"Overreaction" of asset prices in general equilibrium:
We attempt to explain the overreaction of asset prices to movements in short-term interest rates, dividends, and asset supplies. The key element of our explanation is a margin constraint that traders face which limits their leverage to a fraction of the value of their assets. Traders may lever thems...
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Cambridge, Mass.
1998
|
| Schriftenreihe: | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series
6747 |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | We attempt to explain the overreaction of asset prices to movements in short-term interest rates, dividends, and asset supplies. The key element of our explanation is a margin constraint that traders face which limits their leverage to a fraction of the value of their assets. Traders may lever themselves further, either directly by borrowing short term or indirectly by engaging in futures and options trading, so that the scenario is relevant to contemporary financial markets. When some shock pushes asset prices to a low enough level at which the margin constraint binds, traders are forced to liquidate assets. This drives asset prices below what they would be with frictionless markets. Also, a shock which simply increases the likelihood that the margin constraint will bind can have a very similar effect on asset prices. We construct a general equilibrium model with margin constrained traders and derive some qualitative properties of asset prices. We present an analytical solution for a deterministic version of the model and a simple numerical computation of the stochastic version. |
| Beschreibung: | 39, [6] S. graph. Darst. |
Internformat
MARC
| LEADER | 00000nam a2200000 cb4500 | ||
|---|---|---|---|
| 001 | BV012282811 | ||
| 003 | DE-604 | ||
| 005 | 19981222 | ||
| 007 | t | ||
| 008 | 981127s1998 xxud||| |||| 00||| eng d | ||
| 035 | |a (OCoLC)40428739 | ||
| 035 | |a (DE-599)BVBBV012282811 | ||
| 040 | |a DE-604 |b ger |e rakddb | ||
| 041 | 0 | |a eng | |
| 044 | |a xxu |c XD-US | ||
| 049 | |a DE-473 |a DE-19 |a DE-521 | ||
| 050 | 0 | |a HB1 | |
| 084 | |a QB 910 |0 (DE-625)141231: |2 rvk | ||
| 100 | 1 | |a Aiyagari, S. Rao |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a "Overreaction" of asset prices in general equilibrium |c S. Rao Aiyagari ; Mark Gertler |
| 264 | 1 | |a Cambridge, Mass. |c 1998 | |
| 300 | |a 39, [6] S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 1 | |a National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |v 6747 | |
| 520 | |a We attempt to explain the overreaction of asset prices to movements in short-term interest rates, dividends, and asset supplies. The key element of our explanation is a margin constraint that traders face which limits their leverage to a fraction of the value of their assets. Traders may lever themselves further, either directly by borrowing short term or indirectly by engaging in futures and options trading, so that the scenario is relevant to contemporary financial markets. When some shock pushes asset prices to a low enough level at which the margin constraint binds, traders are forced to liquidate assets. This drives asset prices below what they would be with frictionless markets. Also, a shock which simply increases the likelihood that the margin constraint will bind can have a very similar effect on asset prices. We construct a general equilibrium model with margin constrained traders and derive some qualitative properties of asset prices. We present an analytical solution for a deterministic version of the model and a simple numerical computation of the stochastic version. | ||
| 650 | 7 | |a Actif (comptabilité) - Prix - Modèles économétriques |2 ram | |
| 650 | 7 | |a Dividendes - Modèles économétriques |2 ram | |
| 650 | 7 | |a Risques - Modèles économétriques |2 ram | |
| 650 | 7 | |a Taux d'intérêt - Modèles économétriques |2 ram | |
| 650 | 4 | |a Ökonometrisches Modell | |
| 650 | 4 | |a Assets (Accounting) |x Prices |x Econometric models | |
| 650 | 4 | |a Dividends |x Econometric models | |
| 650 | 4 | |a Interest rates |x Econometric models | |
| 650 | 4 | |a Margins (Security trading) |x Econometric models | |
| 650 | 4 | |a Risk |x Econometric models | |
| 700 | 1 | |a Gertler, Mark |e Verfasser |4 aut | |
| 776 | 0 | 8 | |i Erscheint auch als |n Online-Ausgabe |
| 830 | 0 | |a National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |v 6747 |w (DE-604)BV002801238 |9 6747 | |
| 856 | 4 | 1 | |u http://papers.nber.org/papers/w6747.pdf |z kostenfrei |3 Volltext |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-008326874 | ||
Datensatz im Suchindex
| _version_ | 1804126906031800320 |
|---|---|
| any_adam_object | |
| author | Aiyagari, S. Rao Gertler, Mark |
| author_facet | Aiyagari, S. Rao Gertler, Mark |
| author_role | aut aut |
| author_sort | Aiyagari, S. Rao |
| author_variant | s r a sr sra m g mg |
| building | Verbundindex |
