Hidden persistent disasters and asset prices

DOI10.1007/S10436-013-0226-5MaRDI QIDQ481370zbMATH OpenOpenAlexFDO

Authors Masataka Suzuki

Publication date 12 December 2014

Published in Annals of Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10436-013-0226-5

zbMATH Keywords

asset pricingequity premiumequity volatilitypersistent disastersstochastic differential utility

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Applications of statistics to economics (62P20) Economic growth models (91B62)

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Cites work

• Continuous-time security pricing. A utility gradient approach
• Finding generators for Markov chains via empirical transition matrices, with applications to credit ratings
• scientific article; zbMATH DE number 1546925 (Why is no real title available?)
• Rare disasters and asset markets in the twentieth century
• Stochastic Differential Utility
• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
• The peso problem hypothesis and stock market returns
• Variable rare disasters: an exactly solved framework for ten puzzles in macro-finance

Cited in

(4)

• On the welfare cost of rare housing disasters
• Long-run risk and hidden growth persistence
• Learning about Rare Disasters: Implications For Consumption and Asset Prices*
• Disaster learning and aggregate investment

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