A theory of asset pricing based on heterogeneous information

by ElГ­as Albagli

Publisher: National Bureau of Economic Research in Cambridge, MA

Written in English
Published: Downloads: 279
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Edition Notes

StatementElias Albagli, Christian Hellwig, Aleh Tsyvinski
SeriesNBER working paper series -- working paper 17548, Working paper series (National Bureau of Economic Research : Online) -- working paper no. 17548.
ContributionsHellwig, Christian, Tsyvinski, Aleh, National Bureau of Economic Research
Classifications
LC ClassificationsHB1
The Physical Object
FormatElectronic resource
ID Numbers
Open LibraryOL25173141M
LC Control Number2011657457

Financial Asset Pricing Theory offers a comprehensive overview of the classic and the current research in theoretical asset pricing. Asset pricing is developed around the concept of a state-price deflator which relates the price of any asset to its future (risky) dividends and thus incorporates how to adjust for both time and risk in asset valuation. Introduction Market Incompleteness I Address failures of the representative agent paradigm in asset pricing by relaxing complete markets leaving preferences standard and trading costless. I Break the tight link between individual consumption and per capita consumption! I Dynamic self-insurance fails due to the permanence of the income shock (one-to-one translation of income . This book is intended as a textbook for Ph.D. students in finance and as a reference book for academics. It is written at an introductory level but includes detailed proofs and calculations as section appendices. It covers the classical results on single-period, discrete-time, and continuous-time models. It also treats various proposed explanations for the equity premium and risk-free .   This is a thoroughly updated edition of Dynamic Asset Pricing Theory, the standard text for doctoral students and researchers on the theory of asset pricing and portfolio selection in multiperiod settings under asset pricing results are based on the three increasingly restrictive assumptions: absence of arbitrage, single-agent optimality, and 5/5(1).

Praise for the First Edition: "This book provides a much-needed bridge between behavioral finance and traditional asset pricing theory, so that the insights from the two fields offer can complement each other. This book will make the theory of behavioral finance far more useful and broadly applicable.". (source: Nielsen Book Data) Summary From the field's leading authority, the most authoritative and comprehensive advanced-level textbook on asset pricing Financial Decisions and Markets is a graduate-level textbook that provides a broad overview of the field of asset pricing. Continuous-time finance was developed in the late sixties and early seventies by R. C. Merton. Over the years, due to its elegance and analytical conve­ nience, the continuous-time paradigm has become the standard tool of anal­ ysis in portfolio theory .   Asset Pricing and Portfolio Choice Theory by Kerry Back, , available at Book Depository with free delivery worldwide/5(15).

For equities, asset pricing is more difficult as future cash flows are uncertain, and vary with both economic conditions and the fortune of the company. We need to project future expected cash flows, and also determine the expected return of the stock. The estimated expected return of the stock is based on an estimate of how risky the cash. Macroeconomic asset pricing models and Agent-based dynamics. We are studying the out-of-equilibrium dynamics of markets with learning agents in a Lucas framework of asset pricing. This work is motivated by the need to understand market dynamics like high price volatility and pricing bubbles, which are not explained by traditional equilibrium. An Information-Theoretic Asset Pricing Model Anisha Ghoshy Christian Julliardz Alex P. Taylorx Ma Abstract We show that a non-parametric estimate of the pricing kernel, extracted using an information-theoretic approach, delivers smaller out-of-sample pricing errors and a better cross-sectional t than leading factor Size: 1MB. A dynamic stochastic model of asset pricing with het-erogeneous beliefs Serena Brianzoni, Roy Cerqueti, Elisabetta Michetti Abstract This paper presents a new stochastic model of asset pricing, based on agents with hetero-geneous beliefs. Forecasting rules of all agents are characterized by a stochastic term thatFile Size: 1MB.

A theory of asset pricing based on heterogeneous information by ElГ­as Albagli Download PDF EPUB FB2

A Theory of Asset Prices based on Heterogeneous Information Elias Albagli Central Bank of Chile noisy aggregation of heterogeneous information drives a systematic wedge between the impact of fundamentals on the price of a security, and the corresponding impact on risk-adjusted cash exible theory of asset pricing in which heterogeneity.

