This paper analyses the effect of an increase in market-wide uncertainty on information flow and asset price comovements. We use the daily realised volatility of the 30-year treasury bond futures to assess macroeconomic shocks that affect market-wide uncertainty. We use the ratio of a stock’s idiosyncratic realised volatility with respect to the S&P500 futures relative to its total realised vol...

The 1998 Survey of Consumer Finance data shows that only 48.8 percent of U.S. households owned stocks, either (i) directly or (ii) indirectly through mutual funds. In addition, there is a close relationship between shareholding and wealth. In 1998, 93 percent of the richest 1 percent of the population owned stocks; the richest 10 percent owned 85 percent of total stocks and mutual funds, compar...

This thesis intends to address an important cause of the 2007-2008 financial crisis by incorporating prediction on asset pricing jumps in asset pricing models, the non-normality of asset returns. Several different machine learning techniques, including the Unscented Kalman Filter and Approximate Planning are used, and an improvement in Approximate Planning is developed to improve algorithm time...

In this chapter we survey asset pricing in dynamic economies with heterogeneous, rational traders. By ‘rational’ we mean traders whose decisions can be described by preference maximization, where preferences are restricted to those which have an subjective expected utility (SEU) representation. By ’heterogeneous” we mean SEU traders with different and distinct payoff functions, discount factors...

We analyze monetary conditions in US asset markets — corporate equity, real estate, Treasury bond and corporate & foreign bond — from a market specific perspective, proposing the concept of market leverage. Market leverage measures the average leverage of all asset holders in a particular asset market. The concept builds on an accountingbased network that links balance sheet leverages of asset ...