منابع مشابه
Commonality in Disagreement and Asset Pricing
This paper presents a dynamic model to demonstrate that, when di¤erences-of-opinion over individual securities have a common component, the valuation of the aggregate market can be higher than its fundamental even if all investors agree on the market fundamental, and the common disagreement drives discount rate news. Using analyst forecast dispersion to measure disagreement, I nd empirical evi...
متن کاملTransform Analysis and Asset Pricing for Affine
The fourth Stephen A. Ross Prize in Financial Economics has been awarded to “Transform Analysis and Asset Pricing for Affine Jump-Diffusions” published in Econometrica in 2000, by Darrell Duffie of Stanford University, Jun Pan of Massachusetts Institute of Technology, and Kenneth Singleton of Stanford University. The prize committee chose this paper for its important methodological contribution...
متن کاملOn Stiffness in Affine Asset Pricing Models∗
Economic and econometric analysis of continuous-time affine asset pricing models often necessitates solving systems of ordinary differential equations (ODEs) numerically. Explicit Runge-Kutta methods have been suggested to solve these ODEs in both the theoretical finance and financial econometrics literature. In this paper we show that under many empirically relevant circumstances the ODEs invo...
متن کاملAsset Pricing with Matrix Affine Jump Diffusions∗
This paper introduces a new class of matrix-valued affine jump diffusions that are convenient for modeling multivariate risk factors in many financial and econometric problems. We provide an analytical transform analysis for this class of models, leading to an analytical treatment of a broad class of multivariate valuation and econometric problems. Examples of potential applications include fix...
متن کاملTransform Analysis and Asset Pricing for Affine Jump-diffusions
It may be downloaded, printed and reproduced only for personal or classroom use. Absolutely no downloading or copying may be done for, or on behalf of, any for‐profit commercial firm or other commercial purpose without the explicit permission of the Econometric Society. For this purpose, contact Claire Sashi, General Manager, at [email protected]. 1 In the setting of ''affine'' jump-...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: American Economic Review
سال: 2010
ISSN: 0002-8282
DOI: 10.1257/aer.100.2.522