Investors in equilibrium are modeled as facing investor speci ̄c risks across the space of assets. Personalized asset pricing models re°ect these risks. Averaging across the pool of investors we obtain a market asset pricing model that re°ects market risk exposures. It is observed on invoking a law of large numbers applied to an in ̄nite population of investors that many personally relevant risk ...

We explore a global game model of the impact of monetary policy shocks. Risk-neutral asset managers interact with risk-averse households in a market with a risky bond and a ‡oating rate money market fund. Asset managers are averse to coming last in the ranking of short-term performance. This friction injects a coordination element in asset managers’ portfolio choice that leads to large jumps in...

We develop a model of monetary exchange in over-the-counter markets to study the effects of monetary policy on asset prices and standard measures of financial liquidity, such as bid-ask spreads, trade volume, and the incentives of dealers to supply immediacy, both by participating in the market-making activity and by holding asset inventories on their own account. The theory predicts that asset...

We examine the asset value of advertising expenditures for a sample of takes the form of future cash flows, which derive from future sales. Future sales are influenced by advertising expenditures, 320 firms with reported advertising expenditures for each of the 10 consecutive years ending in 1994. We find that, depending upon the which alter customer preferences for particular products or vendo...

Keywords: Capital asset pricing model (Capm) Capital asset pricing theory Finance theory Hedonic pricing Portfolio theory Residential rental real estate investment (RRREI) Security market line Systematic/unsystematic risk

I construct a model of an asset market subject to search frictions, in an environment where both asset liquidity and market composition are determined endogenously. The analysis predicts that higher asset prices resulting from exogenously higher asset earnings imply: (i) a shorter search duration for sellers (higher liquidity), (ii) a shorter owner tenure before listing assets for resale (turno...

This paper demonstrates a method to how reserve capacity and cost allocation could be determined in a pool-based and disaggregated market model. The method considers both the spinning reserve and interruptible loads as the operating reserve services. In the proposed market, generators and consumers (including participation of interruptible loads) submit offers and bids to the independent system...

Considerable anecdotal evidence suggests that the effects of liquidity shocks spread quickly throughout the financial sector. However, few studies have focused on the dynamics of liquidity across real-estate markets. This paper examines the liquidity spill-over impact across four markets linked by a common fundamental factor : the stock market, the derivative (Credit Default Swap (CDS)) market,...

How to optimize returns of an international equity or bond portfolio? Which bets should we make between bonds and stocks on a domestic balanced portfolio? Access to capital markets has become increasingly easier for investors. In this context, the Tactical Asset Allocation (TAA), which refers to how a portfolio's funds would be allocated, given the investor's short-term forecasts, is an essenti...

In the model of asset appreciation advanced here, the market economy and the market of asset claims on the economy are modeled as organic (or exponential growth) processes, similar to those commonly seen in nature and the biological sciences. In this model, investors have a log-wealth utility function. Within the framework, the market risk premium is derived as the premium that balances supply ...