全球智库信息集成服务系统(G2TT): DP1676 Extracting Information from Asset Prices: The Methodology of EMU Calculators

G2TT

来源类型	Discussion paper
规范类型	论文
来源ID	DP1676
	DP1676 Extracting Information from Asset Prices: The Methodology of EMU Calculators
	Francesco Giavazzi; Guido Tabellini; Carlo A. Favero; Fabrizio Iacone
发表日期	1997-07-30
出版年	1997
语种	英语
摘要	Risk premia in the consumption capital asset pricing model depend on preferences and dividends. We develop a decomposition which allows for the separate treatment of both components. We show that preferences alone determine the risk-return trade-off measured by the Sharpe-ratio. In general, the risk-return trade-off implied by preferences depends on the elasticity of a preference-based stochastic discount factor for pricing assets with respect to the consumption innovation. Depending on the particular specification of preferences, the absolute value of this elasticity may coincide with the inverse of the elasticity of intertemporal substitution (e.g. for habit formation preferences) or the coefficient of relative risk-aversion (e.g. for Epstein-Zin preferences). We demonstrate that preferences based on a small elasticity of intertemporal substitution, such as habit formation, produce small risk premia once agents are allowed to save. Departing from the complete markets framework, we show that uninsurable risk can only increase the Sharpe-ratio and risk premia if dividends are correlated with individual consumption.
主题	Financial Economics ; International Macroeconomics
关键词	Asset prices Consumption Preferences Risk aversion Risk premia
URL	https://cepr.org/publications/dp1676
来源智库	Centre for Economic Policy Research (United Kingdom)
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/530818
推荐引用方式 GB/T 7714	Francesco Giavazzi,Guido Tabellini,Carlo A. Favero,et al. DP1676 Extracting Information from Asset Prices: The Methodology of EMU Calculators. 1997.