منابع مشابه
Habit , Long Run Risks , Prospect ?
We use Bayesian statistical methods to compare the habit persistence asset pricing model of Campbell and Cochrane, the long run risks model of Bansal and Yaron, and the prospect theory model of Barberis, Huang, and Santos. We undertake two types of comparisons, relative and absolute, over two sample periods, 1930–2008 and 1950–2008, using two series, univariate U.S. stock returns and bivariate ...
متن کاملTemporal Risk Aversion and Long Run Risks
Agents with standard, time-separable preferences do not care about the temporal distribution of risk. This is a strong assumption. For example, it seems plausible that a consumer may nd persistent shocks to consumption less desirable than uncorrelated uctuations. Such a consumer is said to exhibit temporal risk aversion. This paper examines the implications of temporal risk aversion for asset...
متن کاملLong-Run Risks and Financial Markets
The recently developed long-run risks asset pricing model shows that concerns about long-run expected growth and time-varying uncertainty (i.e., volatility) about future economic prospects drive asset prices. These two channels of economic risks can account for the risk premia and asset price fluctuations. In addition, the model can empirically account for the cross-sectional differences in ass...
متن کاملEndogenous Events and Long Run Returns
We analyze event abnormal returns when returns predict events. In xed samples we show that the expected abnormal return is negative and becomes more negative as the holding period increases. Asymptotically, abnormal returns converge to zero provided that the process of the number of events is stationary. Non-stationarity in the number of events process is needed to generate a large negative bi...
متن کاملCommentary on "Long-Run Risks and Financial Markets"
and his coauthors begin from the observation that it is difficult to distinguish that specification from an alternative one in which the drift in log consumption growth is itself a highly persistent covariance stationary process with low conditional volatility but high unconditional volatility. Thus, the drift itself is almost but not quite a random walk. The high unconditional volatility of th...
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ژورنال
عنوان ژورنال: Review of Economic Dynamics
سال: 2021
ISSN: 1094-2025
DOI: 10.1016/j.red.2020.08.002