In this paper we test for the existence of asset price bubbles in Latin America in the 19802001 period, focusing mainly on stock prices. Based on unit root and cointegration tests we cannot reject the hypothesis of bubbles. We arrive at the same conclusion using Froot and Obstfeld’s intrinsic bubbles model. We identify periods of significant stock price overvaluation to examine empirical regula...

When consumption betas of stocks are computed using year-over-year consumption growth based upon the fourth quarter, the consumption-based asset pricing model (CCAPM) explains the cross-section of stock returns as well as the Fama and French (1993) three-factor model. The CCAPM's performance deteriorates substantially when consumption growth is measured based upon other quarters. For the CCAPM ...

This paper examines the role of money in understanding the behavior of asset prices and whether and how monetary policy should react to asset prices such as stock prices and equity premiums. To do so, I introduce money via the form of transaction cost into a production economy with limited stock market participation where agents with lower inter-temporal elasticity of substitution (IES), called...

This study examines the effect of capital structure (DER), asset growth (Growth), liquidity (LDR) and firm size on business risk. uses quantitative methods with a research sample 26Banking companies listed Indonesia Stock Exchange during period 2014 to 2020. The results this indicate that (DER) has no risk, meaning higher structure, will not affect Asset (Growth) when company experiences growth...

Poverty remains a substantial threat in rural areas of many developing countries, and solving this problem requires an in-depth understanding the income generating capacity that determines poverty. This paper examines impact agricultural commercialisation on capability households to accumulate productively use assets reduce structural multidimensional A longitudinal dataset around 2000 with tot...

Hedge funds have gained popularity for increasing investment returns. We focus on the role of this asset category for longterm investors, with attention to rebalancing a portfolio of diversified assets. An investor must seek out securities with low correlations to traditional assets to maximize asset growth. Current hedge fund returns, as measured by average performance, show dependencies with ...