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- W1534851990 abstract "This thesis examines whether two well documented financial market anomalies- the & Prescott puzzles and the dividend controversy - canbe resolved by allowing for the effects of uninsurable risks. The dissertationcontains an extensive review of the theory of consumption based asset pricingand the Mehra & Prescott puzzles. This provides more comprehensivecoverage of this material than any previous review of the area: see chapters 2& 3. The role that uninsurable risk might play in resolving market anomaliesis clearly demonstrated. Three chapters of substantive original contributionfollow that examine: (i) the predicted equity premium when marketable andnonmarketable risks are independent (ii) the potential relevance of aggregatedividends to equilibrium asset prices in economies with idiosyncratic endowmentshocks and (iii) the response of the stock market and riskfree rate tounemployment shocks. The main findings are: (i) Chapter 4: an integratedapproach to local proper risk aversion is presented and a new form of riskaversion emerges naturally (ii) Chapter 4: it will not, in general, be possibleto make accurate quantitative predictions concerning the impact of a smallprobability, high impact, negative shock to endowment (unemployment)on asset prices on the basis of current knowledge concerning investor preferences(iii) Chapter 5: aggregate dividends are shown to play an importantrole in helping individuals to consumption smooth in incomplete markets ifthe level of aggregate investment is uncertain. The observed behaviour ofdividend smoothing and concentrating rights issues into times of economicprosperity is consistent with the model that is presented (iv) Chapter 6:the rise (fall) in the riskfree rate prior to bad (good) unemploymentnews does not appear to be consistent with precautionary savings behaviour.It is concluded that, while incomplete market models have great theoreticalstrength and some empirical support, 'Current applications of this theoryleave many issues unresolved." @default.
- W1534851990 created "2016-06-24" @default.
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- W1534851990 date "1997-08-01" @default.
- W1534851990 modified "2023-09-23" @default.
- W1534851990 title "The impact of uninsurable risk on asset prices and optimal dividend policy" @default.
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