This dissertation focuses on the consumption-based asset pricing models developed by Lucas (1978). The first chapter studies the effect of a change in aggregate risk on the prices of bonds and stocks. A decomposition method of the dividend and discount rate effect is defined. Sufficient conditions on preferences are specified such that an increase in risk guarantees a fall in stock prices. In the second chapter, an empirical study examines whether Bayesian learning can help the Lucas-type models predict the low levels of short-term real interest rates in the US. The results show that parameter uncertainty alone cannot resolve the risk-free rate puzzle. The learning process ends too rapidly for parameter uncertainty to play an important role in affecting bond returns. The third chapter investigates whether the downturns of business cycles have caused the falls of real interest rates. A standard Lucas-type model, with an added feature that investors have to learn about the unobservable alternation of business cycles, is calibrated. The simulation technique of the Markov Chain Monte Carlo is used to compute the real interest rates.

About the Author:

Dr. Yongli Zhang received his Ph.D. in Economics from the University of California at Santa Barbara in 2007. He is now Assistant Professor at China Economics and Management Academy of the Central University of Finance and Economics in Beijing. His research interest is in the fields of asset pricing, corporate finance and applied econometrics.

"About this title" may belong to another edition of this title.

Store Description

Hello! Ria Christie Collections is an online venture that was initially set up in 2012 to sell books. We do not have a physical high street store. We are professional online booksellers. We only sell brand new books in perfect condition that we source from various suppliers and the publishers. Primarily, our aim is to provide an excellent service to all our customers. We always work as a team to achieve this. Our other objectives are to: 1. Ensure that all our products reach their destination quickly in a safe and secure manner 2. Answer to all our customer queries within 24 hours 3. Ensure that our customers are happy with their purchases 4. Provide all the items at a competitive price 5. Always listen to our customers Ria Christie Collections is not a registered company. It is a Sole Trader venture. Other key information is shown below: Contact Person Name: Rakesh Luchmun (Mr) Storefront Name: Ria Christie Collections Place of Establishment Address: Suite B; ARUN House; ARUN Building Arundel Road Uxbridge UB8 2RR United Kingdom E-Mail Address: riachristie@hotmail.co.uk VAT Number: GB 160 5650 25 We always work hard and aim to comply with all of Abebooks Policies. If you have any issues, please do not hesitate to write to us whether before or after a purchase. We promise to reply to you promptly and, in any case, within 24 hours. Thank you kindly! Yours sincerely Mr Rakesh Luchmun (Founder) and the Ria Christie Collections Team

Visit Seller's Storefront

Seller's business information

Ryefield Investments Limited
175 Pield Heath Road, Uxbridge, UB8 3NL, United Kingdom

Terms of Sale:

All Returns and Refund are as per Abebooks policies.

Shipping Terms:

Orders usually ship within 2 business days. If your book order is heavy or oversized, we may contact you to let you know extra shipping is required. Thank you!

Payment Methods
accepted by seller

Add to Wants

Items related to Three Essays on Asset Pricing: A Bayesian Approach

Three Essays on Asset Pricing: A Bayesian Approach

Zhang, Yongli

New - Soft cover

Seller's business information