Essays on equilibrium asset pricing and investments.
详细信息
文摘
Asset prices have tremendous impacts on economic decision-making. While substantial progress has been made in research on financial asset prices, we have a quite limited understanding of the equilibrium prices of broader asset classes. This dissertation contributes to the understanding of properties of asset prices for broad asset classes, with particular attention on asset supply.;Chapter two presents a general equilibrium model that incorporates endogenous production and local housing markets, in order to explain the price relationship among human capital, housing, and stocks. Housing serves as an asset as well as a durable con sumption good. The covariation of housing and stock prices can be negative if the supply of local inputs for housing production is elastic. Several examples illustrate the way the model works, for example the housing price appreciation during the economic contraction in the U.S. after 2000, and the varying degrees of stock-market participation across countries. The model also shows that housing rent growth serves as a risk factor in the consumption-based pricing kernel, and this may mitigate the equity premium puzzle and the risk-free rate puzzle.;Chapter three examines empirically the intertemporal elasticity of substitution (IES) and static elasticity of substitution between housing and non-housing (SES), by allowing for non-homotheticity in preferences. The asset pricing implications of the second good in consumption-based models critically depend on the relative sizes of IES and SES. Estimates of SES are biased upward when moment conditions are derived under the homotheticity assumption, which is rejected empirically in this study. By allowing for non-homotheticity, we obtain lower estimates of SES ranging from 0.4 to 0.9, which are consistent with the low price elasticity of housing demand estimated in the previous literature. Estimates of IES are quite low, ranging from 0.05 to 0.14, but they might be subject to downward biases with true values of greater than one. This chapter is based on joint research with Tom Davidoff.;Chapter four focuses on the microfoundations of asset supply in the form of joint ventures. In a project jointly formed by multiple parties, strategic interactions result in a flexible arrangement of the project and delayed investments. Although keeping flexibility is optimal, given risks in the project value, one party's flexibility creates strategic uncertainty for the others, and increased uncertainty in turn encourages them to keep more flexibility as well. A positive feedback between uncertainty and flexibility leads to delayed investments. Our result makes a sharp contrast with preemptive investment to deter competitors' entry. It is also distinct from the free-rider problem since we focus on the second moment of payoffs. The model is applicable to various joint projects within a firm, across firms, and across countries.