The book illustrates how information choice is used to answer questions in monetary economics, portfolio choice theory, business cycle theory, international finance, asset pricing, and other areas.

A Theory of Asset Pricing Based on Heterogeneous Information Elias Albagli, Christian Hellwig, and Aleh Tsyvinski NBER Working Paper No. October JEL No. E44,G12,G14,G30 ABSTRACT We propose a theory of asset prices that emphasizes heterogeneous information as the main element determining prices of different securities.

A Theory of Asset Pricing Based on Heterogeneous Information Elias Albagli, Christian Hellwig, Aleh Tsyvinski. NBER Working Paper No. Issued in October NBER Program(s):Asset Pricing Program, Corporate Finance Program, Economic Fluctuations and Growth Program We propose a theory of asset prices that emphasizes heterogeneous information as the main.

Get this from a library. A theory of asset A theory of asset pricing based on heterogeneous information book based on heterogeneous information. [Elías Albagli; Christian Hellwig; Aleh Tsyvinski; National Bureau of Economic Research.] -- We propose a theory of asset prices that emphasizes heterogeneous information as the main element determining prices of different securities.

Our main analytical innovation is in formulating a. Downloadable. We propose a theory of asset prices that emphasizes heterogeneous information as the main element determining prices of different securities. Our main analytical innovation is in formulating a model of noisy information aggregation through asset prices, which is parsimonious and tractable, yet flexible in the specification of cash flow risks.

General Equilibrium Asset Pricing. Under General equilibrium theory prices are determined through market pricing by supply and asset prices jointly satisfy the requirement that the quantities of each asset supplied and the quantities demanded must be equal at that price - so called market models are born out of modern portfolio theory, with the.

A Theory of Asset Prices based on Heterogeneous Investor Information and Limits to Arbitrage Elias Albagli USC Marshall Christian Hellwig Toulouse School of Economics Aleh Tsyvinski Yale University Aug Abstract We propose a theory of asset prices that emphasizes heterogeneous investor beliefs and.

"A Theory of Asset Prices Based on Heterogeneous Information," Levine's Working Paper ArchiveDavid K. Levine.

Christian Hellwig & Aleh Tsyvinski & Elias Albagli, "A theory of asset prices based on heterogeneous information," Meeting PapersSociety for Economic Dynamics. Motivation I This paper: asset pricing theory based on heterogeneous info and limited arbitrage I Parsimonious: all results derive from these 2 elements I General: tractability allows analysis of wide class of securities I Central message: systematic departure of prices from fundamentals I Beliefs are heterogeneous: private signal + price I Price = expectation of marginal trader.

This chapter presents a behavioral approach to asset pricing theory. Key psychological studies of representativeness, focusing on the intuition that underlies the main ideas, are also presented.

The chapter discusses how representativeness is first tested in the economics literature and how it can be introduced into a simple equilibrium model. and theory," Journal of Financial Economics,1{ 3 Materials The course is self-contained and not based on any one book.

John Cochrane’s book Asset Pricing comes closest to the course in terms of topics. You may also nd useful: Ljunqvist and Sargent, Recursive Macroeconomic Theory for coverage of dynamic.

"Written by a major contributor to the economics of financial markets, Financial Decisions and Markets is a comprehensive, insightful, and authoritative graduate-level introduction to asset pricing. This book stresses the interplay between theory, econometrics, and empirics, the hallmark of John Campbell's by: 8.

A by-product of our analysis is an approximate aggregation theory for general equilibrium heterogeneous agent asset pricing models. We thank seminar participants at CREST and UBC for helpful comments. In the 2nd edition of Asset Pricing and Portfolio Choice Theory, Kerry offers a concise yet comprehensive introduction to and overview of asset pricing.

Intended as a textbook for asset pricing theory courses at the Ph.D. or Masters in Quantitative Finance level with extensive exercises and a solutions manual available for professors, the book is also an essential /5(6). Abstract. We study how heterogeneous beliefs affect returns and examine whether they are a priced factor in traditional asset pricing models.

