G2TT
来源类型Discussion paper
规范类型论文
来源IDDP10328
DP10328 Asset Return Predictability in a Heterogeneous Agent Equilibrium Model
Ron Kaniel; Hong Yan
发表日期2015-01-11
出版年2015
语种英语
摘要We use a general equilibrium model as a laboratory for generating predictable excess returns and for assessing the properties of the estimated consumption/portfolio rules, under both the empirical and the true dynamics of excess returns. The advantage of this approach, relative to the existing literature, is that the equilibrium model delineates the precise nature of the risk/return trade-off within an optimizing setting that endogenizes return predictability. In the experiments that we consider, the estimation issues are so severe that simple unconditional consumption and portfolio rules actually outperform (in a utility cost sense) both simple and bias-corrected empirical estimates of conditionally optimal policies.
主题Financial Economics
关键词Consumption Equilibrium Excess returns Hedging Predictable
URLhttps://cepr.org/publications/dp10328
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/539159
推荐引用方式
GB/T 7714
Ron Kaniel,Hong Yan. DP10328 Asset Return Predictability in a Heterogeneous Agent Equilibrium Model. 2015.
条目包含的文件
条目无相关文件。
个性服务
推荐该条目
保存到收藏夹
导出为Endnote文件
谷歌学术
谷歌学术中相似的文章
[Ron Kaniel]的文章
[Hong Yan]的文章
百度学术
百度学术中相似的文章
[Ron Kaniel]的文章
[Hong Yan]的文章
必应学术
必应学术中相似的文章
[Ron Kaniel]的文章
[Hong Yan]的文章
相关权益政策
暂无数据
收藏/分享

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。