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Essays on Asset Pricing.

紀錄類型:	書目-語言資料,手稿 : Monograph/item
正題名/作者:	Essays on Asset Pricing./
作者:	Luo, Ding.
面頁冊數:	1 online resource (135 pages)
附註:	Source: Dissertation Abstracts International, Volume: 80-01(E), Section: A.
Contained By:	Dissertation Abstracts International80-01A(E).
標題:	Finance. -
電子資源:	click for full text (PQDT)
ISBN:	9780438351509

Essays on Asset Pricing.
Luo, Ding.

Essays on Asset Pricing. - 1 online resource (135 pages)

Source: Dissertation Abstracts International, Volume: 80-01(E), Section: A.

Thesis (Ph.D.)--University of Minnesota, 2018.

Includes bibliographical references

My dissertation studies the relations between macroeconomic quantities and asset prices. The first chapter takes a production-based approach and investigates how different types of business investment are linked to stock returns. The second chapter takes a consumption-based approach and investigates how the interaction between limited enforcement and preference heterogeneity affects individual consumption, risk sharing and asset prices.

Electronic reproduction.
Ann Arbor, Mich. :
ProQuest,
2018

Mode of access: World Wide Web

ISBN: 9780438351509Subjects--Topical Terms:

559073
Finance.
Index Terms--Genre/Form:

554714
Electronic books.

Essays on Asset Pricing.
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300 $a 1 online resource (135 pages)
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500 $a Source: Dissertation Abstracts International, Volume: 80-01(E), Section: A.
500 $a Adviser: Frederico Belo.
502 $a Thesis (Ph.D.)--University of Minnesota, 2018.
504 $a Includes bibliographical references
520 $a My dissertation studies the relations between macroeconomic quantities and asset prices. The first chapter takes a production-based approach and investigates how different types of business investment are linked to stock returns. The second chapter takes a consumption-based approach and investigates how the interaction between limited enforcement and preference heterogeneity affects individual consumption, risk sharing and asset prices.
520 $a In Chapter One "Capital heterogeneity, time-to-build, and return predictability", I study how two major types of business investment, equipment and structures, are differently linked to stock returns. I empirically show that the investment rate of equipment has a significantly stronger predictive power for stock returns than the investment rate of structures, both in-sample and out-of-sample, using US aggregate-, US asset-, US industry-, and UK aggregate-level data. To explain this empirical finding, I build a quantitative general equilibrium production model in which it takes a shorter time-to-build for equipment investment than for structures investment to transform into productive capital. In the model, equipment investment reacts to productivity shocks in a more timely manner, and thus it reflects more of the information contained in stock prices. In addition, the model provides theoretical support for previous empirical findings of return predictability from planned investment.
520 $a In Chapter Two "Asset pricing and risk sharing with limited enforcement and heterogeneous preferences", I introduce heterogeneous preferences (heterogeneity in risk aversion and time discount factor) into a two-agent endowment economy with enforcement constraints and aggregate and idiosyncratic income risk (Alvarez and Jermann (2001)), and study the corresponding asset pricing and risk sharing implications. I show that the relative time discount factor and the interaction between heterogeneous risk aversion and aggregate risk affect the evolution of the relative Pareto weight of agents over time. I demonstrate that preference heterogeneity can generate a positive equity premium with only idiosyncratic risk present, since the conditional pricing kernel is time-varying depending on which agent is the marginal pricer. I use a recursive Lagrangian method to solve a calibrated model and show that preference heterogeneity boosts the mean and volatility of equity premium quantitatively, when the more risk averse and/or the more patient agent cannot trade away most of his income risk with the other agent because of enforcement constraints.
533 $a Electronic reproduction. $b Ann Arbor, Mich. : $c ProQuest, $d 2018
538 $a Mode of access: World Wide Web
650 4 $a Finance. $3 559073
655 7 $a Electronic books. $2 local $3 554714
690 $a 0508
710 2 $a ProQuest Information and Learning Co. $3 1178819
710 2 $a University of Minnesota. $b Business Administration. $3 1179082
773 0 $t Dissertation Abstracts International $g 80-01A(E).
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10837565 $z click for full text (PQDT)