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Author: Vayanos Dimitri
Publisher: Legare Street Press
ISBN: 9781021487506
Category :
Languages : en
Pages : 0
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Book Description
This book analyzes the relationship between the interest rate and the liquidity premium in financial markets with transaction costs. It offers insights for policymakers, investors, and researchers. This work has been selected by scholars as being culturally important, and is part of the knowledge base of civilization as we know it. This work is in the "public domain in the United States of America, and possibly other nations. Within the United States, you may freely copy and distribute this work, as no entity (individual or corporate) has a copyright on the body of the work. Scholars believe, and we concur, that this work is important enough to be preserved, reproduced, and made generally available to the public. We appreciate your support of the preservation process, and thank you for being an important part of keeping this knowledge alive and relevant.
Author: Vayanos Dimitri
Publisher: Legare Street Press
ISBN: 9781021487506
Category :
Languages : en
Pages : 0
Get Book Here
Book Description
This book analyzes the relationship between the interest rate and the liquidity premium in financial markets with transaction costs. It offers insights for policymakers, investors, and researchers. This work has been selected by scholars as being culturally important, and is part of the knowledge base of civilization as we know it. This work is in the "public domain in the United States of America, and possibly other nations. Within the United States, you may freely copy and distribute this work, as no entity (individual or corporate) has a copyright on the body of the work. Scholars believe, and we concur, that this work is important enough to be preserved, reproduced, and made generally available to the public. We appreciate your support of the preservation process, and thank you for being an important part of keeping this knowledge alive and relevant.
Author: Dimitri Vayanos
Publisher:
ISBN: 9781332245437
Category : Business & Economics
Languages : en
Pages : 72
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Book Description
Excerpt from Equilibrium Interest Rate and Liquidity Premium Under Proportional Transactions Costs In this paper we analyze the impact of transactions costs on the rates of return on liquid and illiquid assets. We consider an infinite horizon economy with finitely lived agents along the lines of Blanchard(1985). In this economy agents face a constant probability of death, and the population is kept constant by an inflow of new arrivals. Agents start with no financial wealth and receive a decreasing stream of labor income over their lifetimes. In addition they can invest in long term assets which pay a constant stream of dividends. There are two such assets, the liquid asset and the illiquid asset. The liquid asset is traded without transaction costs, while trading the illiquid asset entails proportional transactions costs. Neither asset can be sold short. Agents buy and sell assets for lifecycle motives. In fact, they accumulate the higher yielding illiquid asset for long term investment purposes and the liquid asset for short term investment needs. We find that when transactions costs increase, the rate of return on the liquid asset decreases, while the rate of return on the illiquid asset may increase or decrease. We also find, quite naturally, that the liquidity premium increases. The effects of transactions costs on the rate of return on the liquid asset and on the liquidity premium, are stronger the higher the fraction of the illiquid assets in the economy. Finally, transactions costs have first order effects on asset returns and on the liquidity premium. We evaluate these effects for reasonable parameter values. Acknowledgments: We would like to thank participants in the Nber Conference on Asset Pricing in Philadelphia; participants at seminars at Mtt, New York University and Wharton; Drew Fudenberg, Mark Gertler, John Heaton and Jean Tirole for helpful comments and suggestions. We also wish to acknowledge financial support from the International Financial Services Research Center at the Sloan School of Management. Errors are ours. About the Publisher Forgotten Books publishes hundreds of thousands of rare and classic books. Find more at www.forgottenbooks.com This book is a reproduction of an important historical work. Forgotten Books uses state-of-the-art technology to digitally reconstruct the work, preserving the original format whilst repairing imperfections present in the aged copy. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in our edition. We do, however, repair the vast majority of imperfections successfully; any imperfections that remain are intentionally left to preserve the state of such historical works.
Author: Dimitri Vayanos
Publisher:
ISBN:
Category : Investments
Languages : en
Pages : 49
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Book Description
Author:
Publisher: Lulu.com
ISBN: 9291316695
Category : Bank capital
Languages : en
Pages : 294
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Book Description
Author: Sumru Altug
Publisher: Cambridge University Press
ISBN: 1139474367
Category : Business & Economics
Languages : en
Pages : 702
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Book Description
This introduction to general equilibrium modelling takes an integrated approach to the analysis of macroeconomics and finance. It provides students, practitioners, and policymakers with an easily accessible set of tools that can be used to analyze a wide range of economic phenomena. Key features: • Provides a consistent framework for understanding dynamic economic models • Introduces key concepts in finance in a discrete time setting • Develops simple recursive approach for analyzing a variety of problems in a dynamic, stochastic environment • Sequentially builds up the analysis of consumption, production, and investment models to study their implications for allocations and asset prices • Reviews business cycle analysis and the business cycle implications of monetary and international models • Covers latest research on asset pricing in overlapping generations models and on models with borrowing constraints and transaction costs • Includes end-of-chapter exercises allowing readers to monitor their understanding of each topic Online resources are available at www.cambridge.org/altug_labadie
Author: Shannon P. Pratt
Publisher: John Wiley & Sons
ISBN: 0470485450
Category : Business & Economics
Languages : en
Pages : 516
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Book Description
Business Valuation Discounts and Premiums SECOND EDITION Discounts and premiums do not just affect the value of a company; they play a crucial role in influencing a host of other factors and conditions that can make or break a deal. When it comes to business valuations, it's the business appraiser's responsibility to be intimately knowledgeable with every aspect of discounts and premiums: the different types, the situations when they may or may not apply, and how to quantify them. In this newly updated edition of Business Valuation: Discounts and Premiums, Shannon Pratt one of the nation's most recognized and respected business valuation consultants brings together the latest collective wisdom and knowledge about all major business discounts and premiums. Addressing the three basic approaches to conducting a valuation the income approach, the market approach, and the asset approach Shannon Pratt deftly and logically details the different discounts or premiums that may be applicable, depending on the basic valuation approach used, and how the valuation approaches used affect the level. Clearly written and thorough, Business Valuation: Discounts and Premiums, Second Edition provides business appraisers, accountants, attorneys, and business owners with an arsenal of information for their professional toolkit that can be applied to every major evaluation case they might face in any deal. This updated edition features timely, comprehensive coverage on: Strategic acquisitions Extensive empirical data Pre-IPO marketability discount studies Merger and acquisition negotiations, empirical evidence from completed transactions, and positions taken by courts in litigations Strategic acquisition premiums Studies on minority discounts Detailed, authoritative, and complete in its coverage, Business Valuation: Discounts and Premiums, Second Edition gets to the core of one of the more complex challenges faced by business appraisers, and arms readers with the understanding and techniques needed to successfully meet and exceed their job expectations.
