Non-constant time discounting and asset pricing

Detalhes bibliográficos
Autor(a) principal: Carvalho, Miguel Atanásio Lopes
Data de Publicação: 2005
Tipo de documento: Dissertação
Idioma: por
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.5/18501
Resumo: Mestrado em Economia
id RCAP_7965b9a391f5d9871fbaa8f98e6293b8
oai_identifier_str oai:www.repository.utl.pt:10400.5/18501
network_acronym_str RCAP
network_name_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository_id_str 7160
spelling Non-constant time discounting and asset pricingIntertemporal choiceIntertemporal consumkmer choiceNoncooperative GamesMicroeconomic BehaviourUnderlying principlesExchange and productionAsset pricingMestrado em EconomiaWe analyze in a simple three period model, how the time inconsistency of agents affects the endogenous rates of return of assets determined by the equilibrium in an exchange economy with consumption and exogenous endowments. We model the intertemporal decisions according to Phelps and Pollak (1968) - taking the actions of the agents as the rcsult of a game between different "selves" in different decision nodes - and consider the most common case of "present-biased" preferences. The rates will be formally different from the consistency case. namely they will depend on future endowments, both with stochastic and deterministic endowment processes. This enables the distinction between time consistent and inconsistent preferences from the data. It also implies that the estimation of expected endowments from market data depends on the type of preferences of the representative agent. Under endowment uncertainty we conclude that even though the determination of the rates of return can be largely affected this does not lead to significantly different risk premia. Moreover distinctive mformation gaps between "selves" does not account for distinctive results, even though the results depend strongly on their interaction. Finally, we propose and apply to the different cases, a new method for discount comparison.Instituto Superior de Economia e GestãoBrito, Paulo Meneses Brasil deRepositório da Universidade de LisboaCarvalho, Miguel Atanásio Lopes2019-10-25T17:38:29Z2005-072005-07-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10400.5/18501porCarvalho, Miguel Atanásio Lopes (2005). " Non-constant time discounting and asset pricing". Dissertação de Mestrado, Universidade de Lisboa. Instituto Superior de Economia e Gestão.info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-02-25T01:33:18Zoai:www.repository.utl.pt:10400.5/18501Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:03:32.122431Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Non-constant time discounting and asset pricing
title Non-constant time discounting and asset pricing
spellingShingle Non-constant time discounting and asset pricing
Carvalho, Miguel Atanásio Lopes
Intertemporal choice
Intertemporal consumkmer choice
Noncooperative Games
Microeconomic Behaviour
Underlying principles
Exchange and production
Asset pricing
title_short Non-constant time discounting and asset pricing
title_full Non-constant time discounting and asset pricing
title_fullStr Non-constant time discounting and asset pricing
title_full_unstemmed Non-constant time discounting and asset pricing
title_sort Non-constant time discounting and asset pricing
author Carvalho, Miguel Atanásio Lopes
author_facet Carvalho, Miguel Atanásio Lopes
author_role author
dc.contributor.none.fl_str_mv Brito, Paulo Meneses Brasil de
Repositório da Universidade de Lisboa
dc.contributor.author.fl_str_mv Carvalho, Miguel Atanásio Lopes
dc.subject.por.fl_str_mv Intertemporal choice
Intertemporal consumkmer choice
Noncooperative Games
Microeconomic Behaviour
Underlying principles
Exchange and production
Asset pricing
topic Intertemporal choice
Intertemporal consumkmer choice
Noncooperative Games
Microeconomic Behaviour
Underlying principles
Exchange and production
Asset pricing
description Mestrado em Economia
publishDate 2005
dc.date.none.fl_str_mv 2005-07
2005-07-01T00:00:00Z
2019-10-25T17:38:29Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.5/18501
url http://hdl.handle.net/10400.5/18501
dc.language.iso.fl_str_mv por
language por
dc.relation.none.fl_str_mv Carvalho, Miguel Atanásio Lopes (2005). " Non-constant time discounting and asset pricing". Dissertação de Mestrado, Universidade de Lisboa. Instituto Superior de Economia e Gestão.
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Instituto Superior de Economia e Gestão
publisher.none.fl_str_mv Instituto Superior de Economia e Gestão
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
_version_ 1799131126075228160

Registros relacionados