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We study a broad class of asset pricing models in which the stochastic discount factor (SDF) can be factorized into an observable component and a potentially unobservable, model-specific, one. Exploiting this decomposition we derive new entropy bounds that restrict the admissible regions for the...
Persistent link: https://www.econbiz.de/10009647625
Probably not. First, allowing the probabilities attached to the states of the economy to differ from their sample frequencies, the Consumption-CAPM is still rejected by the data and requires a very high level of Relative Risk Aversion (RRA) in order to rationalize the stock market risk premium....
Persistent link: https://www.econbiz.de/10010554522
This paper performs an efficiency analysis of households portfolios based on the comparison of observed portfolios with the mean-variance frontier of assets returns. Data on household portfolios are drawn from a representative sample of the Italian population with at least a bank account. We...
Persistent link: https://www.econbiz.de/10008852169
Probably not. First, allowing the probabilities of the states of the economy to differ from their sample frequencies, the consumption-CAPM is still rejected in both U.S. and international data. Second, the recorded world disasters are too small to rationalize the puzzle, unless one assumes that...
Persistent link: https://www.econbiz.de/10010608011
Probably not. First, allowing the probabilities attached to the states of the economy to differ from their sample frequencies, the Consumption-CAPM is still rejected by the data and requires a very high level of Relative Risk Aversion (RRA) in order to rationalize the stock market risk premium....
Persistent link: https://www.econbiz.de/10005112943
Persistent link: https://www.econbiz.de/10010113677
Persistent link: https://www.econbiz.de/10010114802
Persistent link: https://www.econbiz.de/10007643552
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Persistent link: https://www.econbiz.de/10007917714