Intertemporal asset pricing: evidence from Germany ; with 27 tables
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Heidelberg
Physica-Verl.
1999
|
| Series: | Contributions to economics
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XII, 287 S. graph. Darst. |
| ISBN: | 3790811599 |
Staff View
MARC
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| 245 | 1 | 0 | |a Intertemporal asset pricing |b evidence from Germany ; with 27 tables |c Bernd Meyer |
| 264 | 1 | |a Heidelberg |b Physica-Verl. |c 1999 | |
| 300 | |a XII, 287 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 0 | |a Contributions to economics | |
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| 650 | 4 | |a Capital assets pricing model | |
| 650 | 4 | |a Capital -- Germany -- Econometric models | |
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| 650 | 4 | |a Assets (Accounting) -- Valuation -- Germany -- Mathematical models | |
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Record in the Search Index
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| adam_text | Contents
1 Introduction 1
1.1 Subject of Analysis 1
1.2 International Evidence on the Risk free Rate and the Equity
Premium 3
1.3 Purpose and Outline of Analysis 9
1 Intertemporal Asset Pricing: Theory 13
2 The Market Pricing Kernel Approach 15
2.1 The Market Pricing Kernel 15
2.1.1 Definition 15
2.1.2 Equivalent Characterizations 16
2.1.3 Absence of Arbitrage Opportunities 18
2.1.4 Existence of a One period Risk free Asset 19
2.1.5 Completeness of the Market 19
2.2 Arbitrage Free Versus Equilibrium Asset Pricing 20
2.3 Market Pricing Kernel and Linear Asset Pricing 21
2.4 Summary of Chapter 2 23
3 Implications of Asset Prices for the Market Pricing Kernel 25
3.1 Implications of Specific Asset Price Processes 25
3.2 Estimating Conditional Distributions from Asset Prices ... 26
3.3 Placing Restrictions on the Unconditional Distribution Using
Time Series of Asset Returns 29
3.3.1 Motivation 29
3.3.2 Variance Bounds of the Market Pricing Kernel .... 32
3.3.2.1 Variance Bound Imposed by One Risky Asset 32
3.3.2.2 Variance Bound Imposed by More than One
Risky Asset 35
3.3.3 Statistical Tests of Parametrized Market Pricing Ker¬
nels Using Variance Bounds 38
3.4 Summary of Chapter 3 40
X Contents
4 Parametric Models of the Market Pricing Kernel 41
4.1 Conditional Capital Asset Pricing 42
4.2 Consumption based Equilibrium Asset Pricing 46
4.2.1 Intertemporal Consumption and Investment Choice
of a Representative Agent 46
4.2.1.1 Intertemporal Consumption and Investment
Choice of Individuals 47
4.2.1.2 Preferences over Consumption Paths .... 48
4.2.1.3 Optimal Intertemporal Consumption and
Investment Choice of Individuals 59
4.2.1.4 Aggregation of Individual Behavior 64
4.2.1.5 Summary 67
4.2.2 Representative Agent with Time additive Expected
Utility 68
4.2.2.1 Time additive Expected Utility with Con¬
stant Relative Risk Aversion 68
4.2.2.2 Deriving the Market Pricing Kernel 69
4.2.2.3 The Consumption based CAPM 69
4.2.2.4 Time additive Expected Logarithmic Utility
and the Static CAPM 73
4.2.3 Representative Agent with Recursive Non expected
Utility 74
4.2.3.1 Recursive Non expected Utility 75
4.2.3.2 Deriving the Market Pricing Kernel 79
4.2.3.3 A Two factor CAPM 82
4.3 Summary of Chapter 4 85
5 The Calibration Approach for Empirically Investigating
Parametric Models of the Market Pricing Kernel 87
5.1 Calibration Versus Estimation 87
5.2 Calibration of a Model Economy with i.i.d. Production
Growth: An Illustrative Example 96
5.2.1 The Model Economy 96
5.2.2 Equilibrium Rates of Return Implied by Time
additive Expected Utility 97
5.2.3 Equilibrium Rates of Return Implied by Recursive
Non expected Utility 98
5.2.4 Excursus: Equivalence of Both Utility Specifications
under i.i.d. Consumption Growth 99
5.3 Review of Studies Applying the Calibration Approach .... 101
5.4 Summary of Chapter 5 106
Contents XI
II Intertemporal Asset Pricing: Empirical Analysis 107
6 Overview and Description of Data 109
6.1 Overview 109
6.2 Description of Data Ill
6.2.1 Asset Price Data Ill
6.2.1.1 Original Time Series Ill
6.2.1.2 Length of Time Interval and Method of Re¬
