کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
960390 | 929452 | 2011 | 22 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Explaining asset pricing puzzles associated with the 1987 market crash
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
مدیریت، کسب و کار و حسابداری
حسابداری
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چکیده انگلیسی
The 1987 market crash was associated with a dramatic and permanent steepening of the implied volatility curve for equity index options, despite minimal changes in aggregate consumption. We explain these events within a general equilibrium framework in which expected endowment growth and economic uncertainty are subject to rare jumps. The arrival of a jump triggers the updating of agents' beliefs about the likelihood of future jumps, which produces a market crash and a permanent shift in option prices. Consumption and dividends remain smooth, and the model is consistent with salient features of individual stock options, equity returns, and interest rates.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Economics - Volume 101, Issue 3, September 2011, Pages 552–573
Journal: Journal of Financial Economics - Volume 101, Issue 3, September 2011, Pages 552–573
نویسندگان
Luca Benzoni, Pierre Collin-Dufresne, Robert S. Goldstein,