Econometric Studies of Dynamic Asset Pricing Relations
{'Code': '04050100', 'Directorate': {'Abbreviation': 'SBE', 'LongName': 'Direct For Social, Behav & Economic Scie'}, 'Division': {'Abbreviation': 'SES', 'LongName': 'Divn Of Social and Economic Sciences'}}
{'SignBlockName': 'Daniel H. Newlon', 'PO_EMAI': None, 'PO_PHON': None}
There is a large and growing body of literature on the behavior                 of financial markets because of the economic importance of                      financial institutions and because studies of these markets can                 provide basic insights into economic behavior.  This project                    explores in more depth the nature of the volatility in asset                    prices and the links between this volatility, systematic                        movements in asset prices, and business cycle variables.  This is               accomplished by pursuing two distinct and complementary issues.                 The first issue is the pricing of options in economic                           environments with fairly general specifications of the stochastic               process governing the time series behavior of the underlying                    stocks. The primary goal of this research is to develop and                     implement econometric methods for estimating more plausible                     parameterizations of stock processes and for calculating the                    values of the associated options.                                                                                                                               The second issue addressed is the behavior of stock prices in                   environments with heterogeneously informed traders and imperfect                information about the state of the economy.  The research                       explores a particular source of volatility in asset prices and a                mechanism by which the links between stock prices and business                  cycle variables are obscured.  The project undertakes an                        econometric analysis of this model in order to shed new light on                the role played by heterogeneity of information in the                          determination of the time series properties of asset prices.                                                                                                    The research contributes rigorous and powerful new econometric                  methods for studying the behavior of financial assets.  This work               should help resolve some extremely difficult and important                      puzzles in financial economics such as the failure of basic                     economic models to explain periods of extreme volatility in stock               market prices.
{'FirstName': 'Kenneth', 'LastName': 'Singleton', 'PI_MID_INIT': 'J', 'PI_SUFX_NAME': None, 'PI_FULL_NAME': 'Kenneth J Singleton', 'EmailAddress': '4157235753', 'NSF_ID': '000435631', 'StartDate': '07/15/1988', 'EndDate': None, 'RoleCode': 'Principal Investigator'}
{'Name': 'Stanford University', 'CityName': 'STANFORD', 'ZipCode': '943052004', 'PhoneNumber': '6507232300', 'StreetAddress': '450 JANE STANFORD WAY', 'StreetAddress2': None, 'CountryName': 'United States', 'StateName': 'California', 'StateCode': 'CA', 'CONGRESSDISTRICT': '16', 'CONGRESS_DISTRICT_ORG': 'CA16', 'ORG_UEI_NUM': 'HJD6G4D6TJY5', 'ORG_LGL_BUS_NAME': 'THE LELAND STANFORD JUNIOR UNIVERSITY', 'ORG_PRNT_UEI_NUM': None}
{'Name': None, 'CityName': None, 'StateCode': None, 'ZipCode': None, 'StreetAddress': None, 'CountryCode': None, 'CountryName': None, 'StateName': None, 'CountryFlag': None, 'CONGRESSDISTRICT': None, 'CONGRESS_DISTRICT_PERF': '""'}
{'Code': '1320', 'Text': 'Economics'}
{'url': 'https://www.nsf.gov/awardsearch/download?DownloadFileName=1988&All=true', 'xml': '8809797.xml'}