CEPR: Financial Economics (Topic)最新文献_第4页

Quid Pro Quo in Ipos: Why Book-Building is Dominating Auctions ipo中的交换条件:为何询价主导了拍卖

CEPR: Financial Economics (Topic) Pub Date : 2004-06-01 DOI: 10.2139/SSRN.668387

François Degeorge, F. Derrien, Kent L. Womack

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引用次数: 38

Trading European Sovereign Bonds: The Microstructure of the Mts Trading Platforms 欧洲主权债券交易:Mts交易平台的微观结构

CEPR: Financial Economics (Topic) Pub Date : 2004-03-01 DOI: 10.2139/ssrn.424936

Y. Cheung, B. Rindi, Frank de Jong

引用次数: 114

A New Test of Capital Structure 资本结构的新检验

CEPR: Financial Economics (Topic) Pub Date : 2004-02-01 DOI: 10.2139/ssrn.643388

C. Mayer, Oren Sussman

引用次数: 125

Informational Efficiency of Credit Default Swap and Stock Markets: The Impact of Credit Rating Announcements 信用违约互换的信息效率与股票市场:信用评级公告的影响

CEPR: Financial Economics (Topic) Pub Date : 2004-02-01 DOI: 10.1016/J.JBANKFIN.2004.06.011

Lars Norden, Martin Weber

引用次数: 684

Country and Industry Dynamics in Stock Returns 股票收益的国家和行业动态

CEPR: Financial Economics (Topic) Pub Date : 2003-03-01 DOI: 10.5089/9781451847277.001.A001

Luís A. V. Catão, A. Timmermann

引用次数: 19

The Role of Risk Aversion and Intertemporal Substitution in Dynamic Consumption-Portfolio Choice with Recursive Utility 风险规避和跨期替代在递归效用下消费-投资组合动态选择中的作用

CEPR: Financial Economics (Topic) Pub Date : 2003-02-01 DOI: 10.2139/ssrn.423960

Harjoat S. Bhamra, R. Uppal

{"title":"The Role of Risk Aversion and Intertemporal Substitution in Dynamic Consumption-Portfolio Choice with Recursive Utility","authors":"Harjoat S. Bhamra, R. Uppal","doi":"10.2139/ssrn.423960","DOIUrl":"https://doi.org/10.2139/ssrn.423960","url":null,"abstract":"The objective of this paper is to understand the implications for consumption and portfolio choice of the separation of an investor’s risk aversion and elasticity of intertemporal substitution that is made possible by recursive utility, in contrast to expected utility, where the two are governed by the same parameter. In particular, we study exactly how risk aversion and elasticity of intertemporal substitution affect optimal dynamic consumption and portfolio decisions. For a three-date, discrete-time model with a stochastic interest rate, we obtain an exact analytic solution for the optimal consumption and portfolio policies. We find that, in general, the consumption and portfolio decisions depend on both risk aversion and the elasticity of intertemporal substitution. Only in the case where the investment opportunity set is constant, is the optimal portfolio weight independent of the elasticity of intertemporal substitution. We also find that the size of risk aversion relative to unity determines the sign of the intertemporal hedging component in the optimal portfolio, while elasticity of intertemporal substitution affects only the magnitude of the hedging component.","PeriodicalId":9906,"journal":{"name":"CEPR: Financial Economics (Topic)","volume":"8 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2003-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"89359536","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 60

The Political Economy of Finance 金融的政治经济学

CEPR: Financial Economics (Topic) Pub Date : 2001-12-01 DOI: 10.1093/OXREP/17.4.502

M. Pagano, P. Volpin

引用次数: 357