Three Essays on Asset Pricing : A Bayesian Approach

Yongli Zhang

ISBN 10: 3639082907 / ISBN 13: 9783639082906

Published by VDM Verlag Dr. Müller, VDM Verlag Dr. Müller E.K., 2008

About this Item

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
• Publisher: VDM Verlag Dr. Müller, VDM Verlag Dr. Müller E.K.
• Publication Date: 2008
• Language: English
• ISBN 10: 3639082907
• ISBN 13: 9783639082906
• Binding: Taschenbuch
• Condition: Neu
• Dimensions: 220W x 150H x 7D millimeters 220 millimeters width by 150 millimeters height by 7 millimeters depth
• Weight: 191 grams