| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP4917 |
| DP4917 A Full Equilibrium Relevant Market Test: Application to Computer Servers | |
| Marc Ivaldi; Szabolcs Lörincz | |
| 发表日期 | 2005-02-23 |
| 出版年 | 2005 |
| 语种 | 英语 |
| 摘要 | In this paper, we consider a dynamic economy in which the agents are privately informed about their skills, which evolve stochastically over time in an arbitrary fashion. We consider an asset pricing equilibrium in which equilibrium quantities are constrained Pareto optimal. Under the assumption that agents have constant relative risk aversion, we derive a novel asset pricing kernel for financial asset returns. The kernel equals the reciprocal of the gross growth of the x-th moment of the consumption distribution, where x is the coefficient of relative risk aversion. We use data from the Consumer Expenditure Survey (CEX) and show that the new stochastic discount factor performs better than existing stochastic discount factors at rationalizing the equity premium. However, its ability to simultaneously explain the equity premium and the expected return to the Treasury bill is about the same as existing discount factors. |
| 主题 | Financial Economics |
| 关键词 | Asset pricing Consumer expenditure survey |
| URL | https://cepr.org/publications/dp4917 |
| 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/533819 |
| 推荐引用方式 GB/T 7714 | Marc Ivaldi,Szabolcs Lörincz. DP4917 A Full Equilibrium Relevant Market Test: Application to Computer Servers. 2005. |
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