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2 edition of Volatility, investment and disappointment aversion found in the catalog.

Volatility, investment and disappointment aversion

Joshua Aizenman

Volatility, investment and disappointment aversion

by Joshua Aizenman

  • 177 Want to read
  • 12 Currently reading

Published by National Bureau of Economic Research in Cambridge, Mass .
Written in English

    Subjects:
  • Investments -- Effect of uncertainty on -- Econometric models.

  • Edition Notes

    StatementJoshua Aizenman, Nancy Marion.
    SeriesNBER working paper series -- no.5386
    ContributionsMarion, Marion P., National Bureau of Economic Research.
    The Physical Object
    Pagination23p. :
    Number of Pages23
    ID Numbers
    Open LibraryOL17540447M

    The more a country saves, the less it invests as a share of saving. We build a “store-or-sow” model of growth with precautionary saving and investment to study the nonlinear relationship between investment and saving. We contend that income volatility is an important variable for explaining saving and investment dynamics. Our results indicate that as permanent volatility . More speci fically, we introduce a shock in the volatility of productivity in an RBC model with long-run volatility risk and preferences that exhibit generalised disappointment aversion. We find that, when combined with a negative productivity shock, a volatility Author: Julia Fernandes Araújo da Fonseca.

    Generalized Disappointment Aversion and Asset Prices Bryan R. Routledge, Stanley E. Zin. NBER Working Paper No. Issued in November NBER Program(s):Asset Pricing We provide an axiomatic model of preferences over atemporal risks that generalizes Gul () A Theory of Disappointment Aversion' by allowing risk aversion . Aizenman and Marion: w Volatility, Investment and Disappointment Aversion: Carroll: w Buffer-Stock Saving and the Life Cycle/Permanent Income Hypothesis: Routledge and Zin: w Generalized Disappointment Aversion Cited by: 2.

    That is, f ^ is a concave function on [z 1, z 2] in the case of κ ∈ (0, 1), while a convex function in the case of κ Author: Qian Lin, Xianming Sun, Chao Zhou. Model Risk and Disappointment Aversion (joint with Loriano Mancini and Stoyan Stoyanov), [under major revision: new draft coming soon] Abstract: Extensions of expected utility theory are .


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Volatility, investment and disappointment aversion by Joshua Aizenman Download PDF EPUB FB2

Volatility, Investment and Disappointment Aversion Joshua Aizenman, Nancy Marion. NBER Working Paper No. Issued in December NBER Program(s):International Trade and Investment This study uncovers a statistically significant negative correlation between volatility and private investment Cited by: This study uncovers a statistically significant negative correlation between volatility and private investment over the period in a set of almost investment and disappointment aversion book developing countries and provides a.

COVID Resources. Reliable information about the coronavirus (COVID) is available from the World Health Organization (current situation, international travel).Numerous and frequently-updated. This study uncovers a statistically significant negative correlation between volatility and private investment over the period in a set of almost fifty developing countries and provides a possible interpretation of this result by using the disappointment- aversion.

Downloadable. We propose an asset pricing model where preferences display generalized disappointment aversion (Routledge and Zin, ) and the endowment process involves long-run volatility.

Generalized Disappointment Aversion, Long-Run Volatility Risk, If volatility is persistent, as it is the case in the long-run volatility risk model we assume, This pure disappointment aversion model. In a simple Mehra-Prescott economy, Routledge and Zin () show that recursive utility with GDA risk preferences generates effective risk aversion that is counter-cyclical, where Volatility risk aversion refers to the risk aversion of an expected utility agent that will price risk in the same way as a disappointment Cited by: Generalized Disappointment Aversion, Long-run Volatility Risk, and Asset Prices the same approximation techniques to solve the model.

In this article, we pro-pose a methodology that provides an analytical solution to the LRR in-mean-and-volatility. Generalized Disappointment Aversion, Long-run Volatility Risk, and Asset Prices Article (PDF Available) in Review of Financial Studies 24(1) January with Reads How we.

Disappointment Aversion and Long-Term Dynamic Asset Allocation Vasileios E. Kontosakosa, Soosung Hwang b, Vasileios Kallinterakis c Athanasios A. Pantelousd April 9, Abstract We examine the impact of return predictability and parameter uncertainty on investors’ long-term portfolio allocations in the context of disappointment aver-sion.

Growth uncertainty, generalized disappointment aversion and production-based asset pricing. we assume low adjustment costs to raise investment volatility, while we rely on GDA to raise equity premium. Table 3 R. TédongapGeneralized disappointment aversion, long-run volatility Cited by: The main conclusion is that a highly short-sighted investment horizon is required for the historical equity premium to be explained by loss aversion, while reasonable values for disappointment aversion are found also for long investment Cited by: Generalized Disappointment Aversion, Long Run Volatility Risk and Asset Prices.

Marco Bonomo (), René Garcia (), Nour Meddahi and Roméo Tédongap. NoTSE Working Papers from Toulouse School of Economics (TSE) Abstract: We propose an asset pricing model where preferences display generalized disappointment aversion Cited by: We propose an asset pricing model with generalized disappointment aversion preferences and long-run volatility risk.

With Markov switching fundamentals, we derive closed-form solutions for all Author: Patrick Augustin. We propose an asset pricing model with generalized disappointment aversion preferences and long-run volatility risk.

With Markov switching fundamentals, we derive closed-form solutions for all. Downloadable (with restrictions). We propose an asset pricing model with generalized disappointment aversion preferences and long-run volatility risk. With Markov switching fundamentals, we derive.

The Social Dimension of Behaviour: Macroeconomic Uncertainty and Firms’ Investment in R&D and in Machinery in Argentina (), “Volatility, Investment and Disappointment Aversion”.

Working Paper Series, 5, () The Social Dimension of Behaviour: Macroeconomic Uncertainty and Firms’ Investment Cited by: 1. The GDA investor exhibits both risk aversion (i.e.

aversion to positive covariation of asset returns with market return and negative covariation with changes in market volatility) and disappointment aversion (i.e. aversion to expected downside losses). We refer to the combination of both risk and disappointment.

The GDA investor exhibits both risk aversion (i.e. aversion to regular betas on market return and on changes in market volatility) and disappointment aversion (i.e.

aversion to expected down-side losses). We refer to the combination of both risk and disappointment. Allowing for non-reversibility of investment does not resolve the ambiguity of the predicted effects of volatility on investment, as has been illustrated by Pindyck and Solimano () and Dixit and Pindyck ().

() ‘Volatility, Investment and Disappointment Aversion Cited by: 1. Volatility and the Investment Response Joshua Aizenman, Nancy P. Marion. NBER Working Paper No. Issued in November NBER Program(s):International Trade and Investment Program We use the World Bank decomposition of aggregate investment shares into their private and public components to test for the correlation between volatility and investment .Volatility and Growth.

World Bank Policy Research Working Paper No. 40 Pages Posted: - Does the volatility-growth connection actually reveal the impact of crises rather than the overall effect of cyclical fluctuations?

Investment and Disappointment by: disappointment aversion, also provides a possible explanation for this di erential pricing of good versus bad volatility at the aggregate market level.

The closely related model developed inFarago and T edongap() similarly implies the existence of a systematic risk factor explicitly related to downside aggregate market volatility Cited by: