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beta than that of the old stock they were holding. For an agent with utility consistent with prospect theory, this behavior …
Persistent link: https://www.econbiz.de/10012899879
This paper proposes a general equilibrium model which features endogenous cross-country heterogeneity in conditional risk aversion and shows that it can generate significant equity home bias. With complete markets, financing home consumption entails hedging against increases in home conditional...
Persistent link: https://www.econbiz.de/10013244511
I study a long-run risk model with non-separable leisure and consumption in the Epstein-Zin preferences to price a cross-section of equity returns over 1948-2011 for the US market. The stochastic discount factor is shown by news on both leisure and consumption. While estimating these two long...
Persistent link: https://www.econbiz.de/10012857084
What is the fundamental value of a stock and do prices deviate from it? This paper answers these questions by using a Consumption-Capital Asset Pricing Model. I first show how to express the fundamental price as a function of expected future dividends and consumption as well as of their future...
Persistent link: https://www.econbiz.de/10013155426
This research identifies investors’ environmental tastes as an explanation of the pollution premium in asset pricing. Showing that stocks of firms with higher toxic emissions earn higher risk-adjusted returns in the cross-section of the US stock market, we find that environmental tastes are...
Persistent link: https://www.econbiz.de/10014353872
We propose a novel consumption measure that has a daily frequency and is based on real-time shopping data. Our measure explains the joint equity-premium–risk-free-rate puzzle with a risk aversion coefficient much lower than any other consumption measures. It encompasses other consumption...
Persistent link: https://www.econbiz.de/10013233817
This paper proposes an estimable asset pricing model that builds upon micro consumption andreference-dependent preference. Central to the model is an S-shaped consumption utility function that is convex below the reference point. The model quantitatively accounts for both low risk-free rates and...
Persistent link: https://www.econbiz.de/10013217345
This paper characterizes U.S. consumption dynamics from the perspective of a Bayesian agent who does not know the underlying model structure but learns over time from macroeconomic data. Realistic, high-dimensional macroeconomic learning problems, which entail parameter, model, and state...
Persistent link: https://www.econbiz.de/10013008930
We conduct empirical tests of a simplified version of the ratio habit model developed in Abel(1990), in which habit is extended beyond the preceding period. We show that change in four-year consumption growth---the measure of consumption resulting from our ratio habit preference---explains the...
Persistent link: https://www.econbiz.de/10012838606
good C-CAPM that accounts for multi-period disasters, partial government defaults, and the possible destruction of the …
Persistent link: https://www.econbiz.de/10012934400