scholarly journals Asset Prices Under Knightian Uncertainty

2021 ◽  
Author(s):  
Roman Frydman ◽  
◽  
Søren Johansen ◽  
Anders Rahbek ◽  
Morten Nyboe Tabor ◽  
...  
Keyword(s):  
Stochastic Process ◽  
Euler Equation ◽  
Psychological Factors ◽  
Asset Prices ◽  
Asset Price ◽  
Knightian Uncertainty ◽  
Price Model ◽  
Price Function ◽  
The Relationship ◽  
Over Time

We extend Lucas’s classic asset-price model by opening the stochastic process driving dividends to Knightian uncertainty arising from unforeseeable change. Implementing Muth’s hypothesis, we represent participants’ expectations as being consistent with our model’s predictions and formalize their ambiguity-averse decisions with maximization of intertemporal multiple-priors utility. We characterize the asset-price function with a stochastic Euler equation and derive a novel prediction that the relationship between prices and dividends undergoes unforeseeable change. Our approach accords participants’ expectations, driven by both fundamental and psychological factors, an autonomous role in driving the asset price over time, without presuming that participants are irrational.

scholarly journals Asymmetric Macroeconomic Shocks and Asset Price Behaviors in Selected African Countries

2021 ◽  
Vol 11 (2) ◽  
pp. 90
Author(s):  
Saliu Mojeed Olanrewaju ◽  
Ogunleye Edward Oladipo
Keyword(s):  
Real Estate ◽  
Interest Rates ◽  
Asset Prices ◽  
Asset Price ◽  
Panel Cointegration ◽  
African Countries ◽  
Vector Autoregressive ◽  
Macroeconomic Variables ◽  
Real Estate Prices ◽  
The Relationship

This study examines the relationship between Asset prices (Stock and Real estate prices) and Macroeconomic variables in four selected African countries. The study employs the Westerlund Error Correction Based Panel Cointegration test and Eight-variable Structural Vector Autoregressive model to examine the relationship between asset prices and macroeconomic variables. Findings from the study confirm that no long-run relationship exists between both Asset prices and macroeconomic variables. The study equally reveals that portfolio diversification benefits of both stock and real estate markets are more pronounced in the period of a boom than the recession period in Africa. The results also show that GDP growth rate shock exerts a significant impact on both asset prices during expansion and recession periods. The study reveals that foreign interest rates and World oil price shocks are better predictors of both stock and real estate prices during the crisis period than in the expansion period.

scholarly journals Heterogeneous Gain Learning and Long Swings in Asset Prices

2013 ◽  
Author(s):  
Blake LeBaron
Keyword(s):  
Time Series ◽  
Asset Prices ◽  
Financial Time Series ◽  
Asset Price ◽  
Financial Time ◽  
Basic Model ◽  
Long Run ◽  
Fundamental Values ◽  
Over Time ◽  
Regular Patterns

This chapter focuses on heterogeneous gain learning and long swings in asset prices. Many asset prices deviate from their fundamental values, yielding potential long-run predictability. Asset price swings can be both short or long in duration, and their time series shows few regular patterns when one analyzes their long-range behavior. This chapter considers an underparameterized learning model with heterogeneous gain parameters and traders using differing perspectives on history. It first provides an overview of the basic model and some benchmark simulation runs before discussing the output of the model compared to actual financial time series. It then describes a range of internal mechanisms of the agents and forecasts in use and how wealth moves across them over time. It shows that learning algorithms appear to be behaving in a predictable fashion, and that interesting dynamics come from how agent wealth selects rules over time. The chapter concludes by addressing some questions for researchers working on learning in financial markets.

