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Macroeconomic tail risks and asset prices
Schreindorfer, David - In: The review of financial studies 33 (2020) 8, pp. 3541-3582
Persistent link: https://www.econbiz.de/10012249741
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Implications of labor market frictions for risk aversion and risk premia
Swanson, Eric T. - 2019
Persistent link: https://www.econbiz.de/10012019048
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A Single-Factor Consumption-Based Asset Pricing Model
Delikouras, Stefanos - 2017
We propose a single-factor asset pricing model based on an indicator function of consumption growth being less than its endogenous certainty equivalent. This certainty equivalent is derived from generalized disappointment aversion preferences, and it is located approximately one standard...
Persistent link: https://www.econbiz.de/10012969135
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A flexible approach to estimate the equity premium
Bonaparte, Yosef; Fabozzi, Frank J. - In: Applied economics 49 (2017) 59, pp. 5940-5950
Persistent link: https://www.econbiz.de/10011845875
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A single-factor consumption-based asset pricing model
Delikouras, Stefanos; Kostakis, Alexandros - In: Journal of financial and quantitative analysis : JFQA 54 (2019) 2, pp. 789-827
Persistent link: https://www.econbiz.de/10012138945
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The total risk premium puzzle
Jordà, Òscar; Schularick, Moritz; Taylor, Alan M. - 2019
Persistent link: https://www.econbiz.de/10012057438
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The total risk premium puzzle
Jordà, Òscar; Schularick, Moritz; Taylor, Alan M. - 2019
Persistent link: https://www.econbiz.de/10012127105
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Asset pricing without garbage
Kroencke, Tim A. - 2013
This paper provides an explanation why garbage as a measure of consumption implies a several times lower coefficient of … Product Accounts (NIPA): Unlike garbage, NIPA consumption is filtered to mitigate measurement error. I apply a structural … model of the filtering process, which allows to revoke the filter inherent in NIPA consumption. Unfiltered NIPA consumption …
Persistent link: https://www.econbiz.de/10010322338
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Asset pricing without garbage
Kroencke, Tim A. - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2013
This paper provides an explanation why garbage as a measure of consumption implies a several times lower coefficient of … Product Accounts (NIPA): Unlike garbage, NIPA consumption is filtered to mitigate measurement error. I apply a structural … model of the filtering process, which allows to revoke the filter inherent in NIPA consumption. Unfiltered NIPA consumption …
Persistent link: https://www.econbiz.de/10010957584
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Asset prices under habit formation and reference-dependent preferences
Yogo, Motohiro (contributor) - 2007
Persistent link: https://www.econbiz.de/10003727013