Intertemporal Asset Pricing: Evidence from Germany by Bernd MeyerIntertemporal Asset Pricing: Evidence from Germany by Bernd Meyer

Intertemporal Asset Pricing: Evidence from Germany

byBernd Meyer


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The book is the first one to analyse the "Equity Premium Puzzle" and the "Risk-free Rate Puzzle" in the German capital market. It starts with a thorough discussion of the available theoretical models and then goes on to perform various empirical studies, applying two recent approaches for the empirical investigation of intertemporal asset pricing models, the variance bound approach and the calibration approach. The book provides insights into the basic mechanisms of intertemporal equilibrium asset pricing models derived from the consumption and investment choice of individuals. It shows that with reasonable and not very complicated modifications of the standard intertemporal equilibrium models, especially with recursive preferences, important properties of German rates of return can be explained. The book adds much to the understanding of intertemporal asset pricing and recursive preferences and at the same time points to various directions for future research.
Title:Intertemporal Asset Pricing: Evidence from GermanyFormat:PaperbackDimensions:299 pages, 9.25 × 6.1 × 0.01 in

The following ISBNs are associated with this title:

ISBN - 10:3790811599

ISBN - 13:9783790811599


Table of Contents

Introduction: Subject of Analysis; International Evidence on the Risk-free Rate and the Equity Premium; Purpose and Outline of Analysis.- Intertemporal Asset Pricing: Theory: The Market Pricing Kernel Approach: The Market Pricing Kernel. Arbitrage Free versus Equilibrium Asset Pricing. Market Pricing Kernel and Linear Asset Pricing; Implications of Asset Prices for the Market Pricing Kernel: Implications of Specific Asset Price Processes. Estimating Conditional Distributions from Asset Prices. Placing Restrictions on the Unconditional Distribution using Time Series of Asset Returns; Parametric Models of the Market Pricing Kernel: Conditional Capital Asset Pricing. Consumption-based Equilibrium Asset Pricing; The Calibration Approach for Empirically Investgating Parametric Models of the Market Pricing Kernel: Calibration versus Estimation. Calibration of a Model Economy with i.i.d. Production Growth: An Illustrative Example. Review of Studies Applying the Calibration Approach.- Intertemporal Asset Pricing: Empirical Analysis: Overview and Description of Data: Overview. Description of Data; Analyzing Variance Bounds of the Market Pricing Kernel: Implications of Different Return Time Series for the Market Pricing Kernel. Implications for the Parameters of Parametric Models of the Market Pricing Kernel; Applying the Calibration Approach: A Model Economy with State-switching Production Growth. Analysis of the Non-levered Market Portfolio. Analysis of the Levered Market Portfolio. Separating Consumption and Dividends; Evaluating the Calibrated Equilibrium Models: Additional Unconditional Properties of Implied Rates of Return. Using Conditional Moments; Conclusion.