| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP9262 |
| DP9262 Valuation Risk and Asset Pricing | |
| Martin Eichenbaum; Sérgio Rebelo; Rui Albuquerque | |
| 发表日期 | 2012-12-16 |
| 出版年 | 2012 |
| 语种 | 英语 |
| 摘要 | Standard representative-agent models have difficulty in accounting for the weak correlation between stock returns and measurable fundamentals, such as consumption and output growth. This failing underlies virtually all modern asset-pricing puzzles. The correlation puzzle arises because these models load all uncertainty onto the supply side of the economy. We propose a simple theory of asset pricing in which demand shocks play a central role. These shocks give rise to valuation risk that allows the model to account for key asset pricing moments, such as the equity premium, the bond term premium, and the weak correlation between stock returns and fundamentals. |
| 主题 | International Macroeconomics |
| 关键词 | Bond yields Equity premium risk premium |
| URL | https://cepr.org/publications/dp9262 |
| 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/538097 |
| 推荐引用方式 GB/T 7714 | Martin Eichenbaum,Sérgio Rebelo,Rui Albuquerque. DP9262 Valuation Risk and Asset Pricing. 2012. |
| 条目包含的文件 | 条目无相关文件。 | |||||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
