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Persistent link: https://www.econbiz.de/10014543750
I incorporate the productivity risks into an investment-based q-factor asset pricing model. The productivity risks factors largely summarize the cross-sectional portfolio return, where the time-varying volatility plays an important role. A parsimonious q-factor model driven by productivity risks...
Persistent link: https://www.econbiz.de/10013236149
Persistent link: https://www.econbiz.de/10015152590
I incorporate the recursive utility into Pagel (2016)'s reference-dependent preference and study their aggregate implications in a consumption-based asset pricing model. In the case of recursive utility, the proposed model reproduces crucial asset pricing moments and time-varying risk premiums...
Persistent link: https://www.econbiz.de/10013247585