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We show how to use conditioning information optimally to construct a sharper unconditional Hansen-Jagannathan (1991) bound. The approach in this paper is different from that of Gallant, Hansen and Tauchen (1990), but both approaches yield the same bound when the conditional moments are known. Unlike Gallant, Hansen and Tauchen, our approach is robust to misspecification of the first and second conditional moments. Potential applications include testing dynamic asset pricing models, studying the predictability of asset returns, diagnosing the accuracy of competing models for the first and second conditional moments of asset returns, dynamic asset allocation and mutual fund performance measurement. The illustration in this article starts with the familiar Hansen-Singleton (1983) setup of an autoregressive model for consumption growth and bond and stock returns. Our innovation is to add time-varying volatility to the model. Both an unconstrained version and a version with the restrictions of the standard consumption-based asset pricing model imposed serve as the data-generating processes to illustrate the behavior of the bounds. In the process, we discover and explore an interesting empirical phenomenon: asymmetric volatility in consumption growth.

Kernel functions. --- Assets (Accounting)

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Drawing on the work of the Austrian School and its heirs, Capital in Disequilibrium develops a modern, systematic version of capital theory in order to suggest a new approach to the subject of economics.

Capital. --- Economics. --- Economic theory --- Political economy --- Capital assets --- Fixed assets --- Social sciences --- Economic man --- Economics --- Capitalism --- Infrastructure (Economics) --- Wealth

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Portfolio management --- Investment analysis --- Capital assets pricing model --- Mathematical models --- Portfolio management - Mathematical models

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Remainders (Estates) --- Tax administration and procedure --- Trusts and trustees --- Gifts --- Assets (Accounting) --- Interest --- Taxation --- Rates and tables --- Valuation

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In the mid-eighties Mehra and Prescott showed that the risk premium earned by American stocks cannot reasonably be explained by conventional capital market models. Using time additive utility, the observed risk pre­ mium can only be explained by unrealistically high risk aversion parameters. This phenomenon is well known as the equity premium puzzle. Shortly aft­ erwards it was also observed that the risk-free rate is too low relative to the observed risk premium. This essay is the first one to analyze these puzzles in the German capital market. It starts with a thorough discussion of the available theoretical mod­ els and then goes on to perform various empirical studies on the German capital market. After discussing natural properties of the pricing kernel by which future cash flows are translated into securities prices, various multi­ period equilibrium models are investigated for their implied pricing kernels. The starting point is a representative investor who optimizes his invest­ ment and consumption policy over time. One important implication of time additive utility is the identity of relative risk aversion and the inverse in­ tertemporal elasticity of substitution. Since this identity is at odds with reality, the essay goes on to discuss recursive preferences which violate the expected utility principle but allow to separate relative risk aversion and intertemporal elasticity of substitution.

AA / International- internationaal --- 333.613 --- 305.91 --- 380.20 --- 380.26 --- 339.40 --- Activiteiten van de nationale en internationale markten. Beursnoteringen van aandelen en obligaties. --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles. --- Prijstheorieën: algemeenheden. --- Theorie van speculatie. --- Vermogenbeheer. financiële analyse (algemeenheden). --- Assets (Accounting) --- Capital assets pricing model. --- Capital market --- Capital --- Prices --- Econometric models. --- Valuation --- Mathematical models. --- Capital assets pricing model --- Capital assets --- Fixed assets --- Economics --- Capitalism --- Infrastructure (Economics) --- Wealth --- Capital markets --- Market, Capital --- Finance --- Financial institutions --- Loans --- Money market --- Securities --- Crowding out (Economics) --- Efficient market theory --- Capital asset pricing model --- CAPM (Capital assets pricing model) --- Pricing model, Capital assets --- Investments --- Asset requirements --- Prices&delete& --- Econometric models --- Valuation&delete& --- Mathematical models --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles --- Activiteiten van de nationale en internationale markten. Beursnoteringen van aandelen en obligaties --- Vermogenbeheer. financiële analyse (algemeenheden) --- Prijstheorieën: algemeenheden --- Theorie van speculatie --- Finance. --- Econometrics. --- Economics, Mathematical . --- Finance, general. --- Quantitative Finance. --- Mathematical economics --- Econometrics --- Mathematics --- Economics, Mathematical --- Statistics --- Funding --- Funds --- Currency question --- Methodology