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Disentangling Investment Returns and Stock Returns: The Importance of Time-to-Build

Kuehn, Lars-Alexander - 2009

interpreted as evidence for irrational markets since it cannot be reconciled with the Q-theory of investment. …I provide new evidence on the failure of the Q-theory. The Q-theory implies the state-by-state equivalence of stock and … investment returns|a important implication of many asset pricing models. Using aggregate US data, I find there exists a realistic …

Persistent link: https://www.econbiz.de/10009440954

Consumption Volatility Risk

Boguth, Oliver; Kuehn, Lars-Alexander - 2009

Empirically, the conditional volatility of aggregate consumption growth varies over time. While many papers test the consumption CAPM based on realized consumption growth, little is known about how the time-variation of consumption growth volatility affects asset prices. We show that in a model...

Persistent link: https://www.econbiz.de/10009440955

The Levered Equity Risk Premium and Credit Spreads: A Unified Framework

Bhamra, Harjoat S.; Kuehn, Lars-Alexander; Strebulaev, … - 2009

We embed a structural model of credit risk inside a dynamic continuous-time consumption-based asset pricing model, which allows us to price equity and corporate debt in a unified framework. Our key economic assumptions are that the first and second moments of earnings and consumption growth...

Persistent link: https://www.econbiz.de/10009441109

The Aggregate Dynamics of Capital Structure and Macroeconomic Risk

Bhamra, Harjoat S.; Kuehn, Lars-Alexander; Strebulaev, … - 2008

We study the impact of time-varying macroeconomic conditions on optimal dynamic capital structure and the aggregate dynamics of firms in a cross-section. Our structural-equilibrium framework embeds a contingent-claim corporate financing model within a standard consumption-based asset- pricing...

Persistent link: https://www.econbiz.de/10009441273