Paul Ehling

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We investigate the in ‡uence of various fundamental variables on a cross-section of credit default swap rates. Credit default swap rates can be seen as an alternative proxy for credit risk. Therefore our …ndings are relevant not only for the understanding of credit default swaps but for credit risk in general. The fundamental variables include ratings,(More)
A previous version of the paper was entitled "Chaining up noise traders." We are particularly grateful to Ulrike Malmendier and Mark Seasholes for their suggestions on a previous version. We also thank their comments. We are also grateful to EUROFIDAI and Albert Menkveld for providing some of the data used in this paper, and o¢ cials of the Paris Bourse for(More)
We study asset prices and portfolio choice with overlapping generations where the young disregard history to learn from own experience. Disregarding history implies less precise estimates of consumption growth, which, in equilibrium, leads the young to increase their investment in risky assets after positive returns or act as trend chasers and to lose(More)
In several multi-good models in the literature we see in equilibrium that the span of the stocks drop relative to the span of the dividends, which is not a desirable feature. Therefore, in this paper, we investigate conditions for endogenous completeness and incompleteness in continuous-time financial markets driven by diffusion processes with multiple(More)
A significant fraction of the population in any country with a liquid stock market do not hold stocks, despite the international evidence on a historically high equity risk premium. Whereas the phenomenon of Limited Stock Market Participation has been used to explain several other asset pricing puzzles, only a few studies address the equilibrium foundation(More)
NOTE: Staff working papers in the Finance and Economics Discussion Series (FEDS) are preliminary materials circulated to stimulate discussion and critical comment. The analysis and conclusions set forth are those of the authors and do not indicate concurrence by other members of the research staff or the Board of Governors. References in publications to the(More)
We explicitly solve for the aggregate asset pricing quantities of a general equilibrium Lucas endowment economy inhabited by two agents with habit formation preferences. Preferences are modeled either as internal or external habits. We allow for agents' heterogeneity in relative risk aversion and habit strength. Equilibrium quantities , such as equity(More)
This model adds to the standard neoclassical model of business ‡uctuations by introducing a more realistic capital structure problem, where …rms have to balance the tax bene…ts of debt with the costs of potential …nancial distress. Therefore, …rms solve a dynamic problem with both an investment and a …-nancing decision. This feature allows …rms to …nance(More)
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