Alvarez, Fernando; Jermann, Urban J. - In: Econometrica 73 (2005) 6, pp. 1977-2016
We derive a lower bound for the volatility of the permanent component of investors' marginal utility of wealth or, more generally, asset pricing kernels. The bound is based on return properties of long-term zero-coupon bonds, risk-free bonds, and other risky securities. We find the permanent...