Jump-diffusion processes and the term structure of interest rates

Article Abstract:

The authors investigate the term structure of interest rates when the underlying state variables and production technologies follow the jump-diffusion processes. Even in some cases where the traditional expectations theory about the term structure is consistent with general equilibrium under diffusion processes, the traditional theory is not consistent under jump-diffusion processes. It is shown that bond prices are strictly higher under jump risks than otherwise and that consumers with logarithmic utility functions will develop hedge portfolios in the presence of jump diffusion. (Reprinted by permission of the publisher.)

Management, Hedging (Finance), Markov processes

---

The effect of temporal risk aversion on optimal consumption, the equity premium, and the equilibrium interest rate

Article Abstract:

This paper demonstrates that temporal risk aversion makes smoothing consumption over time less attractive, while the usual risk aversion makes it more attractive. As temporal risk aversion increases, the equilibrium interest rate decreases and the equity premium increases. This paper also shows a striking and novel result that an increase in time impatience can lead to either a decrease or an increase in the interest rate, depending on the nature of the nonseparability. (Reprinted by permission of the publisher.)

Risk (Economics), Consumption (Economics)

---

Some aspects of equilibrium for a cross-section of firms signalling profitability with dividends: a note

Article Abstract:

Dividends on corporate stocks are commonly used to signal the corporation's profitability. Using the Bhattacharya model, research shows that, given equilibrium, dividends paid on stocks belonging to companies with higher corporate values will be above average as far as rate of return on investment. The primary requisite for such research is the proper characterization of the firms studied. Moreover, research shows that there is no direct relationship between dividends paid and corporate earnings.

Economic aspects, Stocks, Profit, Profits, Dividends

Similar abstracts:

• Abstracts: Outsourcing Services and Post-Life Services. Infrastructure software stocks. Storage hardware & software stocks
• Abstracts: Business and the moral maze. Elementary, my dear Watson. We must run the risk
• Abstracts: The real interest rate puzzle. The real interest rates puzzle
• Abstracts: Delayed reaction to good news and the cross-autocorrelation of portfolio returns
• Abstracts: Mission impossible. In the best position for a buyout. Employees share in success

This website is not affiliated with document authors or copyright owners. This page is provided for informational purposes only. Unintentional errors are possible.