Many empirical exercises estimating demand functions are concerned with dynamic effects of price and income changes over time. Researchers typically interested in getting estimates both short-run (SR) long-run (LR) elasticities, along their standard errors. This study aimed to contribute estimations elasticities world phosphate fertilisers. It answered the research question “How fertilisers is ...

Uncertainty appears to have both a short-run and a long-run component, which we measure using firm and macro implied volatility data from 30 days to 10 years duration. Examining a panel of over 4,000 firms from 1996 to 2013 we find that investment is significantly more sensitive to long-run uncertainty, while employment responds equally to shortand long-run uncertainty. We build a model to inve...

Classic, and Explicit Turnpikes Paolo Guasoni · Constantinos Kardaras · Scott Robertson · Hao Xing Received: date / Accepted: date Abstract Portfolio turnpikes state that, as the investment horizon increases, optimal portfolios for generic utilities converge to those of isoelastic utilities. This paper proves three kinds of turnpikes. In a general semimartingale setting, the abstract turnpike s...

A central challenge in asset pricing is the weak connection between stock returns and observable economic fundamentals. We provide evidence that this connection is stronger than previously thought. We use a modified version of the Bry-Boschan algorithm to identify long-run swings in the stock market. We call these swings long-run bull and bear episodes. We find that there is a high correlation ...

We use Bayesian statistical methods to compare the habit persistence asset pricing model of Campbell and Cochrane, the long run risks model of Bansal and Yaron, and the prospect theory model of Barberis, Huang, and Santos. We undertake two types of comparisons, relative and absolute, over two sample periods, 1930–2008 and 1950–2008, using two series, univariate U.S. stock returns and bivariate ...