Asset Prices in a Production Economy with Long Run and Idiosyncratic Risk

2018 ◽  
Author(s):  
Ivan Suttris
Keyword(s):  
Asset Prices ◽  
Idiosyncratic Risk ◽  
Production Economy ◽  
Long Run

Long Run Risk in a Production Economy: A Perturbation Approach

2009 ◽  
Author(s):  
Maral Shamloo ◽  
Keyword(s):  
Perturbation Approach ◽  
Production Economy ◽  
Long Run ◽  
Long Run Risk

Ambiguity, long-run risks, and asset prices in continuous time

2021 ◽  
Vol 71 ◽  
pp. 115-126
Author(s):  
Xinfeng Ruan
Keyword(s):  
Continuous Time ◽  
Asset Prices ◽  
Long Run ◽  
Long Run Risks

Dynamics of fine wine and asset prices: evidence from short- and long-run co-movements

2015 ◽  
Vol 47 (29) ◽  
pp. 3059-3077 ◽  
Author(s):  
B. Faye ◽  
E. Le Fur ◽  
S. Prat
Keyword(s):  
Asset Prices ◽  
Long Run

scholarly journals Price Reaction to Information with Heterogeneous Beliefs and Wealth Effects: Underreaction, Momentum, and Reversal

2015 ◽  
Vol 105 (1) ◽  
pp. 01-34 ◽  
Author(s):  
Marco Ottaviani ◽  
Peter Norman Sørensen
Keyword(s):  
Asset Prices ◽  
Competitive Equilibrium ◽  
Equilibrium Price ◽  
Heterogeneous Beliefs ◽  
Wealth Effects ◽  
Risk Averse ◽  
Prior Beliefs ◽  
Initial Momentum ◽  
Dynamic Setting ◽  
Long Run

This paper analyzes how asset prices in a binary market react to information when traders have heterogeneous prior beliefs. We show that the competitive equilibrium price underreacts to information when there is a bound to the amount of money traders are allowed to invest. Underreaction is more pronounced when prior beliefs are more heterogeneous. Even in the absence of exogenous bounds on the amount that traders can invest, prices underreact to information provided that traders become less risk averse as their wealth increases. In a dynamic setting, underreaction results in initial momentum and then reversal in the long run. (JEL D83, D84, G11, G12, G14)

scholarly journals Volatility in asset prices and long-run wealth effect estimates

2007 ◽  
Vol 24 (6) ◽  
pp. 1048-1064 ◽  
Author(s):  
Fernando Alexandre ◽  
Pedro Bação ◽  
Vasco J. Gabriel
Keyword(s):  
Asset Prices ◽  
Wealth Effect ◽  
Long Run

Disappointment Aversion, Long-Run Risks and Aggregate Asset Prices

2009 ◽  
Author(s):  
Marco Bonomo ◽  
René Garcia ◽  
Nour Meddahi ◽  
Romeo Tedongap
Keyword(s):  
Asset Prices ◽  
Long Run ◽  
Disappointment Aversion ◽  
Long Run Risks

scholarly journals Time-Varying Risk and the Relation between Idiosyncratic Risk and Stock Return

2021 ◽  
Vol 14 (9) ◽  
pp. 432
Author(s):  
Chengbo Fu
Keyword(s):  
Stock Returns ◽  
Stock Return ◽  
Idiosyncratic Risk ◽  
Point Of View ◽  
Time Varying ◽  
Total Risk ◽  
Risk Return ◽  
Long Run ◽  
Book To Market Ratio ◽  
The 1960S

This paper studies the historical time-varying dynamics of risk for individual stocks in the U.S. market. Total risk of an individual stock is decomposed into two components, systematic risk and idiosyncratic risk, and both components are studied separately. We start from the historical trend in the magnitude of risk and then turn to the relation between idiosyncratic risk and stock returns. The result shows that both components of risk for individual stocks are changing over time. They increased from the 1960s to the 1990s/2000s and then declined until today. This paper also studies the risk-return tradeoff by investigating the relation between idiosyncratic risk and stock return in the long run. Stocks are sorted into portfolios for analysis and the whole sample period is further decomposed into decades for subgroup analysis. Multivariable regressions are used to study this relation as we control for beta, size, book-to-market ratio, momentum and liquidity. From a historical point of view, we show that the relation between idiosyncratic risk and stock return is time-varying, and it did not exist in certain decades. The results indicate that the risk-return tradeoff also varied in history.

scholarly journals An Empirical Evaluation of the Long-Run Risks Model for Asset Prices

2009 ◽  
Author(s):  
Ravi Bansal ◽  
Dana Kiku ◽  
Amir Yaron
Keyword(s):  
Asset Prices ◽  
Empirical Evaluation ◽  
Long Run ◽  
Long Run Risks

scholarly journals Modeling and Estimation of Cumulative Abnormal Return using VECM

2021 ◽  
Vol 7 (1) ◽  
pp. 36-49
Author(s):  
Sri Ambarwati ◽  
Eka Sudarmaji ◽  
Herlan Masrio ◽  
Ismiriati Nasip
Keyword(s):  
Initial Public Offering ◽  
Abnormal Return ◽  
Stock Exchange ◽  
Idiosyncratic Risk ◽  
Cointegration Analysis ◽  
Cumulative Abnormal Return ◽  
Firm Level ◽  
Long Run ◽  
Short Run ◽  
Public Offering

This paper examined how firm-level idiosyncratic risk varies over time. It affected initial public offering (IPO) in the presence of pump-and-dump and flipping trends during the early trading of IPO stocks in the Indonesia Stock Exchange. The paper used the IPO data taken from 181 companies during the year 2015-2019. It revisited the relationship between Cumulative Abnormal Return thirty-days (CAR30D) and Cumulative Abnormal Return five-days (CAR5D) and the Characteristics (IPO Floating shares, IPO Fund and Price) and Macroeconomics Condition (Inflation rate). It also used the cointegration analysis and VECM model. The paper found that Both LnFloat and LnPrice had causal evidence in the long-run causality or short-run with Cumulative Abnormal Return thirty days (CAR30D). We also noted that idiosyncratic risk exposure depends on IPO characteristics. It was crucial for firms going public in hot-issue markets, undervalued IPOs, and high idiosyncratic-risk issues. The model suggested that those series should cointegrate firstly. However, the variable of LnIPOFund had causal evidence in the short-run causality only.

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