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Asset Prices in General Equilibrium with Recursive Utility and Illiquidity Induced by Transactions Costs 

Buss, Adrian; Uppal, Raman; Vilkov, Grigory (2015-02-01)
In this paper, we study the effect of proportional transaction costs on consumption-portfolio decisions and asset prices in a dynamic general equilibrium economy with a financial market that has a single-period bond and ...
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Preference Evolution and the Dynamics of Capital Markets 

Curatola, Giuliano (2016-05-13)
This paper introduces endogenous preference evolution into a Lucas-type economy and explores its consequences for investors' trading strategy and the dynamics of asset prices. In equilibrium, investors herd and hold the ...
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International Capital Markets with Time-Varying Preferences 

Curatola, Giuliano; Dergunov, Ilya (2017-08-02)
We propose a 2-country asset-pricing model where agents' preferences change endogenously as a function of the popularity of internationally traded goods. We determine the effect of the time-variation of preferences on ...
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The Power of ESG Ratings on Stock Markets 

Latino, Carmelo; Pelizzon, Loriana; Rze?nik, Aleksandra (2021-03-10)
This paper studies the impact of environmental, social, and governance (ESG) ratings on investors’ preferences and stock prices. We exploit a change in ESG rating methodology that non-linearly shifted ESG ratings for firms ...
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Datastream 

Unbekannter Autor
Historical financial database with over 35 million individual instruments or indicators across all major asset classes, including 8.5 million active economic indicators. It features 70 years of data, across 175 countries ...
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Kenneth French 

Unbekannter Autor
The Fama-French Portfolios are constructed from the intersections of two portfolios formed on size, as measured by market equity (ME), and three portfolios using the ratio of book equity to market equity (BE/ME) as a proxy ...
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FRED 

Unbekannter Autor
Federal Reserve Economic Data (FRED) is a database maintained by the Research division of the Federal Reserve Bank of St. Louisthat has more than 500,000 economic time series from 87 sources. The data can be viewed in ...
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BEA 

Unbekannter Autor
The Bureau of Economic Analysis produces economic accounts statistics that enable government and business decision-makers, researchers, and the American public to follow and understand the performance of the Nation's economy.
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PSID 

Unbekannter Autor
The Panel Study of Income Dynamics (PSID) is the longest running longitudinal household survey in the world. The study began in 1968 with a nationally representative sample of over 18,000 individuals living in 5,000 families ...
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OECD 

Unbekannter Autor
The Organisation for Economic Co-operation and Development (OECD) is an international organisation that works to build better policies for better lives. Our goal is to shape policies that foster prosperity, equality, ...
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AutorCuratola, Giuliano (2)Pelizzon, Loriana (2)Buss, Adrian (1)... mehrForschungsbereichFinancial Markets (14)Household Finance (11)Macro Finance (8)... mehrJEL-Klassifizierung
G12 (16)
G11 (15)D51 (9)... mehrThemenSaving and Borrowing (9)Consumption (8)Macro Finance (6)... mehrSchlagwort
portfolio choice (16)
asset pricing (10)general equilibrium (9)... mehrErscheinungsdatum2021 (2)2015 (1)2016 (1)Has File(s)
Yes (16)
© 2021  SAFE  hebis Logo
Leibniz Gemeinschaft
Impressum  Datenschutz