Detail Asset prices and the macroeconomy Bibliografi Author: Metrick, Andrew (Advisor); Good, Christopher David ; Campbell, John (Advisor); Gompers, Paul (Advisor) Topik: ECONOMICS; FINANCE Bahasa: (EN )    ISBN: 0-591-42839-3     Penerbit: Harvard University Press     Tahun Terbit: 1997     Jenis: Theses - Dissertation Fulltext: 9733297.pdf (0.0B; 2 download) Abstract The first chapter presents a series of highly simplified models which explore the effects of human capital on asset returns. In these models, human capital is an ex-ante heterogeneous, non-tradeable asset. It is heterogeneous in that the correlation between labor income and stock value differs across individuals. Individuals with a greater correlation short the risky asset to hedge labor income risk, while individuals with a lesser correlation require sufficient expected returns on the risky asset to hold the asset and clear the market. By enriching the models to make markets incomplete, I find that an econometrician working under the auspice of a representative agent model will misestimate the degree of risk aversion in the economy in ways which allow for both a deepening and a weakening of the equity premium puzzle. The second chapter looks at why the Fama-French (1993) three-factor asset-pricing model captures the book-to-market equity effect. The effect is that stocks with high book-to-market equity (BE/ME) ratios have high average returns and the returns are highly correlated with one another. One explanation of this BE/ME effect is that there is a unique source of undiversifiable risk to which high BE/ME stocks are especially sensitive; i.e. there is a BE/ME-factor component of returns. This paper uses industry returns data to investigate the existence of such a BE/ME factor. I provide evidence that there is undiversifiable risk associated with high BE/ME stocks. Furthermore, changes in the market-equity weights of individual firms and the returns on their stocks are dominated not by industry-specific movements, but by firm-specific movements, suggesting that the BE/ME effect is best thought of as a firm-specific phenomenon. The third chapter estimates the inflation risk premium implicit in the returns on five-year U.S. government bonds. The results indicate that the average inflation risk premium from August 1953 to November 1995 is 61 basis points per year. The premium ranges from a low of 16 basis points per year in May 1965 to a high of 2.6 percent per year in May 1980. I show that the inflation risk premium is responsible for virtually all of the expected return on the bond. In addition, the paper provides estimates of a number of other interesting time series such as the conditional expected excess market return, the price of market risk, and the conditional excess market return variance. Opini Anda Klik untuk menuliskan opini Anda tentang koleksi ini! Lihat Sejarah Pengadaan  Konversi Metadata   Kembali

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