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Saving Based Asset Pricing Models
A Contribution to the Solution of the Equity Premium Puzzle
Schriftenreihe volkswirtschaftliche Forschungsergebnisse
Although the Consumption Based Asset Pricing Model (1) (CCAPM) is appealing not least thanks to its simplicity, its empirical test results are poor. If linearized, the model gives support to two of the most studied problems in financial theory: the Risk Free Rate Puzzle (2) and the Equity Premium Puzzle (3), meaning that the return of the…
CCAPMConsumption Based Asset Pricing ModelEquity Premium PuzzleFinanzenGMM Weak InstrumentsHuman CapitalInvestor‘s BehaviorRisk AversionSaving Based Asset Pricing ModelSCAPMStock MarketVolkswirtschaftslehreWealth GrowthEssays on Micromotives and Macrobehavior, Expectation Formation, and Asset Price Dynamics
Schriftenreihe volkswirtschaftliche Forschungsergebnisse
This work collects the author’s recent investigations in interactions-based approaches in economics and finance that he undertook as a doctoral candidate in the program ‘‘Quantitative Economics‘‘ at the University of Kiel, Germany. The study is arranged in three parts and it contains seven chapters. The idea of the first part, a potential conflict between…
AggregationAsset PricingEstimation of DiffusionsExpectation FormationFinanzmathematikFokker-Planck EquationMacrobehaviorMicro MotivesOpinion DynamicsOrdinary Differential EquationsQuantitative SoziologieSegregationStochastic Differential EquationsStochastic Differential GamesVolkswirtschaftslehreStock Markets and Real-Time Macroeconomic Data
Schriftenreihe volkswirtschaftliche Forschungsergebnisse
It has been common practice in empirical studies to use revised macroeconomic data that are available to a researcher ex post for the analysis of historical time series. This practice, however, does not take into account that macroeconomic data are revised over time and that theses revisions can be substantial. Results of empirical analyses may change when data…
Evaluation of forecasting accuracyPerformance of investment strategiesPredictability of stock market volatilityPredictability of stock returnsProduction-based asset-pricing modelReal-time macroeconomic dataStock MarketsVolkswirtschaftslehreHäufige Schlagworte im Fachgebiet Betriebswirtschaft