The Long Swings of Employment, Investment, and Asset Prices

2013 ◽  
Author(s):  
Gylfi Zoega
Keyword(s):  
Financial Crises ◽  
Asset Prices ◽  
Asset Price ◽  
Rate Model ◽  
Natural Rate ◽  
Share Prices ◽  
Natural Rate Of Unemployment ◽  
The Relationship

This chapter examines the long swings of employment, investment, and asset prices. It highlights one stylized fact that a model of the natural rate of unemployment should be able to take into account: the relationship among unemployment, investment, and share prices that is observed in the data. Although this relationship is often ignored, it provides a justification for some recent models of the natural rate. The chapter first considers a moving natural rate of unemployment before discussing the relationship between the long swings of employment and asset price swings. It then introduces a stripped-down natural rate model that generates a relationship among the natural rate of unemployment, investment, and asset prices. It also describes how financial crises are linked to changes in asset prices, investment, and employment.

Investment Traits and Intelligence in Adulthood

2013 ◽  
Vol 34 (2) ◽  
pp. 82-89 ◽  
Author(s):  
Sophie von Stumm
Keyword(s):  
Individual Differences ◽  
Personality Traits ◽  
Fluid Intelligence ◽  
Need For Cognition ◽  
Openness To Experience ◽  
Intelligence Tests ◽  
Crystallized Intelligence ◽  
New Knowledge ◽  
The Relationship ◽  
Over Time

Intelligence-as-knowledge in adulthood is influenced by individual differences in intelligence-as-process (i.e., fluid intelligence) and in personality traits that determine when, where, and how people invest their intelligence over time. Here, the relationship between two investment traits (i.e., Openness to Experience and Need for Cognition), intelligence-as-process and intelligence-as-knowledge, as assessed by a battery of crystallized intelligence tests and a new knowledge measure, was examined. The results showed that (1) both investment traits were positively associated with intelligence-as-knowledge; (2) this effect was stronger for Openness to Experience than for Need for Cognition; and (3) associations between investment and intelligence-as-knowledge reduced when adjusting for intelligence-as-process but remained mostly significant.

Power Values and Power Distance Moderate the Relationship Between Workplace Supervisory Power and Job Satisfaction

2020 ◽  
Vol 19 (3) ◽  
pp. 135-141
Author(s):  
Kenneth D. Locke
Keyword(s):  
Job Satisfaction ◽  
Multilevel Modeling ◽  
Power Distance ◽  
European Social Survey ◽  
Social Survey ◽  
The Relationship ◽  
Workplace Power ◽  
Over Time

Abstract. Person–job (or needs–supplies) discrepancy/fit theories posit that job satisfaction depends on work supplying what employees want and thus expect associations between having supervisory power and job satisfaction to be more positive in individuals who value power and in societies that endorse power values and power distance (e.g., respecting/obeying superiors). Using multilevel modeling on 30,683 European Social Survey respondents from 31 countries revealed that overseeing supervisees was positively associated with job satisfaction, and as hypothesized, this association was stronger among individuals with stronger power values and in nations with greater levels of power values or power distance. The results suggest that workplace power can have a meaningful impact on job satisfaction, especially over time in individuals or societies that esteem power.

Emotional Impact Feedback Changes How We Remember Negative Autobiographical Experiences

2010 ◽  
Vol 57 (5) ◽  
pp. 354-359 ◽  
Author(s):  
Melanie K. T. Takarangi ◽  
Deryn Strange
Keyword(s):  
Well Being ◽  
The Other ◽  
Personal Perspective ◽  
Emotional Impact ◽  
Potential Mechanism ◽  
Negative Experiences ◽  
Negative Memory ◽  
The Relationship ◽  
Negative Memories ◽  
Over Time

When people are told that their negative memories are worse than other people’s, do they later remember those events differently? We asked participants to recall a recent negative memory then, 24 h later, we gave some participants feedback about the emotional impact of their event – stating it was more or less negative compared to other people’s experiences. One week later, participants recalled the event again. We predicted that if feedback affected how participants remembered their negative experiences, their ratings of the memory’s characteristics should change over time. That is, when participants are told that their negative event is extremely negative, their memories should be more vivid, recollected strongly, and remembered from a personal perspective, compared to participants in the other conditions. Our results provide support for this hypothesis. We suggest that external feedback might be a potential mechanism in the relationship between negative memories and psychological well-being.

