David M Modest
Biographic Data
| ID | 5849525 |
|---|---|
| NAME | David M Modest |
| GIVEN NAMES | David M |
| FAMILY NAME | Modest |
| SIGNATURE | MODEST D M |
| VERIFIED | No |
| TOTAL WORKS | 2 |
| TOTAL CITATIONS | 2 |
| WORKS AS AUTHOR | 2 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 1984 |
| LATEST PUBLICATION YEAR | 1995 |
| H-INDEX | 1 |
Market Frictions and Consumption-Based Asset Pricing
A fundamental equilibrium condition underlying most utility-based asset pricing models is the equilibration of intertemporal marginal rates of substitution. Previous empirical research, however, has found that the comovements of consumption and asset return data fail to satisfy the restrictions imposed by this equilibrium condition. In this paper, the authors examine whether market frictions can explain previous findings. Their results suggest th…
Futures Markets and Production Decisions
This paper investigates the use of futures prices in making production decisions. We derive a preference-independent production rule for firms that face both demand and production uncertainty. This rule is compared to a simple "marginal cost equals future price" rule, which previously has been suggested for firms with deterministic output. Data for agricultural producers are used to examine the importance of output uncertainty in the determinatio…
Market Frictions and Consumption-Based Asset Pricing
A fundamental equilibrium condition underlying most utility-based asset pricing models is the equilibration of intertemporal marginal rates of substitution. Previous empirical research, however, has found that the comovements of consumption and asset return data fail to satisfy the restrictions imposed by this equilibrium condition. In this paper, the authors examine whether market frictions can explain previous findings. Their results suggest th…
Futures Markets and Production Decisions
This paper investigates the use of futures prices in making production decisions. We derive a preference-independent production rule for firms that face both demand and production uncertainty. This rule is compared to a simple "marginal cost equals future price" rule, which previously has been suggested for firms with deterministic output. Data for agricultural producers are used to examine the importance of output uncertainty in the determinatio…
Futures Markets and Production Decisions
This paper investigates the use of futures prices in making production decisions. We derive a preference-independent production rule for firms that face both demand and production uncertainty. This rule is compared to a simple "marginal cost equals future price" rule, which previously has been suggested for firms with deterministic output. Data for agricultural producers are used to examine the importance of output uncertainty in the determinatio…
Market Frictions and Consumption-Based Asset Pricing
A fundamental equilibrium condition underlying most utility-based asset pricing models is the equilibration of intertemporal marginal rates of substitution. Previous empirical research, however, has found that the comovements of consumption and asset return data fail to satisfy the restrictions imposed by this equilibrium condition. In this paper, the authors examine whether market frictions can explain previous findings. Their results suggest th…
Econometrics (2 works) · Economics (2 works) · Microeconomics (2 works) · Asset (computer security (1 work) · Capital asset pricing model (1 work) · Capital Investment and Risk Analysis (1 work) · Computer Science (1 work) · Consumption (sociology (1 work) · Consumption-based capital asset pricing model (1 work) · Economic theories and models (1 work)