turn Calculation 116
6.2.1.3 Estimating Dividend Returns 121
6.2.2 Real Tax Adjusted Returns 123
6.2.2.1 German Tax Rates, Taxation Scenarios and
the Marginal Investor 123
6.2.2.2 Calculating Real Tax Adjusted Returns . . 127
6.2.2.3 Stylized Facts about Real Tax Adjusted Re¬
turns 127
6.2.3 Consumption Data 132
7 Analyzing Variance Bounds of the Market Pricing Kernel 139
7.1 Implications of Different Return Time Series for the Market
Pricing Kernel 140
7.1.1 Bounds Implied by Different Sets of Assets 140
7.1.2 Sensitivity to the Method of Return Calculation . . . . 141
7.1.3 Effects of Taxation 143
7.1.4 Sensitivity to the Length of the Time Intervals . . . . 144
7.1.5 Summary 146
7.2 Implications for the Parameters of Parametric Models of the
Market Pricing Kernel 147
7.2.1 Parametric Model Derived from Time additive Ex¬
pected Utility with Constant Relative Risk Aversion 148
7.2.2 Parametric Model Derived from Time additive Ex¬
pected Logarithmic Utility 153
7.2.3 Parametric Model Derived from Recursive Non
expected Utility 154
7.2.4 Summary 157
8 Applying the Calibration Approach 159
8.1 A Model Economy with State switching Production Growth 161
8.1.1 Reasons for a State switching Economy 161
8.1.2 Implied Equilibrium Rates of Return 163
8.1.2.1 Return on the Market Portfolio 163
8.1.2.2 Risk free Rate of Return 164
8.1.2.3 Risk Premium on the Market Portfolio ... 165
8.1.3 The Markov State switching Model 166
XII Contents
8.1.3.1 Estimation of the Model 166
8.1.3.2 Evaluation of the Model 168
8.1.3.3 Simulation of the Model 173
8.2 Analysis of the Non levered Market Portfolio 174
8.2.1 Time additive Expected Utility 174
8.2.2 Recursive Non expected Utility 178
8.2.3 Summary 181
8.3 Analysis of the Levered Market Portfolio 182
8.3.1 Equity Equals Levered Market Portfolio 182
8.3.2 Implied Equilibrium Return on Equity 184
8.3.3 Calibration Results 185
8.3.3.1 Time additive Expected Utility 185
8.3.3.2 Recursive Non expected Utility 190
8.3.4 Summary 193
8.4 Separating Consumption and Dividends 195
8.4.1 The Bivariate Model 195
8.4.2 Implied Equilibrium Return on Equity 197
8.4.3 Growth Rates of Payoff on Equity 198
8.4.4 The Bivariate Markov State switching Model 202
8.4.4.1 Estimation of the Model 202
8.4.4.2 Evaluation of the Model 206
8.4.4.3 Simulation of the Model 207
8.4.5 Calibration Results 209
8.4.6 Summary 217
8.5 Summary of Chapter 8 218
9 Evaluating the Calibrated Equilibrium Models 221
9.1 Additional Unconditional Properties of Implied Rates of Return222
9.1.1 Properties of One period Returns 222
9.1.2 Mean Reversion in Multiperiod Returns 225
9.2 Using Conditional Moments 232
9.3 Summary of Chapter 9 239
10 Conclusion 241
Appendix 249
A.I Expected Value of the Product of Jointly Lognormally Dis¬
tributed Variables 249
A.2 Additional Tables and Figures 251
List of Symbols 263
List of Tables 267
List of Figures 271
Bibliography 275
|
| any_adam_object | 1 |
| author | Meyer, Bernd 1946- |
| author_GND | (DE-588)130220418 |
| author_facet | Meyer, Bernd 1946- |
| author_role | aut |
| author_sort | Meyer, Bernd 1946- |
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| building | Verbundindex |
| bvnumber | BV012189887 |
| callnumber-first | H - Social Science |
| callnumber-label | HG5494 |
| callnumber-raw | HG5494.M49 1998 |
| callnumber-search | HG5494.M49 1998 |
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| callnumber-subject | HG - Finance |
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| dewey-full | 332.0410943 332/.041/094321 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.0410943 332/.041/0943 21 |
| dewey-search | 332.0410943 332/.041/0943 21 |
| dewey-sort | 3332.0410943 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Book |
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| geographic | Deutschland Deutschland (DE-588)4011882-4 gnd |
| geographic_facet | Deutschland |
| id | DE-604.BV012189887 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T18:23:20Z |
| institution | BVB |
| isbn | 3790811599 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-008261376 |
| oclc_num | 260098841 |
