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We propose an organizing framework that determines asset prices by equating household sector
asset demand derived from an economic model to the observed supply of assets provided by other
sectors. W...
This paper studies monetary-policy shocks,
deŽ ned from federal funds target movements
relative to daily interest-rate data. These shocks are nearly ideal measures of unexpected movements in mo...
The Impact of Macroeconomic Risk on Asset Prices in Ghana, 1997–2002
capital markets foreign direct investment macroeconomic risk stock markets
2011/9/16
The dwindling nature of overseas development assistance in the early part of the 1990s called for the establishment of capital markets in some African countries, including Ghana, with the view to incr...
Monetary Policy and Asset Prices with Imperfect Credit Markets
Modigliani-Miller theorem corporate finance capital market external financing
2011/9/13
Provides information on the utilization of the Modigliani-Miller theorem in corporate finance and capital market. Effect of monetary authority regulation on asset prices; Relation of the volume of col...
Gone Fishin': Seasonality in Trading Activity and Asset Prices
Gone Fishin' Seasonality in Trading Activity Asset Prices
2014/3/18
We use seasonality in stock trading activity associated with summer vacation as a source of exogenous variation to study the relationship between trading volume and expected return. Using data from 51...
ESTIMATION OF ASYMMETRICAL VOLATILITY FOR ASSET PRICES：THE SIMULTANEOUS SWITCHING ARIMA APPROACH
Asymmetrical Volatility Stock Prices Simultaneous Switching AR Model Conditional Heteroskedasticity Daily Effect
2009/3/11
Asymmetrical movements between the downward and upward phases of sample paths of many financial time series have been noted by economists. By incorporating the conditional heteroskedasticity aspect in...
Advisors and Asset Prices: A Model of the Origins of Bubbles
Advisors Asset Prices A Model of the Origins Bubbles
2014/3/18
We develop a model of asset price bubbles based on the communication process between advisors and investors. Advisors are well-intentioned and want to maximize the welfare of their advisees (like a pa...
Forecasting Output and Inflation: The Role of Asset Prices
Forecasting Output Inflation Asset Prices
2014/3/18
Because asset prices are forward-looking, they constitute a class of potentially use-ful predictors of inflation and output growth. The premise that interest rates and asset prices contain usefu...
Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices
Nonparametric Estimation State-Price Densities Implicit Financial Asset Prices
2014/3/13
Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices.