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The long-run risks model of asset prices explains stock price variation as a response to persistent fluctuations in the mean and volatility of aggregate consumption growth, by a representative agent with a high elasticity of intertemporal substitution. This paper documents several empirical...
Persistent link: https://www.econbiz.de/10012463859
The long-run risks model of asset prices explains stock price variation as a response to persistent fluctuations in the mean and volatility of aggregate consumption growth, by a representative agent with a high elasticity of intertemporal substitution. This paper documents several empirical...
Persistent link: https://www.econbiz.de/10013225971
This chapter reviews the behavior of financial asset prices in relation to consumption. The chapter lists some important stylized facts that characterize U.S. data, and relates them to recent developments in equilibrium asset pricing theory. Data from other countries are examined to see which...
Persistent link: https://www.econbiz.de/10014023858
: extensive market integration through foreign investment and links among stock prices around the world; increasing securitization … role of time and location around the world in stock trading, and the behavior of country funds. Other, long …
Persistent link: https://www.econbiz.de/10014488181
Persistent link: https://www.econbiz.de/10000659469
Persistent link: https://www.econbiz.de/10001436028
This paper reviews the behavior of financial asset prices in relation to consumption. The paper lists some important stylized facts that characterize US data, and relates them to recent developments in equilibrium asset pricing theory. Data from other countries are examined to see which features...
Persistent link: https://www.econbiz.de/10012472320
break the CAPM beta of a stock with the market portfolio into two components, one reflecting news about the market's future … this can explain their higher average returns. The poor performance of the CAPM since 1963 is explained by the fact that …
Persistent link: https://www.econbiz.de/10012762857
This paper reviews the behavior of financial asset prices in relation to consumption. The paper lists some important stylized facts that characterize US data, and relates them to recent developments in equilibrium asset pricing theory. Data from other countries are examined to see which features...
Persistent link: https://www.econbiz.de/10012763609
break the CAPM beta of a stock with the market portfolio into two components, one reflecting news about the market's future … this can explain their higher average returns. The poor performance of the CAPM since 1963 is explained by the fact that …
Persistent link: https://www.econbiz.de/10012469194