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Persistent link: https://www.econbiz.de/10003020678
We characterize and measure a long-term risk-return trade-off for the valuation of cash flows exposed to fluctuations … in macroeconomic growth. This trade-off features risk prices of cash flows that are realized far into the future but …
Persistent link: https://www.econbiz.de/10012962927
examples featuring consumption externalities, recursive utility, and jump risk …
Persistent link: https://www.econbiz.de/10012906129
a stochastic growth and discount factors in determining risk-adjusted values. These methods are supported by …-based implications for the term structure of risk prices. As an illustration of the methods, I re-examine some recent preference based …
Persistent link: https://www.econbiz.de/10014025355
featuring consumption externalities, recursive utility, and jump risk …
Persistent link: https://www.econbiz.de/10013154476
In this paper we reviewed two findings pertinent for using asset market data to make inferences about the intangible capital stock. We presented evidence familiar from the empirical finance literature that returns are heterogeneous when firms are grouped according to their ratio of market equity...
Persistent link: https://www.econbiz.de/10013071591
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We characterize and measure a long-run risk return tradeoff for the valuation of financial cash flows that are exposed … inputs from vector autoregressions to quantify this relationship; and we study the long-run risk differences in aggregate …
Persistent link: https://www.econbiz.de/10012467203