This paper studies an overlapping generations model with multiple securities and heterogeneously informed agents. There are two types of multiplicity of equilibria, one due to noisy rational expectations and the other resulting from self-fulfilling prophecies. Under general conditions, there exists an equilibrium in which stock returns are highly volatile and strongly correlated, even if all un...

This study analyzes the accuracy of forecasted target prices which are disclosed by leading investment banks within their analysts’ reports on German stocks for the period from 2002 to 2004. We compute a measure for target price forecast accuracy that evaluates the ability of analysts to exactly forecast the ex-ante (unknown) 12-months stock price. Overall, the target price forecasting accuracy...

Modifying the proof of a theorem of Wilkie, it is shown that if a one dimnsional set S is definable in an O minimal expansion of the ordered field of the reals, and if it is regularly exponentially near to many integral points, then there is an unbounded set, which is R definable without parameters, and which is exponentially near to S.

In this article we will describe some of the main developments in interest-rate modelling since Black & Scholes’ (1973) and Merton’s (1973) original articles on the pricing of equity derivatives. In particular, we will focus on continuoustime, arbitrage-free models for the full term structure of interest rates. Other models which model a limited number of key interest rates or which operate in ...

Labour and the Market Value of the Firm What role does labour play in firms’ market value? We explore this question using a production-based asset-pricing model with frictions in the adjustment of both capital and labor. We posit that hiring of labour is akin to investment in capital and that the two interact, with the interaction being a crucial determinant of market value behaviour. We use ag...

In the history of gold market, contemporary prices are higher than previous values, and current market is highly non-linear unpredictable. Gold most popular precious metal for investment out all metals. The like other markets, vulnerable to speculation volatility. has served as a secure base in several countries when compared metals used investment. this study, we suggest time series model pred...

t Wilkie's stochastic investment model and its variants have been increasingly applied by actuaries around the world to actuarial modeling and simulation. This paper performs time series outlier analysis on retail price inflation, which is the driving force of Wilkie's composite model. The data come from four developed countries: the United Kingdom, the United States, Canada, and Australia. The...

I revisit the relationship between growth and volatility in two di¤erent disaggregated data sets. I con...rm that growth and volatility are negatively related across countries, but show that across sectors, the relation is the opposite. This phenomenon, sometimes called “Simpson’s fallacy”, has a natural interpretation in the present context: it is the component of aggregate volatility that is ...

A central difficulty in economics is to create a model economy that has both good business cycle properties and good asset pricing properties. Macro models have the former, fail in the latter. Finance models typically work with endowment economies, and are hard to integrate with macro. I show how to solve this difficulty by a simple, portable, modelling device, the “disasterization” procedure. ...