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Persistent link: https://www.econbiz.de/10011912395

Ambiguity and the historical equity premium

Collard, Fabrice; Mukerji, Sujoy; Sheppard, Kevin; … - In: Quantitative economics : QE ; journal of the … 9 (2018) 2, pp. 945-993

This paper assesses the quantitative impact of ambiguity on historically observed financial asset returns and growth rates. The single agent, in a dynamic exchange economy, treats the conditional uncertainty about the consumption and dividends next period as ambiguous. We calibrate the agent's...

Persistent link: https://www.econbiz.de/10011994544

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A linkage between the financial and the real economy

Rey, Sebastián Alejandro - In: Annals of financial economics 17 (2022) 3, pp. 1-33

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Saving-based asset pricing and leisure

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Persistent link: https://www.econbiz.de/10012647888

Ambiguity and the historical equity premium

Collard, Fabrice; Mukerji, Sujoy; Sheppard, Kevin; … - 2017

This paper assessed the quantitative impact of ambiguity on historically observed financial asset returns and growth rates. The single agent, in a dynamic exchange economy, treats the conditional uncertainty about the consumption and dividends next period as ambiguous. We calibrate the agent's...

Persistent link: https://www.econbiz.de/10011756113

An empirical examination of jump risk in asset pricing and volatility forecasting in China's equity and bond markets

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Persistent link: https://www.econbiz.de/10011408519

The impact of global financial market uncertainty on the risk-return relation in the stock markets of G7 countries

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Persistent link: https://www.econbiz.de/10011740671

Liquidity in up and down markets for asset pricing : evidence from the Taiwan stock market

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Persistent link: https://www.econbiz.de/10011630781