Showing papers by "Blake LeBaron published in 1990"
Posted Content•
TL;DR: In this article, the authors explore the time series implications of introducing credit constraints into a production based asset pricing model and show that mean reversion in simulated returns series, measured by variance ration tests, is enhanced with the introduction of binding credit constraints.
Abstract: This paper explores the time series implications of introducing credit constraints into a production based asset pricing model. Simulations are performed choosing parameter values which generate reasonable values for aggregate fluctuations. These results show that mean reversion in simulated returns series, measured by variance ration tests, is enhanced with the introduction of binding credit constraints. Without these constraints there is very little evidence of mean reversion. This is consistent with financial market data where the weak evidence for mean reversion is stronger in small firm returns. Other tests are run on the simulated series including checking the standard deviation, skewness, and kurtosis. These other tests do not show strong differences between the constrained and unconstrained firms in the model.
9 citations
Posted Content•
TL;DR: The authors explored the relation between serial correlation and volatility for several different stock return series at daily and weekly frequencies and found that serial correlations are changing over time and are related to stock return volatility.
Abstract: This article explores the relation between serial correlation and volatility for several different stock return series at daily and weekly frequencies. It is found that serial correlations are changing over time and are related to stock return volatility. An extension to the GARCH model is proposed and estimated, revealing parameters consistent with other findings in this article. Copyright 1992 by University of Chicago Press.(This abstract was borrowed from another version of this item.)
2 citations