By Petr Adamek, John Y. Campbell, Andrew W. Lo, A. Craig Mackinlay, Luis M. Viceira
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Additional resources for A Solution Manual To The Econometrics Of Financial Markets
3 often give negative coe cients. The underlying mechanism is a time-varying term premium, interacting with the desire of the monetary authority to smooth interest rates. A limitation of this model is that it assumes a nonstationary interest rate process, which has unsatisfactory long-run properties. For example, with probability one the interest rate eventually becomes negative. Bennett McCallum, \Monetary Policy and the Term Structure of Interest Rates", NBER Working Paper No. 4938, 1994, works out a stationary version of this model the algebra is more complicated but the properties of the model are similar.
2). 4) s2B = s2p + N a2 : The maximum squared Sharpe measure is bounded as N increases for economy A and unbounded for economy B . 3. 1 Each period, the corporation repurchases shares worth X while the total stock is worth V X=(1 ; (1 + R);1 ) = (1 + R)X=R. 1) Price per share is Pt V=Nt , and dividend per share is Dt (1 ; )X=Nt+1 . (Note that dividends are paid after repurchases, on the remaining shares only). 2) Dividends per share grow, even though total dividends do not, because the number of shares is shrinking over time.
11) Et ri t+1 ; rf t+1 ] + 12 Vii = Vic so that the \premium" of the asset is proportional to the conditional covariance of the log asset return with consumption growth, with coe cient of proportionality . This solves part (ii). 40 PROBLEMS IN CHAPTER 8 Part (i). Let aggregate equity e pay a log dividend equal to log aggregate consumption, so that de t = ct . From the previous part we know that Et re t+1+j ] = Et ct+1+j ], up to a constant. 13) ct+1+j = j ! 15) j ! X i Et+1 ct+1+j = i=0 j ! 16) Et+1 ct+1+j ; Et ct+1+j = j ut+1 : Substituting in this expression, and noting that ct+1 ; Et ct+1 = ut+1 , we obtain re t+1+j ; Et re t+1+j = ut+1 + (1 ; ) 1 X j=1 j j ut+1 = ut+1 + (1 ; ) 1 ; ut+1 = 11;; ut+1 : Part (ii).
A Solution Manual To The Econometrics Of Financial Markets by Petr Adamek, John Y. Campbell, Andrew W. Lo, A. Craig Mackinlay, Luis M. Viceira