منابع مشابه
Economic Activity of Firms and Asset Prices∗
In this paper we survey the recent research on the fundamental determinants of stock returns. These studies explore how firms’ systematic risk and their investment and production decisions are jointly determined in equilibrium. Models with production provide insights into several types of empirical patterns, including: i) the correlations between firms’ economic characteristics and their risk p...
متن کاملBayesian Analysis of Bubbles in Asset Prices
We develop a new asset price model where the dynamic structure of the asset price, after the fundamental value is removed, is subject to two different regimes. One regime reflects the normal period where the asset price divided by the dividend is assumed to follow a mean-reverting process around a stochastic long run mean. This latter is allowed to account for possible smooth structural change....
متن کاملBanking and Asset Prices ∗
We embed the notion of banks as monitors into a “two trees” framework, and consider how resources are optimally allocated between an intermediated banking sector and a risky sector, given that capital moves sluggishly between the two. We characterize equilibrium as a function of the relative size of the banking sector — the bank share — and the speed at which capital can move in and out of that...
متن کاملSecuritization and Asset Prices∗
During the 15 years prior to the global financial crisis the volume of securitized assets transacted in the US has grown substantially, reflecting a change in the nature of the financial intermediation process. Together with increased securitization, financial entities, who participate more heavily in the asset-backed security (ABS) market and hold a diversified portfolio of assets, have also b...
متن کاملLiquidity and Asset Prices *
We broadly define liquid assets, or monetary assets, as any asset that can be readily sold in the market and can be held by a number of people in succession before maturity. We ask in what environment is the circulation of liquid assets essential for the smooth running of the economy. By developing a canonical model of a monetary economy (i.e., where the circulation of liquid assets is essentia...
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: The Journal of Finance
سال: 1964
ISSN: 0022-1082
DOI: 10.2307/2977130