Excess Volatility and Predictability of Stock Prices in Autoregressive Dividend Models with Learning PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Excess Volatility and Predictability of Stock Prices in Autoregressive Dividend Models with Learning PDF full book. Access full book title Excess Volatility and Predictability of Stock Prices in Autoregressive Dividend Models with Learning by Allan Timmermann. Download full books in PDF and EPUB format.
Author: Allan Timmermann
Publisher:
ISBN:
Category : Stock price forecasting
Languages : en
Pages : 35
Get Book Here
Book Description
Author: Allan Timmermann
Publisher:
ISBN:
Category : Stock price forecasting
Languages : en
Pages : 35
Get Book Here
Book Description
Author: Allan Timmermann
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
Author: Allan Timmermann
Publisher:
ISBN:
Category : Stock price forecasting
Languages : en
Pages : 29
Get Book Here
Book Description
Author: Allan G. Timmermann
Publisher:
ISBN:
Category :
Languages : en
Pages : 41
Get Book Here
Book Description
Author: Klaus Adam
Publisher:
ISBN:
Category :
Languages : en
Pages : 55
Get Book Here
Book Description
Introducing bounded rationality into a standard consumption based asset pricing model with a representative agent and time separable preferences strongly improves empirical performance. Learning causes momentum and mean reversion of returns and thereby excess volatility, persistence of price-dividend ratios, long-horizon return predictability and a risk premium, as in the habit model of Campbell and Cochrane (1999), but for lower risk aversion. This is obtained, even though we restrict consideration to learning schemes that imply only small deviations from full rationality. The findings are robust to the particular learning rule used and the value chosen for the single free parameter introduced by learning, provided agents forecast future stock prices using past information on prices.
Author: Allan G. Timmermann
Publisher:
ISBN:
Category :
Languages : en
Pages : 32
Get Book Here
Book Description
Author: John Y. Campbell
Publisher:
ISBN:
Category : Capital assets pricing model
Languages : en
Pages : 76
Get Book Here
Book Description
We present a consumption-based model that explains the procyclical variation of stock prices, the long-horizon predictability of excess stock returns, and the countercyclical variation of stock market volatility. Our model has an i.i.d. consumption growth driving process, and adds a slow-moving external habit to the standard power utility function. The latter feature produces cyclical variation in risk aversion, and hence in the prices of risky assets. Our model also predicts many of the difficulties that beset the standard power utility model, including Euler equation rejections, no correlation between mean consumption growth and interest rates, very high estimates of risk aversion, and pricing errors that are larger than those of the static CAPM. Our model captures much of the history of stock prices, given only consumption data. Since our model captures the equity premium, it implies that fluctuations have important welfare costs. Unlike many habit-persistence models, our model does not necessarily produce cyclical variation in the risk free interest rate, nor does it produce an extremely skewed distribution or negative realizations of the marginal rate of substitution.
Author: John Y. Campbell
Publisher:
ISBN:
Category : Dividends
Languages : en
Pages : 40
Get Book Here
Book Description
Author: Laurent E. Calvet
Publisher: Academic Press
ISBN: 0080559964
Category : Business & Economics
Languages : en
Pages : 273
Get Book Here
Book Description
Calvet and Fisher present a powerful, new technique for volatility forecasting that draws on insights from the use of multifractals in the natural sciences and mathematics and provides a unified treatment of the use of multifractal techniques in finance. A large existing literature (e.g., Engle, 1982; Rossi, 1995) models volatility as an average of past shocks, possibly with a noise component. This approach often has difficulty capturing sharp discontinuities and large changes in financial volatility. Their research has shown the advantages of modelling volatility as subject to abrupt regime changes of heterogeneous durations. Using the intuition that some economic phenomena are long-lasting while others are more transient, they permit regimes to have varying degrees of persistence. By drawing on insights from the use of multifractals in the natural sciences and mathematics, they show how to construct high-dimensional regime-switching models that are easy to estimate, and substantially outperform some of the best traditional forecasting models such as GARCH. The goal of Multifractal Volatility is to popularize the approach by presenting these exciting new developments to a wider audience. They emphasize both theoretical and empirical applications, beginning with a style that is easily accessible and intuitive in early chapters, and extending to the most rigorous continuous-time and equilibrium pricing formulations in final chapters. Presents a powerful new technique for forecasting volatility Leads the reader intuitively from existing volatility techniques to the frontier of research in this field by top scholars at major universities The first comprehensive book on multifractal techniques in finance, a cutting-edge field of research
Author: George W. Evans
Publisher: Princeton University Press
ISBN: 0691049211
Category : Business & Economics
Languages : en
Pages : 439
Get Book Here
Book Description
A crucial challenge for economists is to figure out how people interpret the world and form expectations that are likely to influence their economic activity. This work examines a variety of expectation formation models by focusing on the learning factor.
