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Alternative asset

About: Alternative asset is a research topic. Over the lifetime, 1140 publications have been published within this topic receiving 22801 citations.


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Journal ArticleDOI
TL;DR: In this article, an intertemporal model of international asset pricing is constructed which admits differences in consumption opportunity sets across countries, and it is shown that the real expected excess return on a risky asset is proportional to the covariance of the return of that asset with changes in the world real consumption rate.

823 citations

Journal ArticleDOI
TL;DR: In this article, the authors studied the implications for optimal portfolio decisions and equilibrium asset prices of the hypothesis that agents care about other agents' consumption level (in addition to their own) in two settings: a one-period CAPM model and a multi-period asset pricing model.
Abstract: The author studies the implications for optimal portfolio decisions and equilibrium asset prices of the hypothesis that agents care about other agents' consumption level (in addition to their own). That hypothesis is introduced in two settings: (1) a one-period CAPM model and (2) a multiperiod asset pricing model. The presence of externalities is shown to affect the optimal risky share, as well as the size of adjustments in the latter in response to exogenous changes in the risk-adjusted equity premium. In equilibrium, the equity premium is also affected by the sign and the intensity of the externalities. Copyright 1994 by Ohio State University Press.

655 citations

Journal ArticleDOI
TL;DR: The main result is that information does affect asset prices, and a difference of 10 percentage points in the probability of information-based trading between two stocks leads to a difference in their expected returns of 2.5 percent per year.
Abstract: In this research we investigate the role of information-based trading in affecting asset returns. Our premise is that in a dynamic market asset prices are continually adjusting to new information. This evolution dictates that the process by which asset prices become informationally efficient cannot be separated from the process generating asset returns. Using the structure of a sequential trade market microstructure model, we derive an explicit measure of the probability of information-based trading for an individual stock, and we estimate this measure using high-frequency data for NYSE-listed stocks for the period 1983-1998. The resulting estimates are a time-series of individual stock probabilities of information-based trading for a very large cross section of stocks. We investigate whether these information probabilities affect asset returns by incorporating our estimates into a Fama-French [1992] asset pricing framework. Our main result is that information does affect asset prices: stocks with higher probabilities of information-based trading require higher rates of return. Indeed, we find that a difference of 10 percentage points in the probability of information-based trading between two stocks leads to a difference in their expected returns of 2.5% per year. We interpret our results as providing strong support for the premise that information affects asset pricing fundamentals.

483 citations

Journal ArticleDOI
TL;DR: In this paper, the authors present different formal definitions of what a bubble is, and the basic intuition is straightforward: if the reason that the price is high today is only because investors believe that the selling price will be high tomorrow, when "fundamental" factors do not seem to justify such a price, then a bubble exists.
Abstract: The papers in this symposium represent the divergent views of economists on an important issue: the extent to which prices of assets represent "fundamental" values. If asset prices do not reflect fundamentals well, and if these skewed asset prices have an important effect on resource allocations, then the confidence of economists in the efficiency of market allocations of investment resources is, to say the least, weakened. The problem of determining the fundamental value of an asset to be held for an extended period of time has three parts: first, the problem of estimating the returns received over time (the rent on the land, the dividends on the stock); second, the problem of estimating the terminal value the asset will have at the end of the period; and third, the problem of deciding upon the discount rates to be used for translating future returns into current values. If the expectations of investors change in such a way that they believe they will be able to sell an asset for a higher price in the future than they had been expecting, then the current price of the asset will rise. While the papers in the symposium present different formal definitions of what a bubble is, the basic intuition is straightforward: if the reason that the price is high today is only because investors believe that the selling price will be high tomorrow—when "fundamental" factors do not seem to justify such a price—then a bubble exists. At least in the short run, the high price of the asset is merited, because it yields a return (capital gain plus dividend) equal to that on alternative assets. In the 1960s, the golden years of growth theory, several economists asked whether market forces could ensure that bubbles do not arise, or that every bubble must eventually be broken. Focusing on models where individuals had "rational expecta-

424 citations

ReportDOI
TL;DR: The authors surveys the literature on the specification of models of asset markets and the implications of differences in specification for the macroeconomic adjustment process, and analyzes micro-economic theory of asset demands using stochastic calculus.
Abstract: This paper is a chapter in the forthcoming Handbook of International Economics. It surveys the literature on the specification of models of asset markets and the implications of differences in specification for the macroeconomic adjustment process. Builders of portfolio balance models have generally employed "postulated" asset demand functions, rather than deriving these directly from micro foundations. The first major sec-tion of the paper lays out a postulated general specification of asset markets and summarizes the fundamental short-run results of portfolio balance models using a very basic specification of asset markets. Then,rudimentary specifications of a balance of payments equation and goods market equilibrium conditions are supplied, so that the dynamic distribution effects of the trade account under static and rational expectations with both fixed goods prices and flexible goods prices can be analyzed.The second major section of the paper surveys and analyzes microfoundation models of asset demands using stochastic calculus. The microeconomic theory of asset demands implies some but not all of the properties of the basic specification of postulated asset demands at the macrolevel. Since the conclusions of macroeconomic analysis depend crucially on the form of asset demand functions, it is important to continue to explore the implications of micro foundations for macro specification.

408 citations


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Performance
Metrics
No. of papers in the topic in previous years
YearPapers
20237
202222
202124
202022
201931
201828