| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP4100 |
| DP4100 Growth Strategies | |
| Dani Rodrik | |
| 发表日期 | 2003-10-23 |
| 出版年 | 2003 |
| 语种 | 英语 |
| 摘要 | This Paper studies whether the consumption-based asset-pricing model can explain the cross-section of Sharpe ratios. The constant relative risk aversion (CRRA) model and several extensions (habit persistence, recursive utility and idiosyncratic shocks) all imply that the Sharpe ratio is linearly increasing in the asset?s correlation with aggregate consumption growth. Results from quarterly data on 40 US portfolios (1947?2001) and 10 international portfolios (1957/1971?2001) suggest that both the unconditional and conditional C-CAPM have serious problems: there is a great deal of variation in Sharpe ratios, but most portfolios have relatively similar and low correlations with aggregate consumption growth. |
| 主题 | Financial Economics |
| 关键词 | Consumption-based asset pricing Habit persistence Recursive utility Idiosyncratic risk Multivariate garch |
| URL | https://cepr.org/publications/dp4100 |
| 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/533075 |
| 推荐引用方式 GB/T 7714 | Dani Rodrik. DP4100 Growth Strategies. 2003. |
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