Title The equilibrium distributions of value for risky stocks and bonds / Ronald L. Johannes

Published [Washington, D.C.] : International Monetary Fund, Research Dept., ©2001

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Description 1 online resource (35 pages) Series IMF working paper ; WP/01/39 IMF working paper ; WP/01/39. Summary Within a unified theory for stocks and corporate bonds, based on dynamic optimization by investors, this paper derives analytical expressions for the momentary distributions of expected price, respectively known to approximate lognormal with systematic deviations (high peak, fat tail) and double exponential (for credit risk). Market equilibrium is regarded as a dynamic equilibrium characterized by a time-invariant probability distribution over microfinancial states, marginal redistributions of portfolios are regarded as indistinguishable, and real and fiat assets are regarded as essentially distinct. The formalism provides a basis for decomposing value changes by market fundamentals, investor sentiment, and investor acquisition of securities Bibliography Includes bibliographical references (page 35) Notes Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. http://purl.oclc.org/DLF/benchrepro0212 MiAaHDL English digitized 2010 HathiTrust Digital Library committed to preserve pda MiAaHDL Print version record Subject Stocks -- Prices -- Econometric models Bonds -- Prices -- Econometric models Equilibrium (Economics) -- Econometric models Risk -- Econometric models Bonds -- Prices -- Econometric models Equilibrium (Economics) -- Econometric models Risk -- Econometric models Form Electronic book Author International Monetary Fund. Research Department. ISBN 1451893175 9781451893175 1281345695 9781281345691 1462354084 9781462354085 1452702861 9781452702865 9786613779267 6613779261

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