tailieunhanh - Fundamentals and Stock Returns in Japan

To test the model’s predictions we use a sample of Dutch households. In the Fall of 2003 we included some specific questions on trust, attitudes towards risk, ambiguity aversion, and optimism to a sample of 1,943 Dutch households as part of the annual Dutch National Bank (DNB) Household survey. These data were then matched with the 2003 wave of the DNB Household Survey, which has detailed information on households’ financial assets, income, and demographics. We measured the level of generalized trust by asking our sample the same question asked in the World Values Survey (a well-established cross country survey): “Generally speaking, would you say that most people. | Working Paper Series nlllllFINRISK National Centre of Competence in Research Financial Valuation and Risk Management National Centre of Competence in Research Financial Valuation and Risk Management Working Paper No. 488 Understanding Stock Return Volatility Emilio Osambela First version August 2008 Current version August 2008 This research has been carried out within the NCCR FINRISK project on Equilibrium Asset Pricing Die Nationalen Forschungsschwerpunkte NFS Sind ein Forderinstrument des Schweizerischen Nationalfonds. Les Poles de recherche nationaux PRN sont un instrument d encouragement du Fonds national suisse. The National Centres of Competence in Research NCCR are a research instrument of the Swiss National Science Foundation. GSklSB SCHWEIZERISCHER NaTIONALFONDS FONDS NATIONAL SUISSE Swiss National Science Foundation Understanding Stock Return Volatility EMILIO OSAMBELAy August 5 2008 Abstract This article studies the effect of limited commitment on stock return volatility in a dynamic general equilibrium economy populated by investors with heterogeneous beliefs. Due to heterogeneity of beliefs investors disagree about the fundamentals introducing an additional risk factor denoted sentiment risk. Limited commitment introduces an endogenous solvency constraint which scales up sentiment risk every time it binds which is labeled solvency risk. The equilibrium market price of risk which drives the short-run stock return volatility has three components endowment risk sentiment risk and solvency risk. The three components are persistent in line with volatility clustering or GARCH effects. The solvency risk component in the market price of risk is novel and it is the main contribution of the paper. It is related to the optimal exercise boundary of an American-style contingent claim and exhibits a markedly different pattern with transient persistence according to the binding of solvency constraints. This is consistent with multifactor volatility models. Due to .

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