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标题:Valuation Risk and Asset Pricing
时间:2018-11-08 22:38:59
DOI:10.1111/jofi.12437
作者:ALBUQUERQUE, RUI;EICHENBAUM, MARTIN;LUO, VICTOR XI;REBELO, SERGIO
出版源: The Journal of Finance ,2016 ,71 (6) :2861-2904
摘要:ABSTRACT Standard representative-agent models fail to account for the weak correlation between stock returns and measurable fundamentals, such as consumpti...
大小:586 kb
页数:50 PAGES
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目录:
  • The Correlation Puzzle
    • Data Sources
    • Empirical Results
  • The Model
    • The Benchmark Model
      • The CRRA Case
    • Solving the Benchmark Model
    • Relation to the Long-Run Risk Model
    • The Extended Model
  • Estimation Methodology
  • Empirical Results
    • Implications for Asset Pricing Moments
      • The Equity Premium
      • The Risk-Free Rate
      • The Correlation Puzzle
      • The Price-Dividend Ratio
      • The Correlation between the Price-Dividend Ratio and the Risk-Free Rate
  • Bond Term Premia
    • Introducing Inflation
    • The Model's Implications for the Nominal Yield Curve
      • Accounting for the Slope of the Yield Curve and the Persistence of Bond Yields
      • Long-Term Equity Premium
  • Conclusion

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