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Learning from Prices, Liquidity Spillovers, and Market Segmentation

Cespa, Giovanni; Foucault, Thierry - C.E.P.R. Discussion Papers - 2011

We describe a new mechanism that explains the transmission of liquidity shocks from one security to another ("liquidity spillovers"). Dealers use prices of other securities as a source of information. As prices of less liquid securities convey less precise information, a drop in liquidity for...

Persistent link: https://www.econbiz.de/10009003369

Integration and Contagion in US Housing Markets

Cotter, John; Gabriel, Stuart; Roll, Richard - Geary Institute, University College Dublin - 2011

This paper explores integration and contagion among US metropolitan housing markets. The analysis applies Federal … contemporaneous and lagged jump correlations. Finally, the paper evaluates contagion in housing markets via parametric assessment of … California. Analysis of contagion among California markets indicates that house price returns in San Francisco often led those of …

Persistent link: https://www.econbiz.de/10009366261

Integration and contagion in US housing markets

Cotter, John; Gabriel, Stuart; Roll, Richard - Volkswirtschaftliche Fakultät, … - 2011

Persistent link: https://www.econbiz.de/10009367964

Learning from Prices, Liquidity Spillovers, and Market Segmentation

Cespa, Giovanni; Focault, Thierry - Centro Studi di Economia e Finanza (CSEF) - 2011

We describe a new mechanism that explains the transmission of liquidity shocks from one security to another (“liquidity spillovers”). Dealers use prices of other securities as a source of information. As prices of less liquid securities convey less precise information, a drop in liquidity...

Persistent link: https://www.econbiz.de/10009643233

Can metropolitan housing risk be diversified? A cautionary tale from the recent boom and bust

Cotter, John; Gabriel, Stuart; Roll, Richard - Geary Institute, University College Dublin - 2012

correlation, and contagion among US metropolitan housing markets. Results reveal a high and increasing level of integration among …

Persistent link: https://www.econbiz.de/10010907462

A Simple Characterization of Dynamic Completeness in Continuous Time

Diasakos, Theodoros M. - Collegio Carlo Alberto, Università degli Studi di Torino - 2011

I establish a necessary and sufficient condition for the securities' market to be dynamically-complete in a single-commodity, pure-exchange economy with many Lucas' trees whose dividends are geometric Brownian motions. Even though my analysis is based upon the representative-agent version of...

Persistent link: https://www.econbiz.de/10009320155

Does Human Capital Risk Explain The Value Premium Puzzle?

Sylvain, Serginio - Volkswirtschaftliche Fakultät, … - 2014

Using a general equilibrium model with endogenous growth, I show that risk to human capital leads to a “Value” premium in equity returns. In particular, firms with relatively more firm-specific human capital or more positive covariance between asset growth and returns on human capital are...

Persistent link: https://www.econbiz.de/10011110609

Growth to value: Option exercise and the cross section of equity returns

Ai, Hengjie; Kiku, Dana - In: Journal of Financial Economics 107 (2013) 2, pp. 325-349

We propose a general equilibrium model to study the link between the cross section of expected returns and book-to-market characteristics. We model two primitive assets: value assets and growth assets that are options on assets in place. The cost of option exercise, which is endogenously...

Persistent link: https://www.econbiz.de/10010616813

Economic Activity of Firms and Asset Prices

Kogan, Leonid; Papanikolaou, Dimitris - In: Annual Review of Financial Economics 4 (2012) 1, pp. 361-384

In this review we survey the recent research on the fundamental determinants of stock returns. These studies explore how firms' systematic risk and their investment and production decisions are jointly determined in equilibrium. Models with production provide insights into several types of...

Persistent link: https://www.econbiz.de/10010603965

On equilibrium prices in continuous time

Martins-da-Rocha, V. Filipe; Riedel, Frank - 2008

We combine general equilibrium theory and théorie générale of stochastic processes to derive structural results about equilibrium state prices.

Persistent link: https://www.econbiz.de/10010272583

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