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Essays on Macroeconomics and Asset P...
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ProQuest Information and Learning Co.
Essays on Macroeconomics and Asset Prices.
紀錄類型:
書目-語言資料,手稿 : Monograph/item
正題名/作者:
Essays on Macroeconomics and Asset Prices./
作者:
Ma, Sai.
面頁冊數:
1 online resource (321 pages)
附註:
Source: Dissertation Abstracts International, Volume: 79-12(E), Section: A.
Contained By:
Dissertation Abstracts International79-12A(E).
標題:
Economics. -
電子資源:
click for full text (PQDT)
ISBN:
9780438170773
Essays on Macroeconomics and Asset Prices.
Ma, Sai.
Essays on Macroeconomics and Asset Prices.
- 1 online resource (321 pages)
Source: Dissertation Abstracts International, Volume: 79-12(E), Section: A.
Thesis (Ph.D.)--New York University, 2018.
Includes bibliographical references
This dissertation comprises three chapters on the asset pricing and macroeconomic implications with heterogeneous agents.
Electronic reproduction.
Ann Arbor, Mich. :
ProQuest,
2018
Mode of access: World Wide Web
ISBN: 9780438170773Subjects--Topical Terms:
555568
Economics.
Index Terms--Genre/Form:
554714
Electronic books.
Essays on Macroeconomics and Asset Prices.
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Source: Dissertation Abstracts International, Volume: 79-12(E), Section: A.
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Adviser: Sydney Ludvigson.
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Thesis (Ph.D.)--New York University, 2018.
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Includes bibliographical references
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This dissertation comprises three chapters on the asset pricing and macroeconomic implications with heterogeneous agents.
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Traditional intermediary-based asset pricing model is based on the idea that the asset prices are determined by the marginal utility of intermediaries instead of households. So far in the literature, both theoretical and empirical works focus on the representative intermediary framework. However, in the data, there is considerable heterogeneity among intermediaries. For example, the leverage of broker-dealers is highly procyclical whereas the leverage of banking holding companies is countercyclical. In order to bridge the gap, in the first chapter, I propose and test a heterogeneous intermediary stochastic discount factor (HI-SDF) that accounts for the heterogeneity among intermediaries. The main insight in this chapter is that the relative wealth distribution among intermediaries is an important pricing factor that has been neglected in the current asset pricing literature. The wealth distribution is proxied by the networth share of individual intermediaries in a two-type intermediary framework where one type is more financially constrained than the other type. It is found that the specific function form of HI-SDF depends crucially on the types of financial constraints. I thus estimate it nonparametrically and let the data dictate. The estimated HI-SDF is found to exhibit substantial explanatory power for cross-sectional variation in expected returns across a wide range of test assets. In contrast to representative intermediary empirical models, HI-SDF exhibits lower pricing errors and explains larger fractions of the cross-section of expected returns.
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In the second chapter, I specifically investigate the heterogeneity among traders in the over-the-counter (OTC) market. I find that transactions in OTC markets often involve intermediation chains: after a dealer buys the asset from the seller, instead of selling it to the buyer, the dealer trades it to another dealer in the interdealer market. An intermediation chain is thus formed with the length equal to the total number of dealers involved before a buyer obtains the asset. How are intermediation chains formed in the first place? How do lengths of the chains affect asset prices? In order to address these issues, I first empirically construct intermediation chains in the corporate bond OTC market using the Trade Reporting and Compliance Engine (TRACE) corporate bond data. The empirical results showed that the average length of the intermediation chain increased during the financial crisis but gradually fell afterward, accompanied by the sharply widened ask-bid spreads in the recession. Motivated by these empirical findings, I developed a dynamic model by introducing heterogeneous valuations and inventory capacity among traders in a search-theoretical framework developed in Duffie, Garleanu and Pedersen (2005). An endogenous intermediation sector emerges in the equilibrium: traders with intermediate asset valuations stay in the market, actively searching for a counterpart to sell (buy) the asset that they have just bought (sold) from low (high) valuation traders. Those traders behave as intermediaries and their trading activities determine the ask-bid spreads. The model characterizes intermediation sectors both in and out-of steady state. Findings in the numerical crisis experiments are consistent with documented empirical facts.
520
$a
In these two chapters, I investigate how heterogeneity among intermediaries or specialized traders affect asset prices. Does the heterogeneity among households (more specifically, the wealth distribution among households) matter for pricing risky securities? The third chapter (Joint with Martin Lettau and Sydney Ludvigson) uses the capital share of aggregate income as a proxy for the fraction of aggregate consumption that accrues to the wealthy households (who, arguably, are more marginal investors in trading risky assets). We find that this single macroeconomic factor based on growth in the capital share of aggregate income exhibits significant explanatory power for expected returns across a range of equity characteristic portfolios and non-equity asset classes. The results are commensurate with the hypothesis that wealthy households, whose income shares are strongly positively related to the capital share, are marginal investors in many asset markets and that redistributive shocks are an important source of systematic risk.
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