Asset Pricing in Production Economies with Learning About Rare Disasters

2020 ◽  
Author(s):  
Yingjie Niu ◽  
Yaoyao Wu ◽  
Jinqiang Yang ◽  
Zhentao Zou
Keyword(s):  
Asset Pricing ◽  
Production Economies ◽  
Rare Disasters

Equity Is Cheap for Large Financial Institutions

2020 ◽  
Vol 33 (9) ◽  
pp. 4231-4271 ◽  
Author(s):  
Priyank Gandhi ◽  
Hanno Lustig ◽  
Alberto Plazzi
Keyword(s):  
Asset Pricing ◽  
Financial Crises ◽  
Capital Regulation ◽  
Pricing Model ◽  
Asset Pricing Model ◽  
Oxford University ◽  
Rare Disasters ◽  
Country Characteristics ◽  
Nonfinancial Firms ◽  
Published Paper

Abstract Across a wide panel of countries, the top-10% of financial stocks on average account for over 20% of a country’s market capitalization but earn on average significantly lower returns than do nonfinancial firms of the same size and risk exposures. In a bailout-augmented, rare disasters asset pricing model, the spread in risk-adjusted returns between large and small institutions depends on country characteristics that determine the likelihood of bailouts. Consistent with this model, we find larger spreads in countries with large and interconnected financial sectors, weaker capital regulation and corporate governance, and fiscally stronger governments. Valuation gaps increase in anticipation of financial crises. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.

scholarly journals Asset pricing in production economies with extrapolative expectations

2015 ◽  
Vol 76 ◽  
pp. 87-106 ◽  
Author(s):  
David Hirshleifer ◽  
Jun Li ◽  
Jianfeng Yu
Keyword(s):  
Asset Pricing ◽  
Production Economies

Asset Pricing in Home Production Economies

2009 ◽  
Author(s):  
Ivan Jaccard
Keyword(s):  
Asset Pricing ◽  
Home Production ◽  
Production Economies

Asset pricing with time varying pessimism and rare disasters

2019 ◽  
Vol 60 ◽  
pp. 165-175 ◽  
Author(s):  
Jian Zhang ◽  
Dongmin Kong ◽  
Hening Liu ◽  
Ji Wu
Keyword(s):  
Asset Pricing ◽  
Time Varying ◽  
Rare Disasters

Consumption-Based Asset Pricing, Part 2: Habit Formation, Conditional Risks, Long-Run Risks, and Rare Disasters

2015 ◽  
Vol 7 (1) ◽  
pp. 85-131 ◽  
Author(s):  
Douglas T. Breeden ◽  
Robert H. Litzenberger ◽  
Tingyan Jia
Keyword(s):  
Asset Pricing ◽  
Habit Formation ◽  
Long Run ◽  
Rare Disasters ◽  
Long Run Risks

Time‐varying risk of rare disasters, investment, and asset pricing

2020 ◽  
Vol 55 (3) ◽  
pp. 503-524
Author(s):  
Bo Liu ◽  
Yingjie Niu ◽  
Jinqiang Yang ◽  
Zhentao Zou
Keyword(s):  
Asset Pricing ◽  
Time Varying ◽  
Rare Disasters

scholarly journals Asset pricing in production economies

1998 ◽  
Vol 41 (2) ◽  
pp. 257-275 ◽  
Author(s):  
Urban J. Jermann
Keyword(s):  
Asset Pricing ◽  
Production Economies

scholarly journals Asset Pricing in Production Economies with Extrapolative Expectations

2012 ◽  
Author(s):  
David A. Hirshleifer ◽  
Jianfeng Yu
Keyword(s):  
Asset Pricing ◽  
Production Economies

Asset Pricing in Production Economies When Capital Inputs are Heterogeneous

2016 ◽  
Author(s):  
Nicole Branger ◽  
Nikolai Grrber ◽  
Malte Schumacher
Keyword(s):  
Asset Pricing ◽  
Production Economies
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