Asset Returns and State-Dependent Risk Preferences
نویسندگان
چکیده
منابع مشابه
Asset Returns and State-Dependent Risk Preferences
We propose a consumption-based capital asset pricing model in which the representative agent’s preferences display state-dependent risk aversion. We obtain a valuation equation in which the vector of excess returns on equity includes both consumption risk as well as the risk associated with variations in preferences. We develop a simple model that can be estimated without specifying the functio...
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∗Haas School of Business, UC Berkeley, NBER, and CEPR, 545 Student Services Building, Berkeley, CA 94720-1900, tel: (510) 642 3421, email: [email protected]. †Sloan School of Management, MIT, and NBER, E52-434, 50 Memorial Drive, Cambridge, MA 02142, tel: (617)253-2289, e-mail: [email protected]. ‡University of Chicago Booth School of Business and NBER, 5807 South Woodlawn Avenue, Office ...
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ژورنال
عنوان ژورنال: Journal of Business & Economic Statistics
سال: 2004
ISSN: 0735-0015,1537-2707
DOI: 10.1198/073500104000000127