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Persistent link: https://www.econbiz.de/10003822202
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
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
Persistent link: https://www.econbiz.de/10002159369
We empirically decompose the S&P 500's dividend yield into (1) a rational forecast of long-run real dividend growth, (2) the subjectively expected risk premium, and (3) residual mispricing attributed to the market's forecast of dividend growth deviating from the rational forecast. Modigliani and...
Persistent link: https://www.econbiz.de/10013133237
We empirically decompose the S&P 500's dividend yield into (1) a rational forecast of long-run real dividend growth, (2) the subjectively expected risk premium, and (3) residual mispricing attributed to the market's forecast of dividend growth deviating from the rational forecast. Modigliani and...
Persistent link: https://www.econbiz.de/10012468430
Persistent link: https://www.econbiz.de/10000659469
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stylized facts that characterize US data, and relates them to recent developments in equilibrium asset pricing theory. Data …
Persistent link: https://www.econbiz.de/10012763609
stylized facts that characterize US data, and relates them to recent developments in equilibrium asset pricing theory. Data …
Persistent link: https://www.econbiz.de/10012472320