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How does contagion affect general equilibrium asset prices?
Branger, Nicole; Kraft, Holger; Meinerding, Christoph - Research Center SAFE (Sustainable Architecture for … - 2013
This paper analyzes the equilibrium pricing implications of contagion risk in a Lucastree economy with recursive … endowment shocks and regime switches. Moreover, contagion risk reduces the risk-free rate by around 0.5%. We also derive … analyze cross-sectional effects of contagion risk qualitatively. We find that heterogeneity among the assets with respect to …
Persistent link: https://www.econbiz.de/10010955143
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What is the impact of stock market contagion on an investor's portfolio choice?
Branger, Nicole; Kraft, Holger; Meinerding, Christoph - 2009
risk of crashes in other stocks (or indices). Our paper explicitly takes this contagion risk into account and studies its … investor significantly adjusts his portfolio when contagion is more likely to occur. Capturing the time dimension of contagion … portfolio decisions. Investors ignoring contagion completely or accounting for contagion while ignoring its time dimension …
Persistent link: https://www.econbiz.de/10010316140
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What is the impact of stock market contagion on an investor's portfolio choice?
Branger, Nicole; Kraft, Holger; Meinerding, Christoph - 2009
risk of crashes in other stocks (or indices). Our paper explicitly takes this contagion risk into account and studies its … investor significantly adjusts his portfolio when contagion is more likely to occur. Capturing the time dimension of contagion … portfolio decisions. Investors ignoring contagion completely or accounting for contagion while ignoring its time dimension …
Persistent link: https://www.econbiz.de/10009764762
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How does contagion affect general equilibrium asset prices?
Branger, Nicole; Kraft, Holger; Meinerding, Christoph - 2013 - This version: March 13, 2013
This paper analyzes the equilibrium pricing implications of contagion risk in a Lucastree economy with recursive … endowment shocks and regime switches. Moreover, contagion risk reduces the risk-free rate by around 0.5%. We also derive … analyze cross-sectional effects of contagion risk qualitatively. We find that heterogeneity among the assets with respect to …
Persistent link: https://www.econbiz.de/10010226025
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The Case of Herding ist Stronger than You Think
Bohl, Martin T.; Branger, Nicole; Trede, Mark - Center for Quantitative Economics (CQE), … - 2015
In case of herding, investors follow each other, prices move together more than they normally do, and the cross-sectional dispersion of returns decreases. Chang, Cheng, and Khorana (2000) suggest to test for herding by regressing the cross-sectional absolute deviation on the absolute and squared...
Persistent link: https://www.econbiz.de/10011127576
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Equilibrium asset pricing in networks with mutually exciting jumps
Branger, Nicole; Konermann, Patrick; Meinerding, Christoph - Research Center SAFE (Sustainable Architecture for … - 2014
We analyze the implications of the structure of a network for asset prices in a general equilibrium model. Networks are represented via self- and mutually exciting jump processes, and the representative agent has Epstein-Zin preferences. Our approach provides a flexible and tractable unifying...
Persistent link: https://www.econbiz.de/10010960471
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Asset pricing under uncertainty about shock propagation
Branger, Nicole; Grüning, Patrick; Kraft, Holger; … - Research Center SAFE (Sustainable Architecture for … - 2013
We analyze the equilibrium in a two-tree (sector) economy with two regimes. The output of each tree is driven by a jump-diffusion process, and a downward jump in one sector of the economy can (but need not) trigger a shift to a regime where the likelihood of future jumps is generally higher....
Persistent link: https://www.econbiz.de/10010982106
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Commodities, financialization, and heterogeneous agents
Branger, Nicole; Grüning, Patrick; Schlag, Christian - 2016
The term 'financialization' describes the phenomenon that commodity contracts are traded for purely financial reasons and not for motives rooted in the real economy. Recently, financialization has been made responsible for causing adverse welfare effects especially for low-income and low-wealth...
Persistent link: https://www.econbiz.de/10011539953
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"Nobody is perfect": Asset pricing and long-run survival when heterogeneous investors exhibit different kinds of filtering errors
Branger, Nicole; Schlag, Christian; Wu, Lue - 2015
In this paper we analyze an economy with two heterogeneous investors who both exhibit misspecified filtering models for the unobservable expected growth rate of the aggregated dividend. A key result of our analysis with respect to long-run investor survival is that there are degrees of model...
Persistent link: https://www.econbiz.de/10011315454
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Can Tests Based on Option Hedging Errors Correctly Identify Volatility Risk Premia?
Branger, Nicole; Schlag, Christian - 2004
Tests for the existence and the sign of the volatility risk premium are often based on expected option hedging errors. When the hedge is performed under the ideal conditions of continuous trading and correct model specification, the sign of the premium is the same as the sign of the mean hedging...
Persistent link: https://www.econbiz.de/10010263305