MARC Record from Scriblio

LEADER: 02509cam 22003257a 4500
001 2005615381
003 DLC
005 20050113095423.0
007 cr |||||||||||
008 050110s2004 mau sb 000 0 eng
010 $a 2005615381
040 $aDLC$cDLC$dDLC
050 00 $aHB1
100 1 $aFlood, Robert P.
245 10 $aEstimating the expected marginal rate of substitution$h[electronic resource] :$bexploiting idiosyncratic risk /$cRobert P. Flood, Andrew K. Rose.
260 $aCambridge, MA :$bNational Bureau of Economic Research,$cc2004.
490 1 $aNBER working paper series ;$vworking paper 10805
538 $aSystem requirements: Adobe Acrobat Reader.
538 $aMode of access: World Wide Web.
500 $aTitle from PDF file as viewed on 1/10/2005.
530 $aAlso available in print.
504 $aIncludes bibliographical references.
520 3 $a"This paper develops a simple but general methodology to estimate the expected intertemporal marginal rate of substitution or "EMRS", using only data on asset prices and returns. Our empirical strategy is general, and allows the EMRS to vary arbitrarily over time. A novel feature of our technique is that it relies upon exploiting idiosyncratic risk, since theory dictates that idiosyncratic shocks earn the EMRS. We apply our methodology to two different data sets: monthly data from 1994 through 2003, and daily data for 2003. Both data sets include assets from three different markets: the New York Stock Exchange, the NASDAQ, and the Toronto Stock Exchange. For both monthly and daily frequencies, we find plausible estimates of EMRS with considerable precision and time-series volatility. We then use these estimates to test for asset integration, both within and between stock markets. We find that all three markets seem to be internally integrated in the sense that different assets traded on a given market share the same EMRS. The technique is also powerful enough to reject integration between the three stock markets, and between stock and money markets"--National Bureau of Economic Research web site.
650 0 $aStocks$xRate of return$xMathematical models.
650 0 $aStocks$xPrices$xMathematical models.
650 0 $aRisk$xMathematical models.
700 1 $aRose, Andrew,$d1959-
710 2 $aNational Bureau of Economic Research.
830 0 $aWorking paper series (National Bureau of Economic Research : Online) ;$vworking paper no. 10805.
856 40 $uhttp://papers.nber.org/papers/W10805