Rethinking social remittances and the migration-development nexus from the perspective of time

2013 ◽  
Vol 10 (1) ◽  
pp. 11-22 ◽  
Author(s):  
Peggy Levitt ◽  
Deepak Lamba-Nieves
Keyword(s):  
Social Influence ◽  
Change Over Time ◽  
Social Remittances ◽  
The Relationship ◽  
Migration And Development ◽  
Over Time

This article explores how the conceptualization, management, and measurement of time affect the migration-development nexus. We focus on how social remittances transform the meaning and worth of time, thereby changing how these ideas and practices are accepted and valued and recalibrating the relationship between migration and development. Our data reveal the need to pay closer attention to how migration’s impacts shift over time in response to its changing significance, rhythms, and horizons. How does migrants’ social influence affect and change the needs, values, and mind-frames of non-migrants? How do the ways in which social remittances are constructed, perceived, and accepted change over time for their senders and receivers?

Changing Places: Rock Art and Holocene Landscapes in the Wadi al-Ajal, South-West Libya

2014 ◽  
Vol 12 (2) ◽  
pp. 165-182 ◽  
Author(s):  
Tertia Barnett ◽  
Maria Guagnin
Keyword(s):  
Spatial Analysis ◽  
Surface Water ◽  
Rock Art ◽  
Human Settlement ◽  
Gis Model ◽  
South West ◽  
Settlement Location ◽  
Central Sahara ◽  
The Relationship ◽  
Over Time

This article examines the relationship between rock art and landscape use by pastoral groups and early settled communities in the central Sahara from around 6000 BC to 1000 AD. During this period the region experienced significant climatic and environmental fluctuations. Using new results from a systematic survey in the Wadi al-Ajal, south-west Libya, our research combines data from over 2000 engraved rock art panels with local archaeological and palaeoenvironmental evidence within a GIS model. Spatial analysis of these data indicates a correspondence between the frequency of rock art sites and human settlement over time. However, while changes in settlement location were guided primarily by the constraints on accessibility imposed by surface water, the distribution of rock art relates to the availability of pasture and patterns of movement through the landscape. Although the reasons for these movements undoubtedly altered over time, natural routes that connected the Wadi al-Ajal and areas to the south continued to be a focus for carvings over several thousand years.

Soil and Stream Water Chemistry During Spring Snowmelt

1992 ◽  
Vol 23 (1) ◽  
pp. 13-26 ◽  
Author(s):  
W. H. Hendershot ◽  
L. Mendes ◽  
H. Lalande ◽  
F. Courchesne ◽  
S. Savoie
Keyword(s):  
Stream Water ◽  
Base Cations ◽  
Stream Chemistry ◽  
Stream Water Chemistry ◽  
The Matrix ◽  
Adsorption Desorption ◽  
The Relationship ◽  
Best Fit ◽  
Spring Snowmelt ◽  
Over Time

In order to determine how water flowpath controls stream chemistry, we studied both soil and stream water during spring snowmelt, 1985. Soil solution concentrations of base cations were relatively constant over time indicating that cation exchange was controlling cation concentrations. Similarly SO4 adsorption-desorption or precipitation-dissolution reactions with the matrix were controlling its concentrations. On the other hand, NO3 appeared to be controlled by uptake by plants or microorganisms or by denitrification since their concentrations in the soil fell abruptly as snowmelt proceeded. Dissolved Al and pH varied vertically in the soil profile and their pattern in the stream indicated clearly the importance of water flowpath on stream chemistry. Although Al increased as pH decreased, the relationship does not appear to be controlled by gibbsite. The best fit of calculated dissolved inorganic Al was obtained using AlOHSO4 with a solubility less than that of pure crystalline jurbanite.

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