| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP8150 |
| DP8150 Asset Return Dynamics Under Bad Environment-Good Environment Fundamentals | |
| Geert Bekaert; Eric Engstrom | |
| 发表日期 | 2010-12-01 |
| 出版年 | 2010 |
| 语种 | 英语 |
| 摘要 | We introduce a "bad environment-good environment" technology for consumption growth in a consumption-based asset pricing model. Using the preference structure from Campbell and Cochrane (1999), the model generates realistic time-varying volatility, skewness and kurtosis in fundamentals while still permitting closed-form solutions for asset prices. The model not only fits standard salient asset prices features including means and volatilities for equity returns and risk free rates, but also generates a realistic variance premium and option prices. |
| 主题 | Financial Economics |
| 关键词 | Countercyclical risk aversion Dividend yield Economic uncertainty Equity premium Return predictability Variance premium |
| URL | https://cepr.org/publications/dp8150 |
| 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/536987 |
| 推荐引用方式 GB/T 7714 | Geert Bekaert,Eric Engstrom. DP8150 Asset Return Dynamics Under Bad Environment-Good Environment Fundamentals. 2010. |
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