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Essays in Finance and Macroeconomics: Household Financial Obligations and the Equity Premium


Abstract This dissertation is a collection of three essays relating household financial obligations to asset prices. Financial obligations include both debt payments and other financial commitments.

In the first essay, I investigate how household financial obligations affect the equity premium. I modify the standard Mehra-Prescott (1985) consumption-based asset pricing model to resolve the equity risk premium puzzle. I focus on two channels: the preference channel and the borrowing constraints channel. Under reasonable parameterizations, my model generates equity risk premiums similar in magnitudes to those observed in U.S. data. Furthermore, I show that relaxing the borrowing constraint shrinks the equity risk premium.

In the Second essay, I tes... (more)
Created Date 2017
Contributor Jahangiry, Pedram (Author) / Mehra, Rajnish (Advisor) / Wahal, Sunil (Committee member) / Reffett, Kevin (Committee member) / Arizona State University (Publisher)
Subject Economics / Finance / Consumption based asset pricing model / Cross-section of stock returns / Debt service ratio / Equity risk premium / Financial obligation ratio / Market returns predictability
Type Doctoral Dissertation
Extent 128 pages
Language English
Copyright
Reuse Permissions All Rights Reserved
Note Doctoral Dissertation Economics 2017
Collaborating Institutions Graduate College / ASU Library
Additional Formats MODS / OAI Dublin Core / RIS


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Description Dissertation/Thesis