| bvnumber | BV012282811 |
| callnumber-first | H - Social Science |
| callnumber-label | HB1 |
| callnumber-raw | HB1 |
| callnumber-search | HB1 |
| callnumber-sort | HB 11 |
| callnumber-subject | HB - Economic Theory and Demography |
| classification_rvk | QB 910 |
| ctrlnum | (OCoLC)40428739 (DE-599)BVBBV012282811 |
| discipline | Wirtschaftswissenschaften |
| format | Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>02889nam a2200469 cb4500</leader><controlfield tag="001">BV012282811</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">19981222 </controlfield><controlfield tag="007">t</controlfield><controlfield tag="008">981127s1998 xxud||| |||| 00||| eng d</controlfield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)40428739</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV012282811</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">rakddb</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="044" ind1=" " ind2=" "><subfield code="a">xxu</subfield><subfield code="c">XD-US</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-473</subfield><subfield code="a">DE-19</subfield><subfield code="a">DE-521</subfield></datafield><datafield tag="050" ind1=" " ind2="0"><subfield code="a">HB1</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QB 910</subfield><subfield code="0">(DE-625)141231:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Aiyagari, S. Rao</subfield><subfield code="e">Verfasser</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">"Overreaction" of asset prices in general equilibrium</subfield><subfield code="c">S. Rao Aiyagari ; Mark Gertler</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Cambridge, Mass.</subfield><subfield code="c">1998</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">39, [6] S.</subfield><subfield code="b">graph. Darst.</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="490" ind1="1" ind2=" "><subfield code="a">National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series</subfield><subfield code="v">6747</subfield></datafield><datafield tag="520" ind1=" " ind2=" "><subfield code="a">We attempt to explain the overreaction of asset prices to movements in short-term interest rates, dividends, and asset supplies. The key element of our explanation is a margin constraint that traders face which limits their leverage to a fraction of the value of their assets. Traders may lever themselves further, either directly by borrowing short term or indirectly by engaging in futures and options trading, so that the scenario is relevant to contemporary financial markets. When some shock pushes asset prices to a low enough level at which the margin constraint binds, traders are forced to liquidate assets. This drives asset prices below what they would be with frictionless markets. Also, a shock which simply increases the likelihood that the margin constraint will bind can have a very similar effect on asset prices. We construct a general equilibrium model with margin constrained traders and derive some qualitative properties of asset prices. We present an analytical solution for a deterministic version of the model and a simple numerical computation of the stochastic version.</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Actif (comptabilité) - Prix - Modèles économétriques</subfield><subfield code="2">ram</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Dividendes - Modèles économétriques</subfield><subfield code="2">ram</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Risques - Modèles économétriques</subfield><subfield code="2">ram</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Taux d'intérêt - Modèles économétriques</subfield><subfield code="2">ram</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Ökonometrisches Modell</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Assets (Accounting)</subfield><subfield code="x">Prices</subfield><subfield code="x">Econometric models</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Dividends</subfield><subfield code="x">Econometric models</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Interest rates</subfield><subfield code="x">Econometric models</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Margins (Security trading)</subfield><subfield code="x">Econometric models</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Risk</subfield><subfield code="x">Econometric models</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Gertler, Mark</subfield><subfield code="e">Verfasser</subfield><subfield code="4">aut</subfield></datafield><datafield tag="776" ind1="0" ind2="8"><subfield code="i">Erscheint auch als</subfield><subfield code="n">Online-Ausgabe</subfield></datafield><datafield tag="830" ind1=" " ind2="0"><subfield code="a">National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series</subfield><subfield code="v">6747</subfield><subfield code="w">(DE-604)BV002801238</subfield><subfield code="9">6747</subfield></datafield><datafield tag="856" ind1="4" ind2="1"><subfield code="u">http://papers.nber.org/papers/w6747.pdf</subfield><subfield code="z">kostenfrei</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-008326874</subfield></datafield></record></collection> |
| id | DE-604.BV012282811 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T18:24:53Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-008326874 |
| oclc_num | 40428739 |
| open_access_boolean | 1 |
| owner | DE-473 DE-BY-UBG DE-19 DE-BY-UBM DE-521 |
| owner_facet | DE-473 DE-BY-UBG DE-19 DE-BY-UBM DE-521 |
| physical | 39, [6] S. graph. Darst. |
| publishDate | 1998 |
| publishDateSearch | 1998 |
| publishDateSort | 1998 |
| record_format | marc |
| series | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |
| series2 | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |
| spelling | Aiyagari, S. Rao Verfasser aut "Overreaction" of asset prices in general equilibrium S. Rao Aiyagari ; Mark Gertler Cambridge, Mass. 1998 39, [6] S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 6747 We attempt to explain the overreaction of asset prices to movements in short-term interest rates, dividends, and asset supplies. The key element of our explanation is a margin constraint that traders face which limits their leverage to a fraction of the value of their assets. Traders may lever themselves further, either directly by borrowing short term or indirectly by engaging in futures and options trading, so that the scenario is relevant to contemporary financial markets. When some shock pushes asset prices to a low enough level at which the margin constraint binds, traders are forced to liquidate assets. This drives asset prices below what they would be with frictionless markets. Also, a shock which simply increases the likelihood that the margin constraint will bind can have a very similar effect on asset prices. We construct a general equilibrium model with margin constrained traders and derive some qualitative properties of asset prices. We present an analytical solution for a deterministic version of the model and a simple numerical computation of the stochastic version. Actif (comptabilité) - Prix - Modèles économétriques ram Dividendes - Modèles économétriques ram Risques - Modèles économétriques ram Taux d'intérêt - Modèles économétriques ram Ökonometrisches Modell Assets (Accounting) Prices Econometric models Dividends Econometric models Interest rates Econometric models Margins (Security trading) Econometric models Risk Econometric models Gertler, Mark Verfasser aut Erscheint auch als Online-Ausgabe National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 6747 (DE-604)BV002801238 6747 http://papers.nber.org/papers/w6747.pdf kostenfrei Volltext |
| spellingShingle | Aiyagari, S. Rao Gertler, Mark "Overreaction" of asset prices in general equilibrium National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series Actif (comptabilité) - Prix - Modèles économétriques ram Dividendes - Modèles économétriques ram Risques - Modèles économétriques ram Taux d'intérêt - Modèles économétriques ram Ökonometrisches Modell Assets (Accounting) Prices Econometric models Dividends Econometric models Interest rates Econometric models Margins (Security trading) Econometric models Risk Econometric models |
| title | "Overreaction" of asset prices in general equilibrium |
| title_auth | "Overreaction" of asset prices in general equilibrium |
| title_exact_search | "Overreaction" of asset prices in general equilibrium |
| title_full | "Overreaction" of asset prices in general equilibrium S. Rao Aiyagari ; Mark Gertler |
| title_fullStr | "Overreaction" of asset prices in general equilibrium S. Rao Aiyagari ; Mark Gertler |
| title_full_unstemmed | "Overreaction" of asset prices in general equilibrium S. Rao Aiyagari ; Mark Gertler |
| title_short | "Overreaction" of asset prices in general equilibrium |
| title_sort | overreaction of asset prices in general equilibrium |
| topic | Actif (comptabilité) - Prix - Modèles économétriques ram Dividendes - Modèles économétriques ram Risques - Modèles économétriques ram Taux d'intérêt - Modèles économétriques ram Ökonometrisches Modell Assets (Accounting) Prices Econometric models Dividends Econometric models Interest rates Econometric models Margins (Security trading) Econometric models Risk Econometric models |
| topic_facet | Actif (comptabilité) - Prix - Modèles économétriques Dividendes - Modèles économétriques Risques - Modèles économétriques Taux d'intérêt - Modèles économétriques Ökonometrisches Modell Assets (Accounting) Prices Econometric models Dividends Econometric models Interest rates Econometric models Margins (Security trading) Econometric models Risk Econometric models |
| url | http://papers.nber.org/papers/w6747.pdf |
| volume_link | (DE-604)BV002801238 |
| work_keys_str_mv | AT aiyagarisrao overreactionofassetpricesingeneralequilibrium AT gertlermark overreactionofassetpricesingeneralequilibrium |