Saving based asset pricing models: a contribution to the solution of the equity premium puzzle
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
Hamburg
Kovač
2012
|
| Schriftenreihe: | Schriftenreihe Volkswirtschaftliche Forschungsergebnisse
174 |
| Schlagworte: | |
| Online-Zugang: | Ausfuehrliche Beschreibung Inhaltsverzeichnis |
| Beschreibung: | Literaturverz. S. 133 - 140 |
| Beschreibung: | XVI, 186 S. graph. Darst. 210 mm x 148 mm, 264 g |
| ISBN: | 9783830061472 |
Internformat
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| 245 | 1 | 0 | |a Saving based asset pricing models |b a contribution to the solution of the equity premium puzzle |c Johannes Kabderian Dreyer |
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Datensatz im Suchindex
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| adam_text | IMAGE 1
CONTENTS
1. PREFACE 1
2. CCAPM: DEFINITION, PROBLEMS AND RELATIONS 5
2.1. CCAPM - A SHORT OVERVIEW 5
2.2. CCAPM AND THE MEAN-VARIANCE FRONTIER 9
2.2.1. FROM THE CCAPM TO THE MEAN-VARIANCE FRONTIER . . . 9 2.2.2.
SPANNING THE FRONTIER 11
2.2.3. SLOPE OF THE FRONTIER 12
2.3. CCAPM AND THE CAPM 12
2.4. THE EQUITY PREMIUM PUZZLE 14
2.4.1. CCAPM AND THE EQUITY PREMIUM PUZZLE 14 2.4.2. NONLINEAR
ESTIMATIONS OF THE CCAPM 17
2.4.2.1. CCAPM ESTIMATION WITH ONLY ONE ASSET . . 17 2.4.2.2. CCAPM
ESTIMATION WITH TWO ASSETS SIMUL- TANEOUSLY 21
3. ATTEMPTS TO SOLVE THE EQUITY PREMIUM PUZZLE 25
3.1. IMPERFECT MARKETS 25
3.1.1. RISK RELATED EXPLANATIONS OF THE EQUITY PREMIUM . . 26 3.1.1.1.
NONSYSTEMATIC BICORNE RISK 26
3.1.1.2. DISASTER STATES 26
3.1.1.3. SURVIVORSHIP BIAS 27
3.1.2. NON RISK RELATED EXPLANATIONS OF THE EQUITY PREMIUM 28 3.1.2.1.
BORROWING CONSTRAINTS 28
3.1.2.2. THE PROXY FOR THE RISKLESS ASSET 30
3.1.2.3. REGULATION CHANGES 31
3.1.2.4. INVESTOR HETEROGENEITY AND INTERMEDIATION COSTS 33
3.2. SUPPLY MODELS 34
3.2.1. ASSET PRICING AS A RESULT OF THE FIRM S OPTIMAL IN- VESTMENT
DECISION 34
3.2.2. ASSET PRICING AS A RESULT OF PRODUCTION FUNCTIONS IN GENERAL
EQUILIBRIUM MODELS 36
BIBLIOGRAFISCHE INFORMATIONEN HTTP://D-NB.INFO/1017631549
DIGITALISIERT DURCH
IMAGE 2
CONTENTS
3.3. ALTERNATIVE ASSUMPTIONS ABOUT PREFERENCES 38
3.3.1. BEHAVIORAL FINANCE 38
3.3.1.1. GENERALIZED DISAPPOINTMENT AVERSION THE- ORY 39
3.3.1.2. PROSPECT THEORY 41
3.3.2. HABIT FORMATION 44
3.3.2.1. INTERNAL HABIT FORMATION 44
3.3.2.2. EXTERNAL HABIT FORMATION 45
3.3.3. GENERALIZED EXPECTED UTILITY 46
4. SAVING BASED ASSET PRICING MODEL WITH AGGREGATED WEALTH 49 4.1.
SAVING BASED ASSET PRICING MODEL (SCAPM) 50
4.1.1. MODEL OVERVIEW: 50
4.1.2. ESTIMATION OF THE SCAPM 52
4.2. SAVING BASED PRICING MODEL WITH HUMAN CAPITAL (HSCAPM) 58 4.2.1.
WHY HUMAN CAPITAL? 58
4.2.2. METHOD TO ESTIMATE HUMAN CAPITAL 60
4.2.3. ESTIMATING HUMAN CAPITAL 61
4.2.4. ESTIMATION OF THE HSCAPM 66
5. EXTENSIONS OF THE SCAPM 71
5.1. SCAPMS WITH LEISURE AND DISAGGREGATED WEALTH 72 5.1.1. GENERAL
VERSION (GSCAPM_D) 74
5.1.1.1. MODEL OVERVIEW 74
5.1.1.2. ESTIMATION 77
5.1.2. TWO SPECIAL CASES OF THE GSCAPM_D 90
5.1.2.1. SCAPM WITH DISAG. WEALTH (SCAPM_D) . . 92 5.1.2.2. LEISURE
CAPITAL ASSET PRICING MODEL . . .. 95 5.1.3. GSCAPM_D WITH FUTURE WEALTH
GROWTH 98 5.1.3.1. GSCAPM_DF: MODEL OVERVIEW 99
5.1.3.2. ESTIMATION 100
5.1.3.3. A SPECIAL CASE FOR THE GSCAPM_DF: THE SCAPM_DF 110
5.2. SCAPM WITH DISAG. WEALTH AND HUMAN CAP. (HSCAPM_D) 113 5.2.1. MODEL
OVERVIEW 113
5.2.2. ESTIMATION 116
5.2.3. HSCAPM_D WITH FUTURE WEALTH GROWTH 120 5.2.4. HSCAPM DF
ESTIMATION 121
IMAGE 3
CONTENTS
6. CONCLUSION 125
7. BIBLIOGRAPHY 133
A. APPENDIXES 141
A.I. DATA PRESENTATION 141
A.2. CCAPM 148
A.2.1. FIRST ORDER CONDITION 148
A.2.2. RISK ADJUSTMENT 149
A.3. MEAN-VARIANCE FRONTIER 150
A.3.1. HANSEN-JAGANNATHAN LOWER BOUND OF THE PRICING KER- NEL 150
A.3.2. LOG-NORMALITY ASSUMPTION ON THE FRONTIER S SLOPE . 151 A.4.