To accomplish this task, we suggest new empirical measures based on the disagreement among analysts about expected earnings (short-term and long-term) and show they are good by:   Asset Pricing and Portfolio Choice Theory - Ebook written by Kerry Back. Read this book using Google Play Books app on your PC, android, iOS devices.

Download for offline reading, highlight, bookmark or take notes while you Author: Kerry Back. In Asset Pricing and Portfolio Choice Theory, Kerry at last offers what is at once a welcoming introduction to and a comprehensive overview of asset pricing.

Useful as a textbook for graduate students in finance, with extensive exercises and a solutions manual available for professors, the book will also serve as an essential reference for scholars and Book Edition: 1. The Capital Asset Pricing Model (CAPM) is an example of an equilibrium model in which asset prices are related to the exogenous data, the tastes and endowments of investors although, as we shall see below, the CAPM is often presented as a relative pricing by: Description Theory of Asset Pricing unifies the central tenets and techniques of asset valuation into a single, comprehensive resource that is ideal for the first PhD course in asset pricing.

By striking a balance between fundamental theories and cutting-edge research, Pennacchi offers the reader a well-rounded introduction to modern asset pricing theory that does not require a high Format: On-line Supplement. Introduction to Asset Pricing Theory The theory of asset pricing is concerned with explaining and determining prices of financial assets in a uncertain world.

The asset prices we discuss would include prices of bonds and stocks, interest rates, exchange rates, and derivatives of all these underlying financial assets. Asset pricing is crucial. Get this from a library. Financial decisions and markets: a course in asset pricing.

[John Y Campbell] -- In Financial Decisions and Markets, John Campbell, one of the field's most respected authorities, provides a broad graduate-level overview of asset pricing. He introduces students to leading theories. The asset pricing models of financial economics describe the prices and expected rates of return of securities based on arbitrage or equilibrium theories.

These models are reviewed from an empirical perspective, emphasizing the relationships among the various models. A chapter on explaining puzzles and the last part of the book provide introductions to a number of additional current topics in asset pricing research, including rare disasters, long-run risks, external and internal habits, asymmetric and incomplete information, heterogeneous beliefs, and non-expected-utility preferences.

Arbitrage pricing theory (APT) is a multi-factor asset pricing model based on the idea that an asset's returns can be predicted using the linear relationship between the asset’s expected return.

In the 2nd edition of Asset Pricing and Portfolio Choice Theory, Kerry E. Back offers a concise yet comprehensive introduction to and overview of asset pricing. Intended as a textbook for asset pricing theory courses at the Ph.D. or Masters in /5(4). In finance, valuation is the process of determining the present value (PV) of an ions can be done on assets (for example, investments in marketable securities such as stocks, options, business enterprises, or intangible assets such as patents and trademarks) or on liabilities (e.g., bonds issued by a company).

Valuations are needed for many reasons such as. The most significant conceptual difference between the arbitrage pricing theory (APT) and the capital asset pricing model (CAPM) is that the CAPM _____. places less emphasis on market risk B. recognizes multiple unsystematic risk factors C. recognizes only one systematic risk factor D.

recognizes multiple systematic risk factors. Ill. CONSUMPTION-BASED ASSET PRICING MODELS Consumption-based asset pricing models are developed in Rubinstein (*), Breeden and Litzenberger (), and Breeden (*).

These models make assumptions on the form of the utility function and/or the joint probability distribution of consumption and excess asset returns with the objective ofCited by:   The theory of financial markets under homogeneous information has generated a rich body ofpredictions, extensively used in the financial industry, such as the optimality of indexing, therestrictions imposed by absence of arbitrage, and equilibrium-based pricing by:.

Stanford Libraries' official online search tool for books, media, journals, databases, government documents and : Back, K. (Kerry).Present value asset pricing.

The model incorporates one risky asset and one risk free asset. The latter is perfectly elastically supplied at given gross return R, where R = 1 + ors of different types h have different beliefs about the conditional expectation and the conditional variance of modelling variables based on a publicly available information set consisting of past Author: Miroslav Verbic.

Abstract. We study general equilibrium in a Lucas () economy with one consumption good and two investors with heterogeneous risk aversions and beliefs about aggregate consumption growth rate, and portfolio by: