Risultati della ricerca
Creator: Bryant, John B. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Dept.) Number: 121 Parola chiave: Interest, Money, and Nontransferable bonds Soggetto: H62 - National budget, deficit, and debt - Deficit ; Surplus and G12 - General financial markets - Asset pricing ; Trading volume ; Bond interest rates
Creator: Wallace, Neil. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Dept.) Number: 347 Descrizione:
The Harry G. Johnson Lecture, presented at the 1987 A.U.T.E. and the Royal Economic Society Conference, Aberyswyth, April 1-4.
Parola chiave: Inside money, Equilibrium model, Monetary theory, Assets, Outside money, and Currency Soggetto: G12 - General financial markets - Asset pricing ; Trading volume ; Bond interest rates and E40 - Money and interest rates - General
Creator: Chari, V. V., Jagannathan, Ravi., and Ofer, Aharon R. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Dept.) Number: 364 Abstract:
The fiscal year and the calendar year coincide for a large fraction of firms traded in the New York and American Stock Exchanges. It is therefore possible that part of the large positive abnormal return earned by stocks as a group during the first week of trading in January may be due to temporal resolution of uncertainty accompanying the end of the fiscal year. We study this hypothesis by examining whether stocks of firms with fiscal years ending in months other than December also realize positive abnormal returns, following the end of their fiscal years. We find that there are no excess returns for such firms in the first five trading days following the end of the fiscal year.
Parola chiave: Positive abnormal returns, Fiscal year, Cyclical behavior, Excess returns, Stock returns, and January effect Soggetto: G12 - General financial markets - Asset pricing ; Trading volume ; Bond interest rates and E32 - Prices, business fluctuations, and cycles - Business fluctuations ; Cycles
Creator: Backus, David., Gregory, Alan., and Zin, Stanley E. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Dept.) Number: 429 Abstract:
We compare the statistical properties of prices of U.S. treasury bills to those generated by a theoretical dynamic exchange economy with complete markets. We show that the model can account for neither the sign nor the magnitude of average risk premiums in forward prices and holding-period returns. The economy is also incapable of generating enough variation in risk premiums to account for rejections of the expectations hypothesis with treasury bill data. These conclusions add to the growing list of empirical deficiencies of the representative agent model of asset pricing.
Parola chiave: Autoregressive heteroskedasticity, Holding-period returns, Expectations hypothesis, and Forward prices Soggetto: C61 - Mathematical methods and programming - Optimization techniques ; Programming models ; Dynamic analysis and G12 - General financial markets - Asset pricing ; Trading volume ; Bond interest rates
Creator: Lacker, Jeffrey Malcolm. and Schreft, Stacey Lee Series: Monetary theory and financial intermediation Abstract:
We describe a stochastic economic environment in which the mix of money and trade credit used as means of payment is endogenous. The economy has an infinite horizon, spatial separation and a credit-related transaction cost, but no capital. We find that the equilibrium prices of arbitrary contingent claims to future currency differ from those from one-good cash-in-advance models. This anomaly is directly related to the endogeneity of the mix of media of exchange used. In particular, nominal interest rates affect the risk-free real rate of return. The model also has implications for some long-standing issues in monetary policy and for time series analysis using money and trade credit.
Soggetto: G12 - General financial markets - Asset pricing ; Trading volume ; Bond interest rates and E42 - Money and interest rates - Monetary systems ; Standards ; Regimes ; Government and the monetary system ; Payment systems
Creator: Allen, Franklin, 1956- and Gale, Douglas. Series: Monetary theory and financial intermediation Abstract:
Traditional theories of asset pricing assume there is complete market participation so all investors participate in all markets. In this case changes in preferences typically have only a small effect on asset prices and are not an important determinant of asset price volatility. However, there is considerable empirical evidence that most investors participate in a limited number of markets. We show that limited market participation can amplify the effect of changes in preferences so that an arbitrarily small degree of aggregate uncertainty in preferences can cause a large degree of price volatility. We also show that in addition to this equilibrium with limited participation and volatile asset prices, there may exist a Pareto-preferred equilibrium with complete participation and less volatility.
Soggetto: C58 - Financial Econometrics and G12 - General financial markets - Asset pricing ; Trading volume ; Bond interest rates
Creator: Glosten, Lawrence R., Jagannathan, Ravi., and Runkle, David Edward. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Dept.) Number: 505 Abstract:
Earlier researchers have found either no relation or a positive relation between the conditional expected return and the conditional variance of the monthly excess return on stocks when they used the standard GARCH-M model. This is in contrast to the negative relation found when other approaches were used to model conditional variance. We show that the difference in the estimated relation arises because the standard GARCH-M model is misspecified. When the standard model is modified allow for (i) the presence for seasonal patterns in volatility, (ii) positive and negative innovations to returns to having different impacts on conditional volatility, and (iii) nominal interest rates to affect conditional variance, we once again find support for a negative relation. Using the modified GARCH-M model, we also show that there is little evidence to support the traditional view that conditional volatility is highly persistent. Also, positive unanticipated returns result in a downward revision of the conditional volatility whereas negative unanticipated returns result in an upward revision of conditional volatility of a similar magnitude. Hence the time series properties of the monthly excess return on stocks appear to be substantially different from that of the daily excess return on stocks.
Parola chiave: Asset valuation, Return rate, Risk, Rate of return, Stocks, and Stock market Soggetto: G11 - General financial markets - Portfolio choice ; Investment decisions and G12 - General financial markets - Asset pricing ; Trading volume ; Bond interest rates
Creator: Jagannathan, Ravi. and Wang, Zhenyu. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Dept.) Number: 517 Abstract:
In empirical studies of the CAPM, it is commonly assumed that (a) the return to the value weighted portfolio of all stocks is a reasonable proxy for the return on the market portfolio of all assets in the economy, and (b) betas of assets remain constant over time. Under these assumptions, Fama and French (1992) find that the relation between average return and beta is flat. We argue that these two auxiliary assumptions are not reasonable. We demonstrate that when these assumptions are relaxed, the empirical support for the CAPM is surprisingly strong. When human capital is also included in measuring wealth, the CAPM is able to explain 28 percent of the cross sectional variation in average returns in the 100 portfolios studied by Fama and French. When, in addition, betas are allowed to vary over the business cycle, the CAPM is able to explain 57 percent. More important, relative size does not explain what is left unexplained after taking sampling errors into account.
Parola chiave: Capital and Stock prices Soggetto: G12 - General financial markets - Asset pricing ; Trading volume ; Bond interest rates
Creator: Aiyagari, S. Rao. Series: Working paper (Federal Reserve Bank of Minneapolis. Research Dept.) Number: 518 Abstract:
This paper is about a useful way of taking account of frictions in asset pricing and macroeconomics. I start by noting that complete frictionless markets models have a number of empirical deficiencies. Then I suggest an alternative class of models with incomplete markets and heterogenous agents which can also accommodate a variety of other frictions. These models are quantitatively attractive and computationally feasible and have the potential to overcome many or all of the empirical deficiencies of complete frictionless markets models. The incomplete markets model can also differ significantly from the complete frictionless markets model on some important policy questions.
Parola chiave: Friction, Frictionless market model, Asset pricing, Macroeconomics, and Incomplete markets Soggetto: E13 - General aggregative models - Neoclassical and G12 - General financial markets - Asset pricing ; Trading volume ; Bond interest rates