Risks for the long run: Estimation with time aggregation
نویسندگان
چکیده
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 ...
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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...
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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...
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We are grateful to Doron Avramov, Ravi Bansal, Jason Beeler, Geert Bekaert, Tim Bollerslev, Long Chen, Peter Christoffersen, Bjørn Eraker, Satadru Hore, Hong Liu, Zhongjin Lu, Ivan Shaliastovich, Jack Strauss, George Tauchen, Hao Zhou, and seminar participants at East China University of Science and Technology, National University of Singapore, Tsinghua University, and CKGSB 2009 summer worksho...
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ژورنال
عنوان ژورنال: Journal of Monetary Economics
سال: 2016
ISSN: 0304-3932
DOI: 10.1016/j.jmoneco.2016.07.003