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Can Output Explain the Predictability and Volatility of Stock Returns?

Peña, Juan Ignacio; Restoy Lozano, Fernando; … - C.E.P.R. Discussion Papers - 1998

In this paper we have studied the ability of relatively standard equilibrium asset pricing models to explain two important empirical regularities of asset returns extensively documented in the literature: i) returns can be predicted by a set of macro variables; and ii) returns are very volatile....

Persistent link: https://www.econbiz.de/10005123874

Sources of entropy in representative agent models

Backus, David; Chernov, Mikhail; Zin, Stanley E. - C.E.P.R. Discussion Papers - 2011

We propose two metrics for asset pricing models and apply them to representative agent models with recursive preferences, habits, and jumps. The metrics describe the pricing kernel’s dispersion (the entropy of the title) and dynamics (time dependence, a measure of how entropy varies over...

Persistent link: https://www.econbiz.de/10009225955

International Portfolio Holdings and Swiss Franc Asset Returns

Kugler, Peter; Weder di Mauro, Beatrice - C.E.P.R. Discussion Papers - 2004

This Paper revisits the puzzle of low returns on Swiss franc assets using a new dataset of international portfolio holdings at Swiss banks. The main findings are as follows. First, we find that the return anomaly is present only for fixed income assets and not for equity. Second, it is mostly...

Persistent link: https://www.econbiz.de/10005656129

Expected Returns and Expected Dividend Growth

Lettau, Martin; Ludvigson, Sydney - C.E.P.R. Discussion Papers - 2002

We develop a consumption-based present value relation that is a function of future dividend growth. Using data on … aggregate consumption and measures of the dividend payments from aggregate wealth, we show that changing forecasts of dividend …

Persistent link: https://www.econbiz.de/10005504785

Asset Pricing Models with and without Consumption: An Empirical Evaluation

Hardouvelis, Gikas A; Kim, Dongcheol - C.E.P.R. Discussion Papers - 1995

The paper evaluates the ability of asset pricing models that do not use consumption data, and models that use … consumption data as a proxy for true consumption, to explain the time-series and cross-sectional variation of expected returns of … portfolios of stocks. Although some parameter restrictions are rejected by models that do not use consumption data, we find that …

Persistent link: https://www.econbiz.de/10005791905

Measuring and Modelling Variation in the Risk-Return Trade-off

Lettau, Martin; Ludvigson, Sydney - C.E.P.R. Discussion Papers - 2001

market investment, and presents some new empirical evidence using a proxy for the log consumption-aggregate wealth ratio as a …

Persistent link: https://www.econbiz.de/10005498159

Consumption and Labour Supply with Partial Insurance: An Analytical Framework

Heathcote, Jonathan; Storesletten, Kjetil; Violante, … - C.E.P.R. Discussion Papers - 2007

This paper develops an analytical framework to study consumption and labour supply in a rich class of heterogeneous … equilibrium joint distribution over wages, hours and consumption. With these expressions in hand, we show that all the structural … wages and hours, and cross-sectional data on consumption. We estimate the model on CEX and PSID data for the U.S. economy …

Persistent link: https://www.econbiz.de/10005114147

Optimal Expectation

Brunnermeier, Markus K; Parker, Jonathan A - C.E.P.R. Discussion Papers - 2004

, agents’ prior beliefs are endogenously heterogeneous. Finally, in a consumption-saving problem with stochastic income, agents …

Persistent link: https://www.econbiz.de/10005124341

Preferences, Consumption Smoothing, and Risk Premia

Lettau, Martin; Uhlig, Harald - C.E.P.R. Discussion Papers - 1997

Risk premia in the consumption capital asset pricing model depend on preferences and dividends. We develop a … elasticity of a preference-based stochastic discount factor for pricing assets with respect to the consumption innovation … correlated with individual consumption. …

Persistent link: https://www.econbiz.de/10005666799

Shortfall Aversion

Guasoni, Paolo; Huberman, Gur; Ren, Dan - C.E.P.R. Discussion Papers - 2014

Shortfall aversion reflects the higher utility loss of a spending cut from a reference point than the utility gain from a similar spending increase, in the spirit of Prospect Theory's loss aversion. This paper posits a model of utility of spending scaled by a function of past peak spending,...

Persistent link: https://www.econbiz.de/10011083950