Campanale, Claudio; Clementi, Gian Luca; Castro, Rui - Instituto Valenciano de Investigaciones Económicas (IVIE) - 2008
In this paper we provide a thorough characterization of the asset returns implied by a simple general equilibrium production economy with convex investment adjustment costs. When households have Epstein-Zin preferences, there exist plausible parametervalues such that the model generates...