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Handbook of the Economics of Finance, Volume 2B: Asset by George M. Constantinides, Milton Harris, René M. Stulz

By George M. Constantinides, Milton Harris, René M. Stulz

The 12 articles during this moment of 2 elements condense contemporary advances on funding autos, functionality size and evaluate, and possibility administration right into a coherent springboard for destiny examine. Written by way of global leaders in asset pricing learn, they current scholarship in regards to the 2008 monetary situation in contexts that spotlight either continuity and divergence in examine. in the event you search authoritative views and critical info, this quantity indicates how the bounds of asset pricing have multiplied and whilst have grown sharper and extra inclusive.

- deals analyses by way of most sensible students of modern asset pricing scholarship
- Explains how the 2008 monetary crises affected theoretical and empirical research
- Covers middle and newly constructing fields

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Extra info for Handbook of the Economics of Finance, Volume 2B: Asset Pricing

Sample text

Almost any nonlinear consumption-based model can be approximated in this way. For example, the classic CCAPM with CRRA utility: 1−γ u(Ct ) = Ct ⇒ Mt+1 ≈ β − βγ �ct+1 . 1−γ at =a0 (18) bt =b0 The pricing kernel in the CCAPM is an approximate linear function of consumption growth with fixed weights at = a0 and bt = b0. Notice that there is no reason based on 819 820 Sydney C. Ludvigson this model of preferences to specify the coefficients in the pricing kernel as functions of conditioning information; those parameters are constant and known functions of primitive preference parameters.

It follows that these models fail to explain the mispricing of the standard model because they fundamentally mischaracterize the joint behavior of consumption and asset returns in recessions, when aggregate consumption is falling. By contrast, a stylized model in which aggregate consumption growth and stockholder consumption growth are highly correlated most of the time, but have low or negative correlation in recessions, produces violations of the standard model’s Euler equations and departures from joint lognormality of aggregate consumption growth and asset returns that are remarkably similar to those found in the data.

G. g. Campbell, 2003; Restoy and Weil, 1998). With these assumptions, the model’s cross-sectional asset pricing implications can be evaluated using only observable consumption data and a model for expectations of future consumption. While the study of these specific cases has yielded a number of important insights, there are several reasons why it may be desirable in estimation to allow for more general representations of the model, free from tight parametric or distributional assumptions. 12 Even first-order 11  pstein and Zin (1991) use an aggregate stock market return to proxy for the aggregate wealth return.

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