (i.e., refinance).

The recently developed long-run risks asset pricing model shows that concerns about long-run expected growth and time-varying uncertainty (i.e., volatility) about future economic prospects drive asset prices. These two channels of economic risks can account for the risk premia and asset price fluctuations.

To ensure that the agent does care about the timing of the resolution of intertemporal risk, we assume the representative agent has the continuous-time analog of Epstein-Zin-Weil preferences.7 Using preferences of this type has recently become standard in asset pricing (e.g, the long-run risk literature initiated by Bansal and Yaron ).Cited by: Parameter uncertainty or, more broadly, model uncertainty seems highly relevant in many aspects of financial decision-making.

I explore the effects of such uncertainty on dynamic portfolio and consumption decisions, and on equilibrium asset prices. (). Capital asset prices: A theory of market equilibrium under conditions of risk, Nonmarketable assets and capital market equilibrium under uncertainty, ().

Stochastic consumption, risk aversion and the temporal behavior of asset returns.Recent financial studies often assume that agents have Epstein–Zin preferences—preferences that require agents to care about when uncertainty is resolved.

Under this “recursive-preference” framework, the preference for uncertainty resolution is entirely determined by an agent's preferences for risk and intertemporal by:   * Capital is as Marx put it, ‘congealed’, time-dated labor, so there’s a subtle but fundamental problem in valuing the time taken for production, as the C19 critics of Marx pointed out.

The return to capital reappears in the relative prices of differently dated labor, and .