| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP10328 |
| 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 |
| URL | https://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. |
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