Author: Jean-Luc Vila
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
In this paper we study the impact of transactions costs on the rates of return on liquid and illiquid assets using a continuous-time model of an overlapping generations economy. Agents in this economy start with no financial wealth and receive a stream of labor income over their lifetimes. They can invest in two long-term assets which pay a constant stream of dividends. The first asset is liquid and traded without costs, while the second asset is illiquid and its trading is subject to proportional costs. Agents buy and sell these assets for lifecycle motives In fact, they buy the higher yielding illiquid asset for long-term investment and the lower yielding liquid asset for short-term investment. We find that when transactions costs increase, the rate of return on the liquid asset decreases, while the rate of return on the illiquid asset may increase or decrease. We also find that if the fraction of the illiquid asset in the economy is higher, the liquidity premium is higher and the effect of transactions costs on the rate of return on the liquid asset is stronger.
Author: Yakov Amihud
Publisher: Now Publishers Inc
ISBN: 1933019123
Category : Business & Economics
Languages : en
Pages : 109
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Book Description
Liquidity and Asset Prices reviews the literature that studies the relationship between liquidity and asset prices. The authors review the theoretical literature that predicts how liquidity affects a security's required return and discuss the empirical connection between the two. Liquidity and Asset Prices surveys the theory of liquidity-based asset pricing followed by the empirical evidence. The theory section proceeds from basic models with exogenous holding periods to those that incorporate additional elements of risk and endogenous holding periods. The empirical section reviews the evidence on the liquidity premium for stocks, bonds, and other financial assets.
Author: Thierry Foucault
Publisher: Oxford University Press
ISBN: 0197542069
Category : Capital market
Languages : en
Pages : 531
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Book Description
"The process by which securities are traded is very different from the idealized picture of a frictionless and self-equilibrating market offered by the typical finance textbook. This book offers a more accurate and authoritative take on this process. The book starts from the assumption that not everyone is present at all times simultaneously on the market, and that participants have quite diverse information about the security's fundamentals. As a result, the order flow is a complex mix of information and noise, and a consensus price only emerges gradually over time as the trading process evolves and the participants interpret the actions of other traders. Thus, a security's actual transaction price may deviate from its fundamental value, as it would be assessed by a fully informed set of investors. The book takes these deviations seriously, and explains why and how they emerge in the trading process and are eventually eliminated. The authors draw on a vast body of theoretical insights and empirical findings on security price formation that have come to form a well-defined field within financial economics known as "market microstructure." Focusing on liquidity and price discovery, the book analyzes the tension between the two, pointing out that when price-relevant information reaches the market through trading pressure rather than through a public announcement, liquidity may suffer. It also confronts many striking phenomena in securities markets and uses the analytical tools and empirical methods of market microstructure to understand them. These include issues such as why liquidity changes over time and differs across securities, why large trades move prices up or down, and why these price changes are subsequently reversed, and why we observe temporary deviations from asset fair values"--
Author: Mr.Jaromir Benes
Publisher: International Monetary Fund
ISBN: 1475505523
Category : Business & Economics
Languages : en
Pages : 71
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Book Description
At the height of the Great Depression a number of leading U.S. economists advanced a proposal for monetary reform that became known as the Chicago Plan. It envisaged the separation of the monetary and credit functions of the banking system, by requiring 100% reserve backing for deposits. Irving Fisher (1936) claimed the following advantages for this plan: (1) Much better control of a major source of business cycle fluctuations, sudden increases and contractions of bank credit and of the supply of bank-created money. (2) Complete elimination of bank runs. (3) Dramatic reduction of the (net) public debt. (4) Dramatic reduction of private debt, as money creation no longer requires simultaneous debt creation. We study these claims by embedding a comprehensive and carefully calibrated model of the banking system in a DSGE model of the U.S. economy. We find support for all four of Fisher's claims. Furthermore, output gains approach 10 percent, and steady state inflation can drop to zero without posing problems for the conduct of monetary policy.
