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Long-lived collateralized assets and bubbles
(Elsevier Science Sa, 2011-05)
When infinite-lived agents trade long-lived assets secured by durable goods, equilibrium exists without any additional debt constraints or uniform impatience conditions on agents' characteristics. Also, price bubbles are ...
Term structure movements implicit in Asian option prices
(2008)
In this paper we implement dynamic term structure models that adopt bonds and Asian options in the estimation process. The goal is to analyse the pricing and hedging implications of term structure movements when options ...
Generalized disappointment aversion, long-run volatility risk, and asset prices
(2011)
We propose an asset pricing model with generalized disappointment aversion preferences and long-run volatility risk. With Markov switching fundamentals, we derive closed-form solutions for all returns moments and predictability ...
Hedging against the government: a solution to the home asset bias puzzle
(Amer Economic Assoc, 2013-01)
We explain why international nominal bonds and equity portfolios are biased domestically. In our model, holding domestic government nominal debt provides a hedge against shocks to bond returns and the impact on taxes they ...
An SDF approach to hedge funds' tail risk: evidence from Brazilian funds
(Sociedade Brasileira de Econometria, 2017-05-25)
The main purpose of this paper is to propose a methodology to obtain a hedge fund tail risk measure. Our measure builds on the methodologies proposed by \citet*{ag15} and \citet*{aagvg15}, which rely in solving dual ...
Assessing misspecified asset pricing models with empirical likelihood estimators
(Elsevier Science Sa, 2012-10)
Hansen and Jagannathan (1997) compare misspecified asset pricing models based on least-square projections on a family of admissible stochastic discount factors. We extend their fundamental contribution by considering Minimum ...
Financial market structures revealed by pricing rules: Efficient complete markets are prevalent
(Academic Press Inc., 2018)
It is well known that when an arbitrage-free financial market is incomplete or has tradable financial assets with frictions there must be multiple risk-neutral probability measures. The main motivation for the present study ...
A theory of capital gains taxation and business turnover
(Springer, 2007-09)
We present a theory concerning the realization of capital gains where ownership and control are linked as in Holmes and Schmitz (J. Pol. Econ. 103: 1005-1038, 1995). The model developed is a version of a Lucas-tree economy ...
Derivative pricing using multivariate affine generalized hyperbolic distributions
(Elsevier Science Bv, 2010-07)
In this paper we use multivariate affine generalized hyperbolic (MAGH) distributions, introduced by Schmidt et al. (2006), to show how to price multidimensional derivatives when the underlying asset follows a MAGH distribution. ...
Pricing rules and Arrow-Debreu ambiguous valuation
(2012)
This paper considers pricing rules of single-period securities markets with finitely many states. Our main result characterizes those pricing rules C that are super-replication prices of a frictionless and arbitrage-free ...