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| physical | XII, 287 S. graph. Darst. |
| publishDate | 1999 |
| publishDateSearch | 1999 |
| publishDateSort | 1999 |
| publisher | Physica-Verl. |
| record_format | marc |
| series2 | Contributions to economics |
| spelling | Meyer, Bernd 1946- Verfasser (DE-588)130220418 aut Intertemporal asset pricing evidence from Germany ; with 27 tables Bernd Meyer Heidelberg Physica-Verl. 1999 XII, 287 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Contributions to economics Mathematisches Modell Ökonometrisches Modell Capital market -- Germany Capital assets pricing model Capital -- Germany -- Econometric models Assets (Accounting) -- Prices -- Germany -- Econometric models Assets (Accounting) -- Valuation -- Germany -- Mathematical models Analyse (DE-588)4122795-5 gnd rswk-swf Kapitalmarkttheorie (DE-588)4137411-3 gnd rswk-swf Preisbildung (DE-588)4047103-2 gnd rswk-swf Mehr-Perioden-Modell (DE-588)4388956-6 gnd rswk-swf Zeitfaktor (DE-588)4190602-0 gnd rswk-swf Kapitalmarkt (DE-588)4029578-3 gnd rswk-swf Modell (DE-588)4039798-1 gnd rswk-swf Deutschland Deutschland (DE-588)4011882-4 gnd rswk-swf Kapitalmarkt (DE-588)4029578-3 s Preisbildung (DE-588)4047103-2 s Zeitfaktor (DE-588)4190602-0 s DE-604 Deutschland (DE-588)4011882-4 g Modell (DE-588)4039798-1 s Kapitalmarkttheorie (DE-588)4137411-3 s Mehr-Perioden-Modell (DE-588)4388956-6 s Analyse (DE-588)4122795-5 s HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008261376&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Meyer, Bernd 1946- Intertemporal asset pricing evidence from Germany ; with 27 tables Mathematisches Modell Ökonometrisches Modell Capital market -- Germany Capital assets pricing model Capital -- Germany -- Econometric models Assets (Accounting) -- Prices -- Germany -- Econometric models Assets (Accounting) -- Valuation -- Germany -- Mathematical models Analyse (DE-588)4122795-5 gnd Kapitalmarkttheorie (DE-588)4137411-3 gnd Preisbildung (DE-588)4047103-2 gnd Mehr-Perioden-Modell (DE-588)4388956-6 gnd Zeitfaktor (DE-588)4190602-0 gnd Kapitalmarkt (DE-588)4029578-3 gnd Modell (DE-588)4039798-1 gnd |
| subject_GND | (DE-588)4122795-5 (DE-588)4137411-3 (DE-588)4047103-2 (DE-588)4388956-6 (DE-588)4190602-0 (DE-588)4029578-3 (DE-588)4039798-1 (DE-588)4011882-4 |
| title | Intertemporal asset pricing evidence from Germany ; with 27 tables |
| title_auth | Intertemporal asset pricing evidence from Germany ; with 27 tables |
| title_exact_search | Intertemporal asset pricing evidence from Germany ; with 27 tables |
| title_full | Intertemporal asset pricing evidence from Germany ; with 27 tables Bernd Meyer |
| title_fullStr | Intertemporal asset pricing evidence from Germany ; with 27 tables Bernd Meyer |
| title_full_unstemmed | Intertemporal asset pricing evidence from Germany ; with 27 tables Bernd Meyer |
| title_short | Intertemporal asset pricing |
| title_sort | intertemporal asset pricing evidence from germany with 27 tables |
| title_sub | evidence from Germany ; with 27 tables |
| topic | Mathematisches Modell Ökonometrisches Modell Capital market -- Germany Capital assets pricing model Capital -- Germany -- Econometric models Assets (Accounting) -- Prices -- Germany -- Econometric models Assets (Accounting) -- Valuation -- Germany -- Mathematical models Analyse (DE-588)4122795-5 gnd Kapitalmarkttheorie (DE-588)4137411-3 gnd Preisbildung (DE-588)4047103-2 gnd Mehr-Perioden-Modell (DE-588)4388956-6 gnd Zeitfaktor (DE-588)4190602-0 gnd Kapitalmarkt (DE-588)4029578-3 gnd Modell (DE-588)4039798-1 gnd |
| topic_facet | Mathematisches Modell Ökonometrisches Modell Capital market -- Germany Capital assets pricing model Capital -- Germany -- Econometric models Assets (Accounting) -- Prices -- Germany -- Econometric models Assets (Accounting) -- Valuation -- Germany -- Mathematical models Analyse Kapitalmarkttheorie Preisbildung Mehr-Perioden-Modell Zeitfaktor Kapitalmarkt Modell Deutschland |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008261376&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT meyerbernd intertemporalassetpricingevidencefromgermanywith27tables |