We implement a dynamic asset pricing experiment in the spirit of Lucas (1978) with storable assets and non-storable cash. In one treatment we impose diminishing marginal returns to cash to incentivize consumption-smoothing across periods, while in a second treatment there is no induced motive for trade. In the former case we find that subjects use the asset to smooth consumption though the asse...

A terrorist defends an asset which grows from the first to the second period and is attacked. With large asset growth, the terrorist’s first period outcome is low caused by a large attack. With no expenditure constraint, the terrorist’s total outcome is positive. With equal attack and defense inefficiencies, when the terrorist as defender requires his first period outcome to be positive, the at...

Studies have shown that firm asset growth predicts cross-sectional stock returns. Firms that shrink their assets earn superior returns while firms that substantially expand their assets incur poor returns in the following years. I show that the negative asset growth often implies poor operating performance and a high probability subsequently to be delisted from the exchanges and that the high a...

The booming U.S. economy of the 1990s has created the impression that all American households are doing well, particularly in terms of wealth acquisition. Our results show that this is decidedly not the case. In this paper, we develop several measures of “asset poverty” and use them to document changes from 1983 to 1998 in the extent to which American households are unable to rely on an asset c...

Given the pattern-based multi-predictors of the stock price, we study a method of dynamic asset allocation to maximize the trading performance. To optimize the proportion of asset to be allocated to each recommendations of the predictors, we design an asset allocator called meta policy in the Q-learning framework. We utilize both the information of each predictor’s recommendations and the ratio...

We investigate a representative agent consumption-based asset pricing model with two states: low risk aversion and high risk aversion. We explore whether there is a reasonable parameterization capable of generating the empirically observed seasonally-varying equity and Treasury returns documented by Kamstra, Kramer, and Levi (2008). Calibrating the asset-pricing model to observed consumption da...

Effective tradingwith given pattern-based multi-predictors of stock price needs an intelligent asset allocation strategy. In this paper, we study a method of dynamic asset allocation, called the meta policy, which decides how much the proportion of asset should be allocated to each recommendation for trade. The meta policy makes a decision considering both the recommending information of multi-...

The growing share of financial assets that are held and managed by large institutional investors whose trades move prices contradicts the traditional asset pricing paradigm which assumes markets are competitive with small price-taking players. This paper relaxes the traditional price-taking assumption and instead presents a dynamic multi-asset, multi-large participant model of imperfect competi...

This paper considers an asset market subject to search frictions, where there are adjustment costs to the entry rate of buyers. An implication is that even in asset markets where the search frictions are very small, asset prices respond to changes in liquidity. Another implication is that asset liquidity is a state variable, the dynamics of which are analyzed. I demonstrate that transition path...