NOTE: an equilibrium asset pricing model for stocks and bonds under growth and inflation risks

Redouane Elkamhi, Jacky S.H. Lee

This technical note details an equilibrium asset pricing model for stocks and bonds under economic growth and inflation uncertainties using the Epstein and Zin preferences. Specifically, the results show that both equity and bond risk premiums are priced by growth and inflation uncertainties. This note provides a theoretical justification on the common industry choice of considering growth and inflation as the underlying drivers for assets' returns

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Year of publication:	[2021]
Authors:	Elkamhi, Redouane ; Lee, Jacky S. H.
Publisher:	[Toronto] : [University of Toronto - Rotman School of Management]
Subject:	equilibrium asset pricing \| macroeconomic factors \| CAPM \| Inflation \| Theorie \| Theory \| Risikoprämie \| Risk premium \| Anleihe \| Bond \| Börsenkurs \| Share price \| Portfolio-Management \| Portfolio selection

Extent:	1 Online-Ressource (circa 19 Seiten) Illustrationen
Series:	Rotman School of Management working paper / University of Toronto Rotman School of Management. - Toronto, ZDB-ID 2821585-0. - Vol. no. 3777332]
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper
Language:	English
Other identifiers:	10.2139/ssrn.3777332 [DOI]
Classification:	G12 - Asset Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012595424