FRIC/Finance seminar with Georgy Chabakauri, London School of Economics

On November 23, 2018 Georgy Chabakauri, London School of Economics will be giving a seminar on the paper: "Collateral Requirements and Asset Prices".

Friday, November 23, 2018 - 11:00 to 12:15

The Department of Finance and FRIC, Center for Financial Frictions, are proud to announce the upcoming seminar with Georgy Chabakauri, London School of Economics.

Georgy Chabakauri will present:

PDF iconCollateral Requirements and Asset Prices


Authors:
Georgy Chabakauri
Brandon Yueyang Han


Abstract:
We consider an economy populated by investors with heterogeneous preferences and beliefs who receive non-pledgeable labor incomes. We study the effects of collateral constraints that require investors to maintain sufficient pledgeable capital to cover their liabilities. We show that these constraints inflate stock prices, give rise to clusters of stock return volatilities, and produce spikes and crashes in price-dividend ratios and volatilities. Furthermore, mere possibility of a crisis significantly decreases interest rates and increases Sharpe ratios. The stock price has large collateral premium over non-pledgeable incomes. Asset prices are in closed form, and investors survive in the long run.


Location:
Solbjerg Plads 3,
2000 Frederiksberg
Room: SPs07

The page was last edited by: Department of Finance // 11/12/2018