Patrick Konermann

Branger, Nicole; Konermann, Patrick, Meinerding, Christoph & Schlag, Christian (2020)

Equilibrium Asset Pricing in Directed Networks

25(3) , s. 777- 818. Doi: https://doi.org/10.1093/rof/rfaa035 - Full text in research archive

Directed links in cash flow networks affect the cross-section of risk premia through three channels. In a tractable consumption-based equilibrium asset pricing model, we obtain closed-form solutions that disentangle these channels for arbitrary directed networks. First, shocks that can propagate through the economy command a higher market price of risk. Second, shock-receiving assets earn an extra premium since their valuation ratios drop upon shocks in connected assets. Third, a hedge effect pushes risk premia down: when a shock propagates through the economy, an asset that is unconnected becomes relatively more attractive and its valuation ratio increases.

Branger, Nicole; Konermann, Patrick & Schlag, Christian (2019)

Optimists and Pessimists in (In)Complete Markets

55(8) , s. 2466- 2499. Doi: https://doi.org/10.1017/S002210901900070X - Full text in research archive

We study the effects of market incompleteness on speculation, investor survival, and asset pricing moments, when investors disagree about the likelihood of jumps and have recursive preferences. We consider two models. In a model with jumps in aggregate consumption, incompleteness barely matters, since the consumption claim resembles an insurance product against jump risk and effectively reproduces approximate spanning. In a long-run risk model with jumps in the long-run growth rate, market incompleteness affects speculation, and investor survival. Jump and diffusive risks are more balanced regarding their importance and, therefore, the consumption claim cannot reproduce approximate spanning.

Konermann, Patrick; Meinerding, Christoph & Sedova, Olga (2013)

Asset Allocation in Markets with Contagion: The Interplay between Volatilities, Jump Intensities, and Correlations

22(1) , s. 36- 46. Doi: https://doi.org/10.1016/j.rfe.2012.08.001

Konermann, Patrick; Ehling, Paul & Graniero, Alessandro (2020)

Asset Pricing with a CEO

[Conference Lecture]. Event

Graniero, Alessandro; Ehling, Paul & Konermann, Patrick (2019)

Asset Pricing with a CEO

[Conference Lecture]. Event

Branger, Nicole; Konermann, Patrick, Meinerding, Christoph & Schlag, Christian (2018)

Equilibrium Asset Pricing in Directed Networks

[Conference Lecture]. Event

Branger, Nicole; Konermann, Patrick & Schlag, Christian (2018)

Optimists, Pessimists, and the Stock Market: The Role of Preferences and Market (In)Completeness

[Conference Lecture]. Event

Branger, Nicole; Konermann, Patrick & Schlag, Christian (2017)

Optimists, Pessimists, and the Stock Market: The Role of Preferences and Market (In)Completeness

[Conference Lecture]. Event