Risultati della ricerca
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: 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: 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