scholarly journals Estimating Conditional Betas and the Price of Risk for a Thin Stock Market

1992 ◽  
Author(s):  
Markku Malkamäki
Keyword(s):  
Stock Market ◽  
Price Of Risk ◽  
Conditional Betas

EQUILIBRIUM WITH EXCESSIVE HOLDINGS CONSTRAINT: AN APPLICATION TO DC PENSION PLANS

2007 ◽  
Vol 10 (07) ◽  
pp. 1159-1190 ◽  
Author(s):  
ISSOUF SOUMARÉ
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Market Price ◽  
Pension Plans ◽  
Defined Contribution ◽  
Excess Returns ◽  
Market Price Of Risk ◽  
Price Of Risk ◽  
Special Case ◽  
Accurate Quantification

In this paper, I study the equilibrium implications when some investors in the economy overweight a subset of stocks within their portfolio. I find that the excess returns for the overweighted stocks are lower, all else being equal. This has strong testable implications for stock returns. In the special case of logarithmic preferences, the riskfree rate increases and the market price of risk for the overweighted stock decreases, which create extra incentive for unconstrained agents to exit the stock market and hold bonds, hence clearing the market. The changes of stocks' volatilities are ambiguous. Finally, I provide an accurate quantification for agents' welfare. I also discuss the implications of my model in the context of defined contribution pension plans where workers hold large shares of their employer.

Asset Prices and Pandemics: The Effects of Lockdowns

2021 ◽  
pp. 2240002
Author(s):  
Jerome Detemple
Keyword(s):  
Interest Rate ◽  
Stock Market ◽  
Real Wage ◽  
Asset Prices ◽  
Market Price ◽  
Market Price Of Risk ◽  
Economy Model ◽  
Price Of Risk ◽  
The Impact

We examine the impact of pandemics on equilibrium in an integrated epidemic-economy model with production. Two types of technologies are considered: a neo-classical technology and one capturing the notion of time-to-produce. The impact of a shelter-in-place policy with and without layoffs is studied. The paper documents adjustments in interest rate, market price of risk, stock market and real wage as the epidemic propagates. It shows the qualitative effects of a shelter-in-place policy in the model are consistent with the patterns displayed by the stock market and real wage during the COVID-19 outbreak. Puzzles emerging from the analysis are outlined.

Predicting Stock Market Performance

2020 ◽  
pp. 1-10
Author(s):  
Thomas Plieger ◽  
Thomas Grünhage ◽  
Éilish Duke ◽  
Martin Reuter
Keyword(s):  
Stock Market ◽  
Risk Taking ◽  
Life Stress ◽  
Price Volatility ◽  
Individual Characteristics ◽  
Self Report ◽  
Financial Behavior ◽  
Market Simulation ◽  
Stock Market Performance ◽  
Risk Taking Behavior

Abstract. Gender and personality traits influence risk proneness in the context of financial decisions. However, most studies on this topic have relied on either self-report data or on artificial measures of financial risk-taking behavior. Our study aimed to identify relevant trading behaviors and personal characteristics related to trading success. N = 108 Caucasians took part in a three-week stock market simulation paradigm, in which they traded shares of eight fictional companies that differed in issue price, volatility, and outcome. Participants also completed questionnaires measuring personality, risk-taking behavior, and life stress. Our model showed that being male and scoring high on self-directedness led to more risky financial behavior, which in turn positively predicted success in the stock market simulation. The total model explained 39% of the variance in trading success, indicating a role for other factors in influencing trading behavior. Future studies should try to enrich our model to get a more accurate impression of the associations between individual characteristics and financially successful behavior in context of stock trading.

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