RELATIONS OF THE CCAPM 152
A.4.1. CCAPM AND CAPM 152
A.4.2. REACHING THE COMMON CAPM EQUATION 154 A.5. CCAPM CANONICAL
VERSION 155
A.6. AN INTRODUCTION TO THE GENERALIZED METHOD OF MOMENTS . . 157 A.6.1.
OVERVIEW AND OBJECTIVES OF GMM 157
A.6.2. EXPLAINING THE MODEL 158
A.6.3. IDENTIFICATION 162
A.6.4. EVALUATION OF THE MODEL AND TESTING PARAMETERS . . . 162 A.6.5.
ADDING INSTRUMENTS TO THE GMM EULER EQUATION . . 163 A.6.5.1. SHORT
INTRODUCTION TO INSTRUMENTAL VARIABLES 163 A.6.5.2. PROCESSING
INSTRUMENTAL VARIABLES (SHORT EX-
AMPLE) 165
A.6.6. ASSUMPTIONS, ADAPTIONS AND RESTRICTIONS 168 A.7. SCAPM 169
A.7.1. DERIVING THE MODEL 169
A.7.2. PARAMETRIZATION 170
A.8. RELATION BETWEEN CONSUMPTION AND TOTAL WEALTH 171 A.9. GSCAPM_D 172
A.9.1. FIRST ORDER CONDITIONS 172
A.9.2. PARAMETRIZATION 173
A.10.GSCAPM_DF 176
A.10.1. FIRST ORDER CONDITIONS 176
A.10.2. PARAMETRIZATION 177
A.11.HSCAPM_D 179
A.11.1. FIRST ORDER CONDITIONS 179
A.11.2. PARAMETRIZATION 180
XI
IMAGE 4
CONTENTE
A.12.HSCAPM_DF 183
A.12.1. FIRST ORDER CONDITIONS 183
A.12.2. PARAMETRIZATION 184
|
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| spelling | Dreyer, Johannes Kabderian Verfasser (DE-588)1018922008 aut Saving based asset pricing models a contribution to the solution of the equity premium puzzle Johannes Kabderian Dreyer Hamburg Kovač 2012 XVI, 186 S. graph. Darst. 210 mm x 148 mm, 264 g txt rdacontent n rdamedia nc rdacarrier Schriftenreihe Volkswirtschaftliche Forschungsergebnisse 174 Literaturverz. S. 133 - 140 Zugl.: Eichstätt-Ingolstadt, Kath. Univ., Diss., 2011 Kapitalmarkt (DE-588)4029578-3 gnd rswk-swf Dividendenpolitik (DE-588)4070510-9 gnd rswk-swf CCAPM (DE-588)4201772-5 gnd rswk-swf Anlageverhalten (DE-588)4214003-1 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Anlageverhalten (DE-588)4214003-1 s CCAPM (DE-588)4201772-5 s Dividendenpolitik (DE-588)4070510-9 s Kapitalmarkt (DE-588)4029578-3 s DE-604 Schriftenreihe Volkswirtschaftliche Forschungsergebnisse 174 (DE-604)BV011622667 174 X:MVB text/html http://www.verlagdrkovac.de/978-3-8300-6147-2.htm Ausfuehrliche Beschreibung DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=024615105&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Dreyer, Johannes Kabderian Saving based asset pricing models a contribution to the solution of the equity premium puzzle Schriftenreihe Volkswirtschaftliche Forschungsergebnisse Kapitalmarkt (DE-588)4029578-3 gnd Dividendenpolitik (DE-588)4070510-9 gnd CCAPM (DE-588)4201772-5 gnd Anlageverhalten (DE-588)4214003-1 gnd |
| subject_GND | (DE-588)4029578-3 (DE-588)4070510-9 (DE-588)4201772-5 (DE-588)4214003-1 (DE-588)4113937-9 |
| title | Saving based asset pricing models a contribution to the solution of the equity premium puzzle |
| title_auth | Saving based asset pricing models a contribution to the solution of the equity premium puzzle |
| title_exact_search | Saving based asset pricing models a contribution to the solution of the equity premium puzzle |
| title_full | Saving based asset pricing models a contribution to the solution of the equity premium puzzle Johannes Kabderian Dreyer |
| title_fullStr | Saving based asset pricing models a contribution to the solution of the equity premium puzzle Johannes Kabderian Dreyer |
| title_full_unstemmed | Saving based asset pricing models a contribution to the solution of the equity premium puzzle Johannes Kabderian Dreyer |
| title_short | Saving based asset pricing models |
| title_sort | saving based asset pricing models a contribution to the solution of the equity premium puzzle |
| title_sub | a contribution to the solution of the equity premium puzzle |
| topic | Kapitalmarkt (DE-588)4029578-3 gnd Dividendenpolitik (DE-588)4070510-9 gnd CCAPM (DE-588)4201772-5 gnd Anlageverhalten (DE-588)4214003-1 gnd |
| topic_facet | Kapitalmarkt Dividendenpolitik CCAPM Anlageverhalten Hochschulschrift |
| url | http://www.verlagdrkovac.de/978-3-8300-6147-2.htm http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=024615105&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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