Three Essays on Asset Pricing : A Bayesian Approach
Language: English
Published by VDM Verlag Dr. Müller, VDM Verlag Dr. Müller E.K., 2008
- Softcover
- New
Seller: AHA-BUCH GmbH, Einbeck, GermanyAHA-BUCH GmbH
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Neuware - This dissertation focuses on the consumption-basedasset pricing models developed by Lucas (1978). Thefirst chapter studies the effect of a change inaggregate risk on the prices of bonds and stocks. Adecomposition method of the dividend and discountrate effect is defined. Sufficient conditions onpreferences are specified such that an increase inrisk guarantees a fall in stock prices. In thesecond chapter, an empirical study examines whetherBayesian learning can help the Lucas-type modelspredict the low levels of short-term real interestrates in the US. The results show that parameteruncertainty alone cannot resolve the risk-free ratepuzzle. The learning process ends too rapidlyfor parameter uncertainty to play an important rolein affecting bond returns. The third chapterinvestigates whether the downturns of businesscycles have caused the falls of real interest rates.A standard Lucas-type model, with an added featurethat investors have to learn about the unobservablealternation of business cycles, is calibrated. Thesimulation technique of the Markov Chain Monte Carlois used to compute the real interest rates.…
Seller Inventory # 9783639082906
Bibliographic details
- Title
- Three Essays on Asset Pricing : A Bayesian Approach
- Author
- Yongli Zhang
- Publisher
- VDM Verlag Dr. Müller, VDM Verlag Dr. Müller E.K.
- Publication year
- 2008
- Condition
- Neu
- Binding
- Taschenbuch
- Language
- English
- ISBN 10
- 3639082907
- ISBN 13
- 9783639082906
- Item weight
- 191 grams
- Dimensions
- 220x